我国主板市场股票特质波动率与预期收益关系的实证研究

发布时间：2018-05-29 12:22

本文选题：特质波动率 + 预期收益　；参考：《南京理工大学》2013年硕士论文

【摘要】：经典的资本资产定价模型假定市场是有效的,公司的特质风险可以通过构造投资组合进行有效的分解,公司的特质风险与预期收益无关,不需要得到额外的风险补偿。但是近年来有学者发现公司特质风险与预期收益存在着明显的负相关关系,与传统的资本资产定价相悖。目前为止,还没有确切的理论可以完全解释这种负相关关系,成为了学术界的一个谜,称为“特质波动率之谜”。本文采用我国股权分置改革全面实施后的样本数据,将样本区间划分为融资融券业务开展前后两段,分别对我国主板市场上两个交易所的股票进行了实证研究。主要运用FF三因子模型度量公司特质风险,分别使用投资组合分析法和二维分组分析法定性分析特质波动率与预期收益的相关关系,发现特质波动率与预期收益存在显著的负相关关系,并排除了公司规模、账面市值比、动量和股权集中度的解释能力。最后基于异质信念对股票特质波动率之谜的解释,运用Fama-MacbBeth两步回归法定量分析,将换手率引入回归方程明显地降低了股票特质波动率的系数值与其显著程度。研究表明,即使不存在卖空限制,我国依然存在特质波动率之谜现象,并且该现象可以部分的由异质信念来解释。
[Abstract]:The classical capital asset pricing model assumes that the market is efficient and the company's idiosyncratic risk can be effectively decomposed by constructing a portfolio. The company's idiosyncratic risk has nothing to do with the expected return and does not require additional risk compensation. However, in recent years, some scholars have found that there is an obvious negative correlation between corporate trait risk and expected return, which is contrary to the traditional capital asset pricing. Up to now, there is no definite theory to explain the negative correlation completely, which has become a mystery in academic circles, which is called "the riddle of trait volatility". In this paper, the sample data after the implementation of the split share structure reform in China are adopted, and the sample interval is divided into two sections before and after the launch of the margin trading business. The empirical study is carried out on the two stock exchanges in the main board market of our country. This paper mainly uses FF three-factor model to measure the company's trait risk, and uses the portfolio analysis method and the two-dimensional grouping analysis method to qualitatively analyze the correlation between the trait volatility and the expected return. It is found that idiosyncratic volatility has a significant negative correlation with expected earnings and excludes the explanatory power of firm size, book market value ratio, momentum and equity concentration. Finally, based on the explanation of heterogeneity belief to the riddle of stock idiosyncratic volatility, using Fama-MacbBeth two-step regression method, the turnover rate is introduced into the regression equation, which obviously reduces the coefficient value of stock trait volatility and its significance. The study shows that even if there is no restriction on short selling, there is still a phenomenon of idiosyncratic volatility mystery in China, which can be partly explained by heterogeneous beliefs.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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