特质风险与市场收益动态关系的实证研究  

An Empirical Study for Dynamic Relationship between Stock Returns and Idiosyncratic Volatility

作　　者：史永东[1,2] 李凤羽[3] 杨云鹏[2] 

机构地区：[1]东北财经大学应用金融研究中心 [2]东北财经大学金融学院 [3]东北财经大学经济与社会发展研究院

出　　处：《投资研究》2012年第9期6-19,共14页Review of Investment Studies

基　　金：国家自然科学基金(70871019;71072140;71171036);教育部人文社科青年基金项目(09YJC630022);辽宁省百千万人才项目([2008]179090号)

摘　　要：本文使用流通市值加权的股票平均波动率作为股票市场未分散特质风险的间接衡量指标,对A股市场特质风险与市场预期收益之间的动态关系进行研究。有别于国内已有研究,本文使用流通市值加权股票平均波动率的自回归残差项作为回归模型的解释变量,避免了解释变量高度持续性特征给回归结果造成的不利影响,发现A股市场未分散的特质风险对预期市场超额收益具有预测能力,两者呈正相关关系,这种预测能力在考虑市场分割、流动性、经济周期以及不同特质风险度量方法后依然存在。By using value-weighted average stock volatility as an indirect measure of undiversified idiosyncratic risks, this study analyzes the dynamic relationship between idiosyncratic risks and A-share stock market expected return. Distinct from already existing domestic literatures, this study uses autoregressive residuals of value-weighted average stock volatility as the explanato- ry variables of regression model so as to avoid the negative effects caused by high persistence of explanatory variables and finds that undiversified idiosyncratic risks in A-share stock market could be used to forecast expected market excess return, these two variables are positively correlated with each other. The results of this study are robust with consideration of market segmentation, liquidity, business cycle as well as various measures of idiosyncratic risks.

关 键 词：特质风险 市场风险 自回归残差 

分 类 号：F224[经济管理—国民经济] F832.51