CAJ | 학술논문

R2在统计学中是模型对实证数据拟合优度的度量指标，自Roll（1988）“R2”开创性研究后，月。在金融学研究中得以更为广泛地度量应用。遗憾的是，在对Roll（1988）进一步研究中所进行的大胆理论延伸，造成了尺。在金融领域度量标准在经济意义上的混乱。本文通过对现有文献的梳理、解读和评价，采用逻辑演绎的方法推导出R2可作为私有信息套利的度量指标。本文对2005--2007年上证180中的140只股票进行实证研究表明：（1）几乎所有股票都存在着私有信息套利，且60％的股票私有信息套利程度较深。（2）通过面板模型进一步分析了影响私有信息套利的主要变量，发现上市公司第一大股东持股比例、限售股比例与R2存在显著的负相关关系，机构投资者持股比例、股权分置改革完成时间、公司规模与R2存在正相关关系。
R2재통계학중시모형대실증수거의합우도적도량지표，자Roll（1988）“R2”개창성연구후，월。재금융학연구중득이경위엄범지도량응용。유감적시，재대Roll（1988）진일보연구중소진행적대담이론연신，조성료척。재금융영역도량표준재경제의의상적혼란。본문통과대현유문헌적소리、해독화평개，채용라집연역적방법추도출R2가작위사유신식투리적도량지표。본문대2005--2007년상증180중적140지고표진행실증연구표명：（1）궤호소유고표도존재착사유신식투리，차60％적고표사유신식투리정도교심。（2）통과면판모형진일보분석료영향사유신식투리적주요변량，발현상시공사제일대고동지고비례、한수고비례여R2존재현저적부상관관계，궤구투자자지고비례、고권분치개혁완성시간、공사규모여R2존재정상관관계。
R2 is the proportion of variability in a data set that is accounted for by a statistical model. Roll （1988） has successfully introduced R2 into the analysis of information problem in stock market. Afterwards, Re has been widely applied in various studies on financial market. However, in some cases, Roll＇s R2 is misunderstood and brings controversial results. Our paper has thoroughly reviewed current literatures on R2 and justifies that R2 can be used as a proxy for measuring private information arbitrage activities in the stock market. In this paper, 140 out of SHSE 180 stocks have been analyzed and the results show that （1） most of them have encountered the problem of private information arbitrage. And 60% among these stocks might experienced serious arbitrage problem. （2） Also, our panel analysis on the determinants of private information arbitrage shows that the ownership of prime shareholder, the percentage of non-tradable shares will significantly reduce R2 and hence increase arbitrage opportunity. While institutional investors, stock market reformation, sizes of listed companies will increase R2 and reduce arbitrage opportunity.