特质风险可以用来定价吗?——来自中国股市的证据  

Can Idiosyncratic Risk be Used to Pricing?——Evidence from China's Stock Market

作　　者：周经纬[1] 

机构地区：[1]东莞职业技术学院,广东东莞523808

出　　处：《南方金融》2014年第9期69-74,共6页South China Finance

基　　金：广东省高等学校"千百十工程"第七批人才培养项目;东莞市哲学社会科学课题<信贷歧视;政治关联与企业民间融资行为研究>(课题编号:2014JYZ15);东莞职业技术学院重点课题<我国股票市场价格波动性研究>(课题编号:2013a20)的资助

摘　　要：本文基于一般均衡分析框架从理论上推导出股票特质波动率与横截面收益之间的相关关系,并借助中国股市的数据进行了验证。研究结果表明:股票特质波动率每上升1个百分点,横截面收益要相应补偿3–5个百分点,且不受所有制、行业因素或者股票错误定价的影响。同时,本文从有限套利理论的角度出发,解释了特质波动率与股票横截面收益之间呈现正相关关系的原因。This paper links stock idiosyncratic volatility and its cross-sectional return, theoretically through a general equilibrium framework, and derives the a positive correlation between the two with the data from China＇s stock market. The results show that, one percent increase in idiosyncratic volatility requires three to five percent expected returns to compensate, and the empirical results are robust with respect to ownership, industrial factors or mispricing issue. This paper explains the positive correlation between idiosyncratic volatility and expected return from perspectives of the Limit to Arbitrage Theory.

关 键 词：股票市场 股票横截面收益 风险溢价 特质波动率 有限套利理论 

分 类 号：F224[经济管理—国民经济] F832.51