有限套利是否影响股价特质性波动率的资产定价效应  

Can Limits to Arbitrage Affect the Asset Pricing Effect of Stock Price Idiosyncratic Volatility

作　　者：张华平 曹策远 ZHANG Huaping;CAO Ceyuan(School of Management and Economics,North China University of Water Resources and Electric Power,Zhengzhou 450046,China)

机构地区：[1]华北水利水电大学管理与经济学院,郑州450046

出　　处：《管理科学》2021年第4期149-160,共12页Journal of Management Science

基　　金：国家社会科学基金(19FGLB040);河南省高校科技创新人才(人文社科类)支持计划项目(2021-CX-006);河南省高等学校青年骨干教师培养计划项目(2019GGJS102);河南省高等学校重点科研项目(20A790017);河南省教育厅人文社会科学研究一般项目(2020-ZZJH-262)。

摘　　要：根据经典的资产定价模型,预期股票收益率仅取决于其市场风险水平,股价特质性波动率不具有资产定价效应。但近年的研究发现,股价特质性波动率能负向预测未来股票收益率,这种与经典资产定价理论相违背的现象被称为特质性波动率溢价之谜。有研究认为,有限套利下的错误定价是该资产定价谜团的成因。与发达市场相比,中国股市中特殊的融资融券制度、涨跌停制度和个体投资主导的特殊制度背景特征为从有限套利视角探究股价特质性波动率溢价之谜成因提供了机会。梳理股价特质性波动率资产定价效应存在性及成因的相关研究,并理论分析股价特质性波动率的资产定价效应在中国A股市场的存在性及有限套利因素的影响。以1993年至2019年中国A股上市公司为样本,立足中国A股特殊制度背景构建指标测量有限套利成本,并综合运用相关性分析、单变量资产组合收益率分析、双变量资产组合收益率分析、回归分析等实证研究方法,实证检验股价特质性波动率溢价在中国A股市场的存在性及有限套利对该资产定价异象的解释力。研究结果表明,股价特质性波动率溢价之谜稳健地存在于中国A股市场,表现为个股月内日收益的特质性波动率能显著负向影响下月个股收益率;基于中国特殊制度背景构建的综合有限套利指标对特质性波动率溢价之谜具有显著的解释力,表现为有限套利程度越高的样本中,股价特质性波动率溢价之谜越强,在有限套利程度较低的样本中则较弱。研究结果提供了股价特质性波动率溢价之谜在中国股票市场存在性及其成因的新证据,丰富了有关股价特质性波动溢价之谜的研究,并为研究中国A股市场资产定价异象提供了可借鉴的框架。从实践上看,研究结果为评价中国A股市场的涨跌停制度、融资融券交易制度、股指期货等市场规制的�According to the classical asset pricing model,expected stock return in security market is only determined by systematic risk,and idiosyncratic stock return volatility have no asset pricing effect.Recent studies found that idiosyncratic stock return volatility can negatively predict the following monthly stock return,and this phenomenon contrasted with classical asset pricing theory is called idiosyncratic stock return volatility premium puzzle.Some researchers believe that mispricing associated with limits to arbitrage is the cause of this asset pricing puzzle.In Chinese A-share market,the margin trading and short selling regulation,trading price limits rule,and individual investors dominating the market,which are different from that of developed security market,and provide a good opportunity for us to investigate the cause of this asset pricing puzzle.This study reviewed the literature on the existence and causes of the idiosyncratic stock return volatility premium puzzle,and theatrically analyzed the existence of this effect and how limits to arbitrage affect this asset pricing effect.Using listed firms in Chinese A-share market during 1993-2019 as sample,this research constructed comprehensive indicators to measure the cost of limits to arbitrage based on special regulation factors in Chinese A-share market.After all the above,this study empirically investigated whether idiosyncratic stock return volatility premium puzzle existed in Chinese A-share market and how limits to arbitrages affect this phenomenon by using correlation analysis,univariate portfolio return analysis,bivariate portfolio return analysis,and regression analysis.This study found that the existence of idiosyncratic stock return volatility premium puzzle is robust in Chinese A-share market,which indicates that idiosyncratic stock return volatility within one month can negatively predict stock return in the following month.Limits to arbitrage measures related with special background in Chinese stock market can partly explain the idiosyncratic

关 键 词：特质性波动率溢价 有限套利 资产组合 股票收益率 资产定价 

分 类 号：F830.9[经济管理—金融学]