| Firstly, this paper investigates the asymmetric information risk premium andresearchs empirically the relationship between information risk and the asset pricingin Chinese stock markets, based on the trading datas of CSI300,CSI200, CSI500,SSE50, SSE180sample stocks in January2007and March2010. The finding showthe zero-investment portfolio, which was built by CSI500sample stocks, can earns asignificant information risk premium that can be explained by the Fama-Frenchthree-factors, momentum factor and liquidity factor. While the information riskfactors can’t explain significantly the abnormal return earned by the zero-investmentportfolio, which shows the pricing of the information risk is unstable in the restricingshort selling stock market.Secondly, the paper studys how the short selling mechanism affect theinformation risk pricing. Based on the Chinese margin trading as sample, using eventstudying method and the time-varying information model, we investigated thedynamic changes of infromation asymmetry risk characteristics. The results show thatthe infromation trading arrives and the information risk increa significantly afterintroducing the margin trading mechanism in China second market, while theuninfored trading arrives don’t decrease significantly. This finding further shows theshort selling mechanism has a significant positive impact to the revealing of theinformation risk.Finally,we analysis of the impact of short selling on the information riskcharacteristics, and the relationship between the infromation risk and asset pricingunder allowed short selling, based on the margin stocks trading datas in the April2010and June2011. The results show that the margin trading has a significantposistive impact on the informed trading arrives and information risk. And afterintroducting the margin trading, the information factors can explain significantly theinformation risk premium. |
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