中国股票市场特质波动率与横截面收益研究

杨华蔚; 韩立岩

中国股票市场特质波动率与横截面收益研究

北京航空航天大学经济管理学院, 北京 100191

详细信息

作者简介:
杨华蔚(1965-),女,河南开封人,副教授,博士研究生 ,研究方向为金融市场、金融工程和数理金融.

中图分类号: F830.91
计量
- 文章访问数: 2676
- HTML全文浏览量: 4
- PDF下载量: 2899
出版历程
- 收稿日期: 2007-09-03
- 发布日期: 2009-03-24

An Empirical Study of the Relationship between the Idiosyncratic Volatility and Cross-sectional Return

School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100191, China

摘要

摘要: 对中国证券市场高特质波动率有异常低横截面预期回报现象进行分析,应用截面回归和时间序列分析方法验证了特质波动率异常收益对各种风险因子以及非流动性、交易成本、信息延迟度等市场摩擦的稳健性。研究发现,与成熟市场不同,特质波动率异常收益与构造投资组合的权重无关,控制换手率的影响会减弱特质波动率对收益回报的解释能力。分析认为,这是由于中国证券市场存在大量散户投资者以及卖空机制的缺失等交易者结构与制度限制所致。
- 特质波动率 /
- 卖空限制 /
- 风险溢价 /
- 换手率
Abstract: We confirm that the negative relation between lagged idiosyncratic volatility an d future average returns cannot be explained by exposure to various cross-secti onal risk factors and market frictions such as illiquidity, trading cost and pri ce delay. Different from studies in US stock markets, we find that the negative relation is stronger with equal-weighted idiosyncratic volatility quintile port folios than value weighted portfolios. We also find that the abnormal low future returns with high past idiosyncratic volatility is not significant after contro lling for turnover effect in Chinese stock market. We propose that short sale co nstraints and retail investors dominating trading in Chinese stock market can he lp to explain the differences.
- idiosyncratic volatility /
- short sale constraints /
- risk premium /
- turnover

HTML全文

参考文献(11)

[1]	Merton R C. A Simple Model of Capital Market Equilibrium with Incomplete Information [J]. Journal of Finance, 1987, 42(3).
[2]	Ang A, Hodrick R J, Xing Y, et al. The Cross-Section of Volatility a nd Expected Returns[J]. Journal of Finance, 2006, 61(1).
[3]	Ang A, Hodrick R J, Xing Y, et al. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence(Jan 24, 2008) . Journal of Financial Economics forthcoming, NBER Working Paper No.w13739, Available at SSRN: http//ssrn.com/abstract=1086991.
[4]	杨华蔚, 韩立岩, 李东辉. 高风险一定有高回报吗——基于中国证券市场特质波动率的实证研究[J]. 中国金融评论, 2007, 1(2).
[5]	Amihud Y. Illiquidity and Stock Returns: Cross-section and Time-ser ies Effects[J]. Journal of Financial Markets, 2002, 5(1): 31-56.
[6]	Lesmond D A, Ogden J P, Trzcinka C A. A New Estimate of Transaction C osts [J]. Review of Financial Studies, 1999, 12(5): 1113-1141.
[7]	Hou K W, Moskowitz T. Market Frictions, Price Delay, and the Cross-S ection of Expected Returns[J]. Review of Financial Studies, 2005, 18(3): 981- 1020.
[8]	Bali T G, Cakici N. Idiosyncratic Volatility and the Cross-Section o f Expected Returns[J]. Journal of Financial and Quantitative Analysis, 2008, 4 3(1).
[9]	Ali A, Hwang L, Trombley M A. Arbitrage Risk and the Book-to-market Anomaly[J]. Journal of Financial Economics, 2003, 69(2):355-373.
[10]	陈信元, 张田余, 陈冬华. 预期股票收益的横截面多因素分析:来自中国证券市场经验证据 [J]. 金融研究, 2001, (6): 22-35.
[11]	吴世农, 许年行. 资产的理性定价模型和非理性定价模型的比较研究—基于中国股市的实证分析[J]. 经济研究, 2004, (6): 105-116.

施引文献

资源附件(0)

计量

文章访问数: 2676
HTML全文浏览量: 4
PDF下载量: 2899
被引次数: 0

中国股票市场特质波动率与横截面收益研究

作者简介: 杨华蔚(1965-),女,河南开封人,副教授,博士研究生 ,研究方向为金融市场、金融工程和数理金融.

计量

出版历程

An Empirical Study of the Relationship between the Idiosyncratic Volatility and Cross-sectional Return

计量

出版历程

目录

作者简介:
杨华蔚(1965-),女,河南开封人,副教授,博士研究生 ,研究方向为金融市场、金融工程和数理金融.