异质信息源对特质波动率定价的影响研究——基于沪深A股上市公司的实证  

Research on the Impact of Heterogeneous Information Sources on Idiosyncratic Volatility Pricing—Empirical Analysis Based on A-Share Firms Listed on the Shanghai and Shenzhen Stock Exchanges

作　　者：林忠国[1] 于仰志 魏瑀含 Lin Zhongguo;Yu Yangzhi;Wei Yuhan(College of Management and Economics,Tianjin University,Tianjin 300072,China)

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《天津大学学报（社会科学版）》2023年第1期37-47,共11页Journal of Tianjin University：Social Sciences

基　　金：国家自然科学基金资助项目(71790594,71601140);天津市哲学社会科学规划项目(TJYY16-005Q).

摘　　要：关于特质波动率与预期收益率的关系一直是学者研究的焦点,而“特质波动率之谜”至今尚无完美的解释。文章以2011—2020年中国A股上市公司为样本,尝试从信息角度分析特质波动率与预期收益率的关系。构建知情交易概率因子作为信息指标,选择股吧帖子、网络财经新闻和传统报刊财经新闻三种异质信息源,并考虑不同情感倾向,检验异质信息对特质波动率定价的影响。通过构建投资组合和Fama-Macbeth回归,发现中国股票市场存在“特质波动率之谜”,即具有高特质波动率的股票会有低预期收益率,知情交易概率一定程度上削弱了特质波动率与预期收益率的负向关系。对异质信息源的研究发现,相比于网络财经新闻和传统报刊财经新闻,股吧帖子起到了传递信息的作用,削弱了特质波动率与预期收益率的负向关系。The relationship between idiosyncratic volatility and expected return has always been the focus of scholars,but the“Idiosyncratic Volatility Puzzle”has not been perfectly solved up to now.Selecting A-share listed firms in Chinese stock market from 2011 to 2020 as the sample,this paper attempts to analyze the relationship between idiosyncratic volatility and expected return from the perspective of information.This paper constructs the probability of informed trading as a measure of information,selects three heterogeneous information sources,namely stock forum posts,online financial news and traditional financial news,and involves different emotional tendencies to test the impact of heterogeneous information on idiosyncratic volatility pricing.By constructing portfolio and using Fama-Macbeth regression,it is found that there exists“Idiosyncratic Volatility Puzzle”in Chinese stock market,that is,stock with high idiosyncratic volatility will have low expected return,and the probability of informed trading weakens the negative relationship between idiosyncratic volatility and expected return to some extent.The study of heterogeneous information sources indicates that,compared with online and news,stock forum plays an important role in spreading information and weakening the negative relationship between idiosyncratic volatility and expected return.

关 键 词：特质波动率 预期收益率 股吧帖子 网络财经新闻 传统报刊财经新闻 

分 类 号：F832.5[经济管理—金融学]