Aggregate Margin Debt and the Divergence of Price from Accounting Fundamentals
研究了总保证金债务是否与股价偏离会计基本面有关，发现投资者在价格上涨偏离基本面后增加保证金债务，且保证金债务比率与未来负收益相关，支持了外推交易者破坏市场稳定的理论。
Abstract We examine whether, in the aggregate, margin debt is associated with the divergence of price from accounting fundamentals. We find that investors increase their margin debt following upward price movements away from accounting fundamentals, consistent with these investors being extrapolative in aggregate. We also find evidence that margin debt appears to be linked to temporary overpricing in recent periods, as the aggregate ratio of margin debt to price is reliably associated with negative future returns since at least 1992. Our results are consistent with the theoretical literature that predicts extrapolative traders have a destabilizing effect on market prices, and helps explain why prices diverge from accounting fundamentals.