基于前瞻信息的广义风险与收益率预测  

Generalized measure of risk based on forward-looking information and predictability of return rate

作　　者：黄金波 尤亦玲 李仲飞 HUANG Jin-bo;YOU Yi-ling;LI Zhong-fei(College of Economics,Shenzhen University,Shenzhen 518060,China;China School of Banking and Finance,University of International Business and Economics,Beijing 100029,China;School of Business,Southern University of Science and Technology,Shenzhen 518055,China)

机构地区：[1]深圳大学经济学院,深圳518060 [2]对外经济贸易大学中国金融学院,北京100029 [3]南方科技大学商学院,深圳518055

出　　处：《管理科学学报》2024年第3期91-111,共21页Journal of Management Sciences in China

基　　金：国家自然科学基金资助重大项目(71991474);国家自然科学基金资助项目(71971068;72371079);广东省自然科学基金资助项目(2023B1515020045);广州市科技计划资助项目(20212210002);深大社科2035计划资助重大攻关项目(ZYZD2302);深圳市软科学研究重点项目(202310173000042).

摘　　要：当预期资产价格可能会下跌时,投资者可以交易期权来对冲风险,因此期权价格中隐含未来市场风险的前瞻信息,理论上基于这部分信息预测未来可提高预测的准确性和前瞻性.本文综合运用有限差分、约束最小二乘和广义极值分布等技术构建一种非参数方法,提取我国上证50ETF期权中隐含的前瞻性分布信息,以测算我国股票市场的广义风险.实证结果发现:隐含广义风险指标对未来风险调整收益具有显著预测能力,在其它预测因子基础上加入该指标可以显著改进风险调整收益的样本外预测精度;隐含广义风险指标还能反映收益率的高阶矩和尾部信息,进而能预测未来收益率发生下跳风险的概率.以上结论在控制一系列其它风险因子及不同样本区间和不同预测窗口下是稳健的,说明基于前瞻信息的广义风险指标含有其它风险因子所不具备的额外预测信息.本研究为投资者和监管部门防范化解金融市场风险提供新的前瞻性管理工具和手段.When the expected asset prices are likely to fall sharply,investors can use options to hedge.Therefore,option prices contain forward-looking information about future market risk.Theoretically,the forwardlooking information can improve forecast accuracy and foresight.This paper employs finite difference,constrained least square and generalized extreme value distribution methods to construct a non-parametric,generalized option-implied risk measure(GR)in order to measure risk in China’s stock market.The empirical results based on the SSE 50ETF options show that the GR index has a significant predictive ability for the future risk-adjusted return and adding this index to other predictors can improve the out-of-sample predictive power of other factors.Furthermore,the GR index can reflect the high-order moments and tail information of returns,and can be used as a significant predictor for a downward jump risk in future returns.The above results are robust after controlling a series of risk factors and using alternative sample periods and prediction windows,indicating that the GR index with forward-looking information contains additional prediction information that other risk factors do not have.This study provides a new forward-looking management tool and approach for investors and regulators to prevent and mitigate financial market risks.

关 键 词：前瞻信息 广义风险 收益率预测 非参数方法 上证50ETF期权 

分 类 号：F830.9[经济管理—金融学]