金融理论与教学2026，Vol.44Issue(4)：20-26,7.
T+1交易制度下的风险补偿机制与投资者福利评估
Risk Compensation Mechanism and Investor Welfare Evaluation Under the T+1 Trading System:Evidence from Full-Sample Stochastic Simulations
摘要
Abstract
As the reform of foundational systems in the capital market is placed on the agenda,the impact of the T+1 trading system on the welfare of ordinary investors requires urgent quantitative evaluation.This paper constructs a quarterly multi-period stochastic trading simulation framework and conducts over 900 million Monte Carlo simulations based on data from 4,581 non-STAR(Sci-Tech Innovation Board)A-share stocks from 2005 to 2025 to examine the alignment between risk-taking and return compensation under the T+1 system.The findings reveal that the core T+1 strategy(buy at open,sell at the next day's open)yields a cumulative return 80.85 percentage points lower than the optimal alternative strategy.After adjusting with a China-specific Fama-French five-factor model,the alpha of Strategy B is-1.81％(t=-5.26),indicating that passive position risk is not adequately compensated.This effect is robust across both the Main Board and ChiNext samples,and Strategy B exhibits some exposure to the small-cap factor(SMB=0.42).The study provides quantitative evidence for the optimization of trading mechanisms and the evaluation of investor welfare.关键词
T+1交易制度/风险补偿机制/投资者福利评估Key words
T+1 trading system/risk compensation mechanism/investor welfare evaluation分类
管理科学引用本文复制引用
杜仑,何媛媛..T+1交易制度下的风险补偿机制与投资者福利评估[J].金融理论与教学,2026,44(4):20-26,7.基金项目
2026年丽江文化旅游学院校级本科教学改革研究项目"基于蒙特卡洛模拟的证券投资学投资能力自评体系构建与教学实践"(XYJG202617). （XYJG202617）
