摘要
不确定性并不是都是'坏'的,'好'的不确定性也同样存在。本文采用BarndorffNielsen et al.(2010)提出的已实现半方差作为股票市场'好'的不确定性和'坏'的不确定性的代理指标,并在此基础上构建了相对符号变差(RSV),分析RSV对中国股市定价的影响。基于2007-2017年中国A股5分钟高频数据的实证研究发现:(1)与理论解释相一致,RSV与股票收益之间呈现负相关关系。无论是基于单变量分组、双变量分组还是公司层面的截面回归,这种影响在经济上和统计上都显著。(2) RSV是独立于已实现偏度的一个重要定价因子,且RSV对股票的定价能力强于已实现偏度的定价能力。(3) RSV对中国股市的影响是状态依存的,相对于经济景气程度高的状态,在经济景气程度低的状态下RSV定价影响更大。(4)基于RSV构建的投资组合的表现明显优于市场超额收益率组合、SMB组合和HML组合的表现。
In recent years,the relationship between stock market uncertainty and stock pricing has attracted widespread attention.One question is whether uncertainty is always'bad.'In fact,'good'uncertainty does exist.A typical example is when a company is ready to launch a new product;the market is optimistic about the new product,but uncertain how much profit it will ultimately bring.Thus,uncertainty can be decomposed into'good'uncertainty and'bad'uncertainty.Investors prefer stocks with'good'uncertainty exposure and dislike stocks with'bad'uncertainty exposure.To obtain stocks with high'good'uncertainty,investors must pay higher prices and accept lower expected returns.In comparison,stocks with high'bad'uncertainty have lower stock prices and high expected returns.Following Barndorff-Nielsen et al.(2010),we use the realized positive semi-variance and realized negative semi-variance to represent'good'and'bad'uncertainty,respectively.'Good'uncertainty has a positive impact on stock prices.However,uncertainty also results in large fluctuations in stock prices.As positive semi-variance measures the price volatility as it relates to positive returns,it can effectively reflect the'good'uncertainty.A similar reasoning applies to the use of negative semi-variance to measure'bad'uncertainty.We further subtract the realized negative semi-variance from the positive semi-variance and then standardize it to get our key indicator–relative signed variation(RSV).This study uses a sample of China’s A-shares from the 2007 to 2017 period.High-frequency stock data are drawn from CSMAR,and non-high-frequency stock data are from RESSET.In addition,China’s Economic Prospective Index is obtained from CEIC.The main conclusions of this study are as follows.First,consistent with our theoretical analysis,regardless of the sorting method we apply(single sort method and double sorts method),there is a significantly negative relationship between RSV and stock portfolio returns.When the sample is divided into five portfolios based on the RSV in a
作者
陈国进
丁杰
赵向琴
CHEN Guojin;DING Jie;ZHAO Xiangqin(School of Economics,Xiamen University)
出处
《金融研究》
CSSCI
北大核心
2019年第7期174-190,共17页
Journal of Financial Research
基金
国家自然科学基金面上项目(71471154、71771193)
国家社会科学基金资助项目(16BJ52028)
厦门大学中央高校基金(2072017002)的资助
