股市特质风险因子与股票收益率——基于模型设定误差的实证分析  

Idiosyncratic Risk Premium and Stock Returns： An Empirical Analysis Based on Model Misspecification

作　　者：熊伟[1] 陈浪南[2] 

机构地区：[1]深圳证券交易所综合研究所 [2]中山大学岭南学院

出　　处：《金融学季刊》2015年第2期1-25,共25页Quarterly Journal of Finance

基　　金：中山大学博士研究生国外访学与国际合作研究项目资助

摘　　要：本文按照控制规模效应后的股票特质波动率大小构造投资组合，将高特质波动率组合与低特质波动率组合的加权平均收益率之差作为特质风险因子。以1992年7月1日至2013年12月31日沪、深两市股票为样本，我们发现：（1）股市特质风险因子对股票市场收益和市场波动有一定的预测作用。（2）股市特质风险因子可以增加Fama-French三因子模型对股票收益截面差异的解释能力。本文结果对含误差变量和模型设定误差、样本区间和测试资产的选择是稳健的。This paper identifies a common risk factor IVF, which is the difference between re- turns on stocks with low idiosyncratic volatility and returns on stocks with high idiosyncratic volatili-ty, in the returns on stocks. By employing the daily and monthly data of stocks in Shanghai Stock Exchange and Shenzhen Stock Exchange from 1 July, 1992 to 31 December, 2013, we find that IVF is positively correlated to the future stock market return and stock market variance. The idio- syncratic risk-based factor adds additional information over and above the Fama-French factors in the tow-pass cross-sectional regression. The derived test statistics have been adjusted for error-in- variables and model misspecification. Our results are robust to sample interval and test assets.

关 键 词：股票特质波动率 系统性风险 资产定价 模型设定误差 

分 类 号：G11[文化科学]