高阶矩风险与市场收益:来自中国期权市场的证据  

Higher-order moment risk and stock market returns:Evidence from China's options market

作　　者：周倜 王云奇 ZHOU Ti;WANG Yun-qi(Department of Finance,School of Business,Southern University of Science and Technology,Shenzhen 518055,China;Postdoctoral Workstation,Shenzhen Stock Exchange,Shenzhen 518038,China)

机构地区：[1]南方科技大学商学院金融系,深圳518055 [2]深圳证券交易所博士后工作站,深圳518038

出　　处：《管理科学学报》2024年第5期122-140,共19页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71971068);广东省哲学社会科学“十三五”规划资助项目(GD20XGL31);深圳市自然科学基金资助稳定支持项目(20200925160401001);中国博士后科学基金资助项目(2024M752155)。

摘　　要：基于上证50ETF期权隐含的方差和高阶矩的期限结构,本研究使用偏最小二乘回归的降维方法构造了与中国股票市场收益相关的方差-高阶矩风险因子.实证结果显示,在2015年到2020年的样本期内,该风险因子显著地预测未来1个月以及2周至8周的市场收益,月度样本内和样本外R^(2)分别达到了10.08%和6.55%.在控制了常见的经济预测变量和期权变量后,该因子的预测能力仍然保持显著.这表明我国股市收益中包含了对偏度和峰度风险的补偿,与含时变高阶矩的资产定价模型相一致.在经济价值方面,方差-高阶矩因子的预测能力可为投资者在市场择时交易中带来可观的收益.结果表明,中国期权市场提供了高阶矩风险的独特信息,这为理解我国股市风险与收益的权衡关系提供了新的角度.Using the term structures of risk-neutral variances and higher-order moments implied from SSE 50 ETF Options,this paper employs partial least squares regression to construct a variance-higher moment risk factor that tracks China A-share market returns.During the sample period from 2015 to 2020,the factor significantly predicts monthly market returns and weekly cumulative returns from two weeks up to eight weeks into the future.The in-and out-of-sample R^(2) statistics reach 10.08%and 6.55%at the monthly horizon.The predictability of the factor is robust to the inclusion of popular economic variables and alternative option-based predictors.This result suggests that the risk premium of China's A-share market involves the compensation for bearing systematic skewness and kurtosis risk,consistent with the conditional CAPM with higher-order moments.The predictability of the moment risk factor can deliver sizable economic gains to investors in realtime.Overall,our evidence reveals that China's options market provides unique information about higher-moment risk that helps to understand the risk-return tradeoff in the A-share market.

关 键 词：上证50ETF期权 风险中性高阶矩 股票收益率可预测性 偏最小二乘回归 时变高阶矩CAPM 

分 类 号：F830.9[经济管理—金融学]