特质风险、投资者偏好与股票收益——基于前景理论视角的分析  

Idiosyncratic volatility,investor preference and stock returns:An analysis based on prospect theory

作　　者：赵胜民 刘笑天 ZHAO Sheng-min;LIU Xiao-tian(College of Finance,Nankai University,Tianjin 300350,China)

机构地区：[1]南开大学金融学院,天津300350

出　　处：《管理科学学报》2020年第3期100-115,共16页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71973162).

摘　　要：股票特质风险与预期回报之间的关系一直是学术界争论的焦点.本文在前景理论视角下探究特质波动率、投资者偏好行为及股票预期回报之间的关系,建立了理论模型分析特质波动率对投资者偏好的影响,结果表明:当股票有未实现的资本损失时,特质波动率越大的股票对投资者的吸引力越强,预期收益率与特质波动率负相关;而当股票有未实现的资本收益时,特质波动率越小的股票对投资者的吸引力越强,预期收益率与特质波动率正相关.文章使用Fama-French五因子模型计算特质波动率,使用前景理论效用值衡量投资者偏好,以中国股票市场的实际数据为基础,通过分组检验和Fama-MacBeth回归的方法证明了理论模型的结论.基于前景理论视角的分析在为股票特质风险方向的理论研究形成有益补充的同时,也为投资者的风险管理和资本市场的健康发展提供了理论依据与现实指导.The relation between idiosyncratic risk and expected return is an academic central issue.This paper investigates the relation among idiosyncratic volatility(IVOL),investor preference and stock returns.A theoretical model is established to explore the effect of idiosyncratic volatility on investor preference.The result shows that,for stocks with unrealized capital losses,investors will prefer high idiosyncratic volatility stocks,so the IVOL-retum relation is negative among stocks with unrealized capital losses.While for stocks with unrealized capital gains,investors will prefer low idiosyncratic volatility stocks;so the IVOL-retum relation is positive among stocks with unrealized capital gains.Fama-French five-factor model is used to estimate the idiosyncratic volatility,and prospect theory value is used to measure investor preference.The empirical results from group sorting test and Fama-MacBeth regression based on Chinese stock market supports the conclusion of the theoretical model.Our work based on prospect theory not only contributes to the theoretical research of idiosyncratic volatility puzzle,but also provides theoretical support and realistic guidance for the risk management of investors and the sustainable development of the capital market.

关 键 词：特质波动率 投资者偏好 前景理论 资本利得 

分 类 号：F830.91[经济管理—金融学]