下行贝塔与股票横截面收益:来自中国A股的证据
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摘要
经验证据显示,投资者关注的主要是资产价格的下行风险。考虑到衡量下行风险的下行贝塔有多种不同的度量方法,本文选用半方差下行贝塔、非对称响应下行贝塔、协方差下行贝塔和Estrada下行贝塔四个度量指标,分别采用组合价差法和Fama-MacBeth回归法,考察下行贝塔与股票横截面收益之间的相关关系。研究结果表明:半方差下行贝塔、非对称响应下行贝塔和协方差下行贝塔能够有效刻画个股下行风险;在控制市场贝塔后,这三种下行贝塔与其股票未来收益显著正相关;相对而言,这三种下行贝塔对小市值股票横截面收益有较强的解释能力。
引文
[1]Ang,A.,Chen,J.,Xing,Y.Downside Risk[J].Review of Financial Studies,2006,19(4):1191-1239.
[2]Hogan,W.W.,Warren,J.M.Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance[J].Journal of Financial&Quantitative Analysis,1974,9(1):1-11.
[3]Bawa,V.S.,Lindenberg,E.B.Capital Market Equilibrium in a Mean-Lower Partial Moment Framework[J].Journal of Financial Economics,1977,5(2):189-200.
[4]Harlow,W.V.,Rao,R.K.S.Asset Pricing in a Generalized Mean-Lower Partial Moment Framework:Theory and Evidence[J].Journal of Financial&Quantitative Analysis,1989,24(3):285-311.
[5]Bali,T.G.,Demirtas,K.O.,Levy,H.Is There an Intertemporal Relation Between Downside Risk and Expected Returns?[J].Journal of Financial&Quantitative Analysis,2009,44(4):883-909.
[6]Post,T.,Vliet,P.,Lansdorp,S.Sorting out Downside Beta[R].Erim Report,2009.
[7]张进滔,李竹渝.极端事件下尾部风险度量的比较分析[J].统计与决策,2006,(12):7-10.
[8]谢尚宇,姚宏伟,周勇.基于ARCH-Expectile方法的VaR和ES尾部风险测量[J].中国管理科学,2014,(9):1-9.
[9]陈国进,许秀,赵向琴.罕见灾难风险和股市收益---基于我国个股横截面尾部风险的实证分析[J].系统工程理论与实践,2015,(9):2186-2199.
[10]胡志军.极端风险与横截面股票预期收益率---基于A股市场的实证研究[J].金融学季刊,2016,(3):107-120.
[11]Kelly,B.,Jiang,H.Tail Risk and Asset Prices[J].The Review of Financial Studies,2014,27(10):2841-2871.
[12]龚旭,文凤华,黄创霞,等.下行风险、符号跳跃风险与行业组合资产定价[J].中国管理科学,2017,(10):1-10.
[13]Nawrocki,D.N.A Brief History of Downside Risk Measures[J].Journal of Investing,1999,8(3):9-25.
[14]Estrada,J.Mean-Semivariance Behavior:Downside Risk and Capital Asset Pricing[J].International Review of Economics&Finance,2007,16(2):169-185.
[15]Fama,E.F.,French,K.R.The Cross-Section of Expected Stock Returns[J].The Journal of Finance,1992,47(2):427-465.
[16]Harvey,C.R.,Siddique,A.Conditional Skewness in Asset Pricing Tests[J].The Journal of Finance,2000,55(3):1263-1295.
[17]Fang,H.,Lai,T.Y.Co-Kurtosis and Capital Asset Pricing[J].Financial Review,1997,32(2):293-307.
[18]Ang,A.,Hodrick,R.J.,Xing,Y.,et al.The Cross-Section of Volatility and Expected Returns[J].The Journal of Finance,2006,61(1):259-299.
[19]Ang,A.,Hodrick,R.J.,Xing,Y.,et al.High Idiosyncratic Volatility and Low Returns:International and Further U.S.Evidence[J].Journal of Financial Economics,2009,91(1):1-23.
[20]汪炜,周宇.中国股市“规模效应”和“时间效应”的实证分析---以上海股票市场为例[J].经济研究,2002,(10):16-21.
[21]陈信元,张田余,陈冬华.预期股票收益的横截面多因素分析:来自中国证券市场的经验证据[J].金融研究,2001,(6):22-35.
[22]Post,T.,Vliet,P.V.Downside Risk and Asset Pricing[J].Journal of Banking&Finance,2006,30(3):823-849.
(1)控制βSV和βDC后各子样本收益数据限于篇幅略去,留存备索。
(1)限于篇幅略去,留存备索。
[2]Hogan,W.W.,Warren,J.M.Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance[J].Journal of Financial&Quantitative Analysis,1974,9(1):1-11.
[3]Bawa,V.S.,Lindenberg,E.B.Capital Market Equilibrium in a Mean-Lower Partial Moment Framework[J].Journal of Financial Economics,1977,5(2):189-200.
[4]Harlow,W.V.,Rao,R.K.S.Asset Pricing in a Generalized Mean-Lower Partial Moment Framework:Theory and Evidence[J].Journal of Financial&Quantitative Analysis,1989,24(3):285-311.
[5]Bali,T.G.,Demirtas,K.O.,Levy,H.Is There an Intertemporal Relation Between Downside Risk and Expected Returns?[J].Journal of Financial&Quantitative Analysis,2009,44(4):883-909.
[6]Post,T.,Vliet,P.,Lansdorp,S.Sorting out Downside Beta[R].Erim Report,2009.
[7]张进滔,李竹渝.极端事件下尾部风险度量的比较分析[J].统计与决策,2006,(12):7-10.
[8]谢尚宇,姚宏伟,周勇.基于ARCH-Expectile方法的VaR和ES尾部风险测量[J].中国管理科学,2014,(9):1-9.
[9]陈国进,许秀,赵向琴.罕见灾难风险和股市收益---基于我国个股横截面尾部风险的实证分析[J].系统工程理论与实践,2015,(9):2186-2199.
[10]胡志军.极端风险与横截面股票预期收益率---基于A股市场的实证研究[J].金融学季刊,2016,(3):107-120.
[11]Kelly,B.,Jiang,H.Tail Risk and Asset Prices[J].The Review of Financial Studies,2014,27(10):2841-2871.
[12]龚旭,文凤华,黄创霞,等.下行风险、符号跳跃风险与行业组合资产定价[J].中国管理科学,2017,(10):1-10.
[13]Nawrocki,D.N.A Brief History of Downside Risk Measures[J].Journal of Investing,1999,8(3):9-25.
[14]Estrada,J.Mean-Semivariance Behavior:Downside Risk and Capital Asset Pricing[J].International Review of Economics&Finance,2007,16(2):169-185.
[15]Fama,E.F.,French,K.R.The Cross-Section of Expected Stock Returns[J].The Journal of Finance,1992,47(2):427-465.
[16]Harvey,C.R.,Siddique,A.Conditional Skewness in Asset Pricing Tests[J].The Journal of Finance,2000,55(3):1263-1295.
[17]Fang,H.,Lai,T.Y.Co-Kurtosis and Capital Asset Pricing[J].Financial Review,1997,32(2):293-307.
[18]Ang,A.,Hodrick,R.J.,Xing,Y.,et al.The Cross-Section of Volatility and Expected Returns[J].The Journal of Finance,2006,61(1):259-299.
[19]Ang,A.,Hodrick,R.J.,Xing,Y.,et al.High Idiosyncratic Volatility and Low Returns:International and Further U.S.Evidence[J].Journal of Financial Economics,2009,91(1):1-23.
[20]汪炜,周宇.中国股市“规模效应”和“时间效应”的实证分析---以上海股票市场为例[J].经济研究,2002,(10):16-21.
[21]陈信元,张田余,陈冬华.预期股票收益的横截面多因素分析:来自中国证券市场的经验证据[J].金融研究,2001,(6):22-35.
[22]Post,T.,Vliet,P.V.Downside Risk and Asset Pricing[J].Journal of Banking&Finance,2006,30(3):823-849.
(1)控制βSV和βDC后各子样本收益数据限于篇幅略去,留存备索。
(1)限于篇幅略去,留存备索。