特质波动率与股票收益——基于Fama-French五因子模型的研究  

Idiosyncratic Volatility and Stock Returns:A Fama-French Five-Factor Model Perspective

作　　者：熊熊[1,2] 孟永强 李冉[1] 沈德华[1,2] XIONG Xiong MENG Yongqiang LI Ran SHEN Dehua(College of Management and Economics, Tianjin University, Tianjin 300072 China Center for Social Computing and Analytics, Tianjin University, Tianjin 300072)

机构地区：[1]天津大学管理与经济学部,天津300072 [2]中国社会计算研究中心,天津300072

出　　处：《系统科学与数学》2017年第7期1595-1604,共10页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金(71532009;71320107003;71271145);天津市教委社会科学重大项目(2014ZD13)资助课题

摘　　要：股票收益与风险之间的关系一直以来都是金融学理论研究的核心问题.近年来,针对股票收益与特质风险之间的关系的研究受到了越来越多的学者的关注.在有效市场的理论下,通过构建多样化投资组合,投资者可以分散公司的特质风险,使组合收益更多的与市场风险相关.然而由于投资者之间信息不对称、市场政策差异化、资金成本不均衡等因素的影响,往往无法构建其目标组合,于是无法分散的特质风险就会在一定程度上影响股票收益.该文章以沪深A股自2000年1月4日至2015年12月31日共计3871个交易日的日收益率数据作为研究样本,通过滚动窗口分析的方法,以最新的五因子模型为切入点,研究发现了在中国股票市场中特质波动率与股票收益之间的负相关关系,并通过构建高特质风险与低特质风险股票组合进一步发现特质波动率与收益之间的负相关关系在经济意义上显著.The relationship between stock returns and risk has long been the re- search focus in financial theories. Recently, scholars pay more attention to the rela- tionship between idiosyncratic risk and stock returns. Under the theory of efficient market hypothesis, investors can reduce idiosyncratic risk by constructing diversified portfolios and make portfolio-return related much more to market risk. However,due to the information asymmetry, market policies, capital costs and other factors, investors cannot always build the desired portfolios.Therefore,idiosyncratic risk will have material impacts on stock returns. In this paper, we choose all the A-share stocks in Shanghai Stock Exchange and Shenzhen Stock Exchange from January 4, 2000 to December 31, 2015 with 3871 trading days in the sample and apply the rolling window analysis and Pama-French five-factor model to calculate the idiosyncratic volatility. The empirical results show a negative relationship between idiosyncratic risk and stock returns in Chinese Stock Market. Besides, we construct high-low idiosyncratic risk portfolios, which confirms the economically significant relationship between id- iosyncratic risk and stock returns.

关 键 词：特质波动率 股票收益 Fama-French五因子模型 滚动窗口分析 投资组合. 

分 类 号：F224[经济管理—国民经济] F832.51