个股模糊的测度与定价研究——来自中国A股市场2005~2023年高频交易数据的证据  

A Study on the Measurement and Pricing of Individual Stock Ambiguity--Evidence From High-frequency Trading Data in Chinas A-share Market,2005~2023

作　　者：罗东东 冯科[1] Luo Dongdong;Feng Ke(School of Economics,Peking University,Beijing 100871,China)

机构地区：[1]北京大学经济学院,北京100871

出　　处：《工业技术经济》2025年第5期133-142,共10页Journal of Industrial Technology and Economy

摘　　要：股票市场的定价效率是金融市场中的基本问题,而个股模糊则对金融市场定价效率有着重要影响。因此,本文基于中国A股市场2005年1月至2023年7月个股的5分钟高频数据,对个股每月的模糊程度进行了度量,并据此构造了模糊因子,对个股模糊的定价能力以及定价来源进行了研究。研究发现:(1)在中国A股市场中,个股模糊具有独立于传统风险的定价能力,该定价能力主要来源于个股在模糊因子上的暴露,而且个股模糊在横截面上也具有独立的定价能力,个股或者组合间存在显著的“高模糊低收益”的负相关关系;(2)通过将个股模糊分解成系统模糊性和特质模糊性,还发现个股模糊的定价能力主要来自于系统模糊,个股的特质模糊并未参与定价。The pricing efficiency of the stock market is a basic problem in the financial market,and the ambiguity of individual stocks plays an important role in the pricing efficiency of the financial market.Using the 5-minute high-frequency data of individual stocks in Chinas A-share market from January 2005 to July 2023,this paper measures the monthly ambiguity of individual stocks and constructs an ambiguity pricing factor to study the pricing ability and pricing source of individual stocks ambiguity.The results show that:(1)In Chinas A-share market,individual stock ambiguity has the risk-independent pricing ability,which is mainly derived from the exposure of individual stocks on ambiguity factor.Besides,individual stocks ambiguity also has risk-independent pricing ability on the cross section,implying a significant“high ambiguity and low return”correlation among individual stocks or portfolios;(2)By decomposing the ambiguity of individual stocks into systematic ambiguity and idiosyncratic ambiguity,this paper also finds that the pricing ability of individual stocks ambiguity comes from systematic ambiguity,and the idiosyncratic ambiguity has no pricing ability.

关 键 词：个股模糊 模糊度量 模糊定价 特质模糊 系统模糊 高频数据 股票市场 定价能力 

分 类 号：F832[经济管理—金融学]