服从随机游走假设的特质波动风险与横截面收益的相关性检验
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摘要
股票市场的卖空限制、市场信息透明度的缺乏等使得投资者无法进行多样化投资,特质波动风险成为投资者面临的主要风险.本文首先针对存在争议的特质波动风险度量指标进行有效性检验,并确定EGARCH模型度量指标才满足随机游走假设.以我国沪深两市2003-2014年股票为样本,进行特质波动风险与横截面收益的截面回归分析,得出特质波动风险与横截面收益呈显著正相关,显著的动量效应是主要原因.同时得出"特质波动之谜"的结论主要是由于特质波动风险度量方法不当造成的伪现象,也不能简单依据已实现的特质波动率与横截面收益相关性直接推导期望特质波动率与横截面收益的关系.最后采用二维投资组合分析方法对所得结论做了进一步验证,得出我国股票市场未出现"特质波动之谜".
Diversified investment in the stock market cannot be achieved for the short-sale constraints and transparency limitation,and then the idiosyncratic risk become the principal risk faced with investors.In the wake of idiosyncratic volatility puzzle been put forward with Ang(2006),the relationship is disputed between idiosyncratic risk and cross-section stock return.Based on the above,in this paper,the effectiveness test of idiosyncratic risk measurement has been conducted firstly,and then EGARCH model been chosen for its following a random walk.Secondly,the cross section regression analysis of idiosyncratic risk and stock return have been tested during 2003-2014,and the significant positive correlation been found for the significant momentum effect.Besides,idiosyncratic volatility puzzle is just a pseudo phenomenon because of different measurement,and the realized idiosyncratic volatility is not a effective indicator for the idiosyncratic risk.Last,the test results are verified further with two dimensional portfolio analysis,and get the conclusion that there is no idiosyncratic volatility puzzle in China's A-Share Market.
Diversified investment in the stock market cannot be achieved for the short-sale constraints and transparency limitation,and then the idiosyncratic risk become the principal risk faced with investors.In the wake of idiosyncratic volatility puzzle been put forward with Ang(2006),the relationship is disputed between idiosyncratic risk and cross-section stock return.Based on the above,in this paper,the effectiveness test of idiosyncratic risk measurement has been conducted firstly,and then EGARCH model been chosen for its following a random walk.Secondly,the cross section regression analysis of idiosyncratic risk and stock return have been tested during 2003-2014,and the significant positive correlation been found for the significant momentum effect.Besides,idiosyncratic volatility puzzle is just a pseudo phenomenon because of different measurement,and the realized idiosyncratic volatility is not a effective indicator for the idiosyncratic risk.Last,the test results are verified further with two dimensional portfolio analysis,and get the conclusion that there is no idiosyncratic volatility puzzle in China's A-Share Market.
引文
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[21]左浩苗,郑鸣,张翼.股票特质波动率与横截面收益:对中国股市“特质波动率之谜”的解释[J].世界经济,2011(5):117-135.
[22]FINK J D,FINK K E,HE H.Expected Idiosyncratic Volatility Measures and Expected Returns[J].Financial Management,2012,41(3):519-553.
[23]JIANG G J,XU D,YAO T.The Information Content of Idiosyncratic Volatility[J].Journal of Financial and Quantitative Analysis,2009,44(1):1-28.
[2] ANG A,HODRICK R J,XING Y,et al.High Idiosyncratic Volatility and Low Returns:International and Further US Evidence[J].SSRN Electronic Journal,2008,91(1):1-23.
[3] CAMPBELL J Y,LETTAU M,MALKIEL B G,et al.Have Individual Stocks Become More Volatile?An Empirical Exploration of Idiosyncratic Risk[J].Journal of Finance,2001,56(1):1-43.
[4] VIDAL-GARCA J,VIDAL M,NGUYEN D K.Do Liquidity and Idiosyncratic Risk Matter?Evidence from the European Mutual Fund Market[J].Review of Quantitative Finance&Accounting,2016,47(2):213-247.
[5] GOYAL A,SANTACLARA P.Idiosyncratic Risk Matters![J].Journal of Finance,2003,58(3):975-1007.
[6] FU F.Idiosyncratic Risk and the Cross-Section of Expected Stock Returns[J].Journal of Financial Economics,2005,91(1):24-37.
[7] HUANG W,LIU Q,GHON RHEE S,et al.Another Look at Idiosyncratic Volatility and Expected Returns[J].Journal of Investment Management,2011,9(4):26-36.
[8] ANG A,HODRICK R J,XING Y,et al.The Cross-Section of Volatility and Expected Returns[J].Social Science Electronic Publishing,2010,61(1):259-299.
[9]刘维奇,邢红卫,张信东.投资偏好与“特质波动率之谜”——以中国股票市场A股为研究对象[J].中国管理科学,2014,22(8):10-20.
[10]张信东,王晓丽.特质波动率之谜再检验——基于不同的交易策略[J].管理现代化,2016,36(2):8-10.
[11]BOEHME R D,DANIELSEN B R,KUMAR P,et al.Idiosyncratic Risk and the Cross-Section of Stock Returns:Merton(1987)Meets Miller(1977)[J].Journal of Financial Markets,2009,12(3):438-468.
[12]花冯涛.我国证券市场公司特质波动能够被定价吗——基于“非资产定价模型分解法”的测度与检验[J]山西财经大学学报,2011,33(11):26-35.
[13]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.
[14]苏冬蔚,麦元勋,流动性与资产定价:基于我国股市资产换手率与预期收益的实证研究[J]经济研究,2004(2):95-105.
[15]李一红,吴世农.中国股市流动性溢价的实证研究[J].管理评论,2003,15(11):34-42.
[16]JEGADESH N,TITMAN S.Returns to Buying Winners and Selling Losers:Implications for Stock Market Efficiency[J].The Journal of Finance,1993,48(1):65-91.
[17]BARBERIS N,SHLEIFER A,VISHNY R.A Model of Investor Sentiment[J].Journal of Financial Economics,1998,49(3):307-343.
[18]邹小芃,钱英.我国股票市场的中长期回报率的过度反应[J].数理统计与管理,2003,22(6):9-14.
[19]MI L,BENSON K,FAFF R.Further Evidence on Idiosyncratic Risk and REIT Pricing:a Cross-Country Analysis[J].Accounting Research Journal,2016,29(1):34-58.
[20]EILING E.Industry-Specific Human Capital,Idiosyncratic Risk,and the Cross-section of Expected Stock Returns[J].The Journal of Finance,2013,68(1):43-84.
[21]左浩苗,郑鸣,张翼.股票特质波动率与横截面收益:对中国股市“特质波动率之谜”的解释[J].世界经济,2011(5):117-135.
[22]FINK J D,FINK K E,HE H.Expected Idiosyncratic Volatility Measures and Expected Returns[J].Financial Management,2012,41(3):519-553.
[23]JIANG G J,XU D,YAO T.The Information Content of Idiosyncratic Volatility[J].Journal of Financial and Quantitative Analysis,2009,44(1):1-28.