模糊是低特质波动率异象的成因吗?——来自中国股市的证据  

Is Ambiguity the Cause of Low-Idiosyncratic Volatility Anomaly?——Evidence from Chinese Stock Market

作　　者：于孝建[1,2] 冯小涛 陈曦[1] YU Xiao-jian;FENG Xiao-tao;CHEN Xi(School of Economics and Finance,South China University of Technology,Guangzhou 510006,Guangdong,China;Research Center of Financial Engineering,South China University of Technology,Guangzhou 510006,Guangdong,China)

机构地区：[1]华南理工大学经济与金融学院,广东广州510006 [2]华南理工大学金融工程研究中心,广东广州510006

出　　处：《华南理工大学学报（社会科学版）》2020年第5期53-65,共13页Journal of South China University of Technology(Social Science Edition)

基　　金：中央高校基本科研业务费专项资金资助(XYMS201908)。

摘　　要：低特质波动率异象广泛存在于不同的股票市场中。特质波动率的变化反应出个股特有信息的概率分布具有不确定性,即具有模糊性。用特质波动率的标准差来度量模糊度,发现根据模糊度分组后的股票多空组合存在显著超额收益,即存在模糊溢价。研究表明,高模糊度分组下存在低特质波动率异象,引入模糊度后显著降低了特质波动率的影响,模糊溢价能解释特质波动率异象。对于高特质波动率的股票,投资者偏好模糊,负的模糊溢价冲减了正的风险溢价,预期收益减少;对于低特质波动率的股票,投资者厌恶模糊,正的模糊溢价加上正的风险溢价,预期收益增加。此外,股市状态也会影响模糊对异象的解释,股市处于波动时期时,模糊对异象的解释能力更强。The low-idiosyncratic volatility anomaly is widely found in different stock markets. The change of idiosyncratic volatility reflects the uncertainty of the probability distribution of individual stocks, that is, it has ambiguity. We use the standard deviation of idiosyncratic volatility to measure the ambiguity and find that there is a significant excess return in the long-short portfolio of stocks after grouping according to ambiguity, which is called ambiguity premium. We also find that there is a low-idiosyncratic volatility anomaly under the high ambiguity grouping and the influence of idiosyncratic volatility is in a significant drop after introducing ambiguity. The ambiguity premium can explain the low-idiosyncratic volatility anomaly. For the stocks with high idiosyncratic volatility, investors prefer ambiguity, and negative ambiguity premium reduces positive risk premium;expected return will decrease, and vice versa. In addition, the degree of market stability will affect the interpretation of the anomaly by ambiguity,and ambiguity is more powerful in explaining the anomaly when the stock market is in a period of volatility.

关 键 词：低特质波动率异象 时变性 模糊 模糊溢价 

分 类 号：F830[经济管理—金融学]