股价特有风险与信息效率  

Idiosyncratic risk and information efficiency

作　　者：聂晓军[1] 李焰[1] 张肖飞[2] 

机构地区：[1]中国人民大学商学院,北京100872 [2]河南财经政法大学,郑州450002

出　　处：《管理科学学报》2014年第5期84-94,共11页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71272150;71101044)

摘　　要：针对股价特有风险是否代表高的信息效率的争论,先将CAPM模型的残差分离出私有信息融入导致的波动,发现其对特有风险有很强的解释力,并证明个体风险大的企业通过私有信息交易融入股价导致其股价特有风险更高.其后,对信息交易概率PIN各成分进行分析,指出现有研究存在两种相反证据是由于信息融入与噪声交易都导致了低R2.最后从信息效率的本质含义入手对股价特有风险进行了评价,说明R2与信息效率不存在直接的对应关系.To study whether high idiosyncratic risk indicates high information efficiency, this paper extracts the volatility caused by information infusion from the residual variance of CAPM model, and finds it has great explanatory power to idiosyncratic risk. Meanwhile, the intrinsic risk of the firms is incorporated into the price by informed trading. Secondly, the authors analyze the elements of PIN and point out that the combined effect of informed trading and noise trading leads to contrary empirical evidences in current researches. In the end, this paper discusses the idiosyncratic risk based on the definition of information efficiency and shows there is no direct relation between R2 and information efficiency.

关 键 词：特有风险 同步性 信息交易 信息效率 

分 类 号：F830.9[经济管理—金融学]