股票的彩票特征对特质波动率之谜的影响研究:基于A股市场的分析  

The Impact of Lottery Characteristics on the Idiosyncratic Volatility Puzzle:An Analysis Based on the China's A-Share Market

作　　者：陈起沅 朱宏泉 CHEN Qiyuan;ZHU Hongquan(School of Economics and Management,Southwest Jiaotong University,Chengdu 610031;Service Science and Innovation Key Laboratory of Sichuan Province,Chengdu 610031)

机构地区：[1]西南交通大学经济管理学院,成都610031 [2]"服务科学与创新"四川省重点实验室,成都610031

出　　处：《系统科学与数学》2023年第12期3108-3125,共18页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金面上项目(72073109,71773100,91746109)资助课题.

摘　　要：具有彩票特征的股票,通常对投资者更具吸引力.这一现象是否有助于解释资产定价领域困扰已久的“IVOL之谜”?文章基于A股市场,探讨了股票的彩票特征对“IVOL之谜”的影响.结果发现:1)股票的彩票特征显著增强了“IVOL之谜”;2)股票的彩票特征对“IVOL之谜”的影响在低股价、小规模和高成长性的公司中更明显;3)融资融券交易能够显著抑制彩票特征对“IVOL之谜”的驱动效应;4)通过分组回归和更换彩票特征测度指标等一系列稳健性检验后,结果依然存在且稳健.文章的工作,既拓展了对“IVOL之谜”的理解,同时也能为投资者和市场监管者的决策行为提供参考.Stocks with lottery characteristics are generally more attractive to investors.Does this help explain the long-standing“IVOL Puzzle”in asset pricing?Based on the China's A-share market,this paper explores the impact of the lottery characteristics on the“IVOL Puzzle”.This study shows that:i)The lottery characteristics significantly enhance the“IVOL Puzzle”;ii)The impact of lottery characteristics on the“IVOL Puzzle”is more evident in low-price,small-size and high-growth firms;iii)Margin trading can significantly inhibit the driving effect of lottery characteristics on the“IVOL Puzzle”and iv)after a series of robustness tests,such as group regression and replacement of the proxy for lottery characteristics,the results are still valid.This paper not only enriches the understanding of the“IVOL Puzzle”,but also provides a reference for the decision-making behavior of investors and market regulators.

关 键 词：彩票特征 特质波动率之谜 股票收益率 A股市场 

分 类 号：F832.51[经济管理—金融学] O213[理学—概率论与数理统计]