特质波动率文献综述
摘要
传统金融理论提出资产风险分为系统性风险和非系统性风险,其中非系统性风险可以通过投资组合来加以分散。以特质波动率这一非系统性风险与股票预期收益的关系,以及特质波动率之谜的相关研究为主题,对特质波动率的有关文献进行综述。
引文
[1] Mossion J.Equilibriumina capital asset market[J].Econometrica,1966,(4):768-783.
[2] Fama E.F.MacBeth J.D.Risk,return,and equilibrium:Empirical tests[J].The Journal of Political Economy,1973,(3):607-636.
[3] Bali T.G.Cakici N.Idiosyncratic volatility and the cross section of expected returns[J].Journal of Financial and Quantitative Analysis,2008,(1):29-58.
[4] Goetzmann W.and Kumar A.Why do individual investors hold under-diversified portfolios? Unpublished working paper,2004,Yale University.
[5] Xu Y.,Malkiel B.G.Idiosyncratic Risk and Security Returns[J].Ssrn Electronic Journal,2001.
[6]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[J].北京航空航天大学学报:社会科学版,2009,(1):6-10.
[7]徐小君.公司特质风险与股票收益———中国股市投资行为研究[J].经济管理,2010,(12):127-136.
[8] Miller E M.Risk,uncertainty,and divergence of opinion[J].The journal of Finance,1977,(4):1151-1168.
[9] Barberis N.Huang M.Preferences with frames:A new utility specification that allows for the framing of risks[J].Journal of Economic Dynamics&Control,2009,(8):1555-1576.
[10] Jiang G.J.Xu D.Yao T.The information content of idiosyncratic volatility[J].Journal of Financial and Quantitative Analysis,2009,(1):1-28.
[11] Chang E C.Dong S.Idiosyncratic volatility,fundamentals,and institutional herding:Evidence from the Japanese stock market[J].Pacific-Basin Finance Journal,2006,(2):135-154.
[12] Chok J I.Sun Q.Determinants of idiosyncratic volatility for biotech IPO firms[J].Financial management,2007,(4):107-122.
[13] Tan M.Liu B.CEO’s managerial power,board committee memberships and idiosyncratic volatility[J].International Review of Financial Analysis,2016,(48):21-30.
[2] Fama E.F.MacBeth J.D.Risk,return,and equilibrium:Empirical tests[J].The Journal of Political Economy,1973,(3):607-636.
[3] Bali T.G.Cakici N.Idiosyncratic volatility and the cross section of expected returns[J].Journal of Financial and Quantitative Analysis,2008,(1):29-58.
[4] Goetzmann W.and Kumar A.Why do individual investors hold under-diversified portfolios? Unpublished working paper,2004,Yale University.
[5] Xu Y.,Malkiel B.G.Idiosyncratic Risk and Security Returns[J].Ssrn Electronic Journal,2001.
[6]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[J].北京航空航天大学学报:社会科学版,2009,(1):6-10.
[7]徐小君.公司特质风险与股票收益———中国股市投资行为研究[J].经济管理,2010,(12):127-136.
[8] Miller E M.Risk,uncertainty,and divergence of opinion[J].The journal of Finance,1977,(4):1151-1168.
[9] Barberis N.Huang M.Preferences with frames:A new utility specification that allows for the framing of risks[J].Journal of Economic Dynamics&Control,2009,(8):1555-1576.
[10] Jiang G.J.Xu D.Yao T.The information content of idiosyncratic volatility[J].Journal of Financial and Quantitative Analysis,2009,(1):1-28.
[11] Chang E C.Dong S.Idiosyncratic volatility,fundamentals,and institutional herding:Evidence from the Japanese stock market[J].Pacific-Basin Finance Journal,2006,(2):135-154.
[12] Chok J I.Sun Q.Determinants of idiosyncratic volatility for biotech IPO firms[J].Financial management,2007,(4):107-122.
[13] Tan M.Liu B.CEO’s managerial power,board committee memberships and idiosyncratic volatility[J].International Review of Financial Analysis,2016,(48):21-30.