特异性尾部风险、混合尾部风险与资产定价——来自我国A股市场的证据  

Idiosyncratic tail risk,hybrid tail risk and asset pricing: Evidence from China’s A-share market

作　　者：凌爱凡[1] 谢林利[1] LING Ai-fan;XIE Lin-li(School of Finance,Jiangxi University of Finance and Economics,Nanchang 330013,China)

机构地区：[1]江西财经大学金融学院

出　　处：《管理科学学报》2019年第8期71-87,共17页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71771107;71371090)

摘　　要：使用下偏距(lower partial moment,LPM)来度量投资组合尾部风险,将组合的尾部风险分解成三部分:特异性尾部风险、个股的系统性尾部风险和混合尾部风险.论文分别研究了三种尾部风险对资产预期收益的定价功能,基于我国A股市场股票数据进行Fama-MacBeth截面回归发现:1)特异性尾部风险与资产期望收益呈显著负相关关系;2)混合尾部风险与资产预期具有显著的正相关关系,具有稳健的显著正向定价作用,对资产预期收益的影响强于市场贝塔和市场下方贝塔(downside beta)的影响;3)系统性尾部风险对资产收益预期的影响最弱;4)利用Fama-French-Carhart四因子模型对特异性尾部风险和混合尾部风险进行回归后发现,特异性尾部风险与混合尾部风险均具有显著四因子alpha系数,表明四因子模型不能很好的解释两种尾部风险与资产预期收益的关系.Tail risks of portfolios measured by the lower partial moment(LPM)can be decomposed into idiosyncratic tail risk,systematic tail risk and hybrid tail risk.This paper studies the pricing functions of the three types of tail risks on the expected return of assets.The evidences from China A-share market show that:1)idiosyncratic tail risk has a significantly negative correlation with the expected return of cross-sectional assets.2)There is a significantly positive correlation between hybrid tail risk and the expected returns of assets.Hence,hybrid tail risk has a strong positive pricing power which is stronger than the market beta and downside beta.3)Systemic tail risk has the weakest impact on the expected return of assets.4)The portfolio returns difference series based on the idiosyncratic tail risk and hybrid tail risk are tested by the four-factor model,and the time series regression shows significant four-factor alphas for both tail risks.This shows that the relationship between idiosyncratic and hybrid tail risk and the expected returns of assets cannot be explained by the four-factor model.

关 键 词：资产定价 下偏距 特异性尾部风险 混合尾部风险 系统性风险尾部风险 

分 类 号：F830.9[经济管理—金融学]