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。
We confirm that the negative relation between lagged idiosyncratic volatility and future average returns cannot be explained by exposure to various cress-sectional risk factors and market frictions such as illiquidity, trading cost and price delay. Different from studies in US stock markets, we find that the negative relation is stronger with equalweighted idiosyncratic volatility quintile portfolios than value weighted portfolios. We also find that the abnormal low future returns with high past idiosyncratic volatility is not significant after controlling for turnover effect in Chinese stock market. We propose that short sale constraints and retail investors dominating trading in Chinese stock market can help to explain the differences.
出处
《北京航空航天大学学报（社会科学版）》
CSSCI
2009年第1期6-10,共5页
Journal of Beijing University of Aeronautics and Astronautics：Social Sciences edition Edition
关键词
特质波动率
卖空限制
风险溢价
换手率
idiosyncratic volatility
short sale constraints
risk premium
turnover
