特质偏度是否被定价?  

Is idiosyncratic skew ness priced?

作　　者：郑振龙[1] 王磊[1] 王路跖[1] 

机构地区：[1]厦门大学经济学院,厦门361005

出　　处：《管理科学学报》2013年第5期1-12,共12页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70971114;71073023);国家自然科学青年基金资助项目(71101121);教育部人文社会科学研究青年基金资助项目(11YJC790014)

摘　　要：研究了中国A股市场上特质偏度和预期收益率的关系.结合中国市场的实际,采用横截面回归方法提取预期特质偏度,随后运用Fama-MacBeth方法来验证预期收益率和预期特质偏度之间的关系.实证结果表明二者之间存在显著的负向关系,在控制了流动性因子、协偏度和协峰度等变量的影响之后该结论仍然成立.同时,还对"特质波动率之谜"进行了重新检验,结果发现,在控制了预期特质偏度之后,滞后的特质波动率与预期收益率之间的负相关关系不再显著,从而证实了预期特质偏度中含有一部分特质波动率的信息.最后,在区分了大、小公司的子样本中进行的稳健性检验也支持上述结论.This paper discusses, empirically, on the relationship between the expected return and the expec- ted idiosyncratic skewness in Chinese A-share equity market. Series of expected idiosyncratic skewness of each stock are taken from cross section regression models, and Fama-MacBeth regressions are adopted to test the re- lationship between the expected return and the expected idiosyncratic skewness. The empirical result suggests that there is a significant negative relationship between them, even when controlling for liquidity, co-skew- ness,co-kurtosis and other factors. This paper also retests the ＂the idiosyncratic volatility puzzle＂, and find that, after controlling for expected idiosyncratic skewness, the negative relationship between idiosyncratic vola- tility and expected return no longer holds, thus confirming the fact that expected idiosyncratic skewness con- tains a fraction of the information of idiosyncratic volatility. Finally, the robustness test by separating samples of big firms and small firms supports the above conclusion again.

关 键 词：预期特质偏度 特质波动率之谜 收益率可预测性 

分 类 号：F830.91[经济管理—金融学] F832.5