特质波动率、换手率与预期收益关系

Idiosyncratic volatility,turnover and cross-section expected return

运用时间序列分析方法考察特质波动率和换手率对横截面预期收益解释能力之间的区别与联系,采用法马和弗伦奇的组合设计和因子构造方法控制相关因素对预期回报的影响。结果显示,控制换手率会减弱特质波动率对收益回报的解释能力,这种影响是由于换手率与特质波动率之间的相关性造成的;换手率风险溢价主要体现在高特质波动率的组合中,特质波动率风险溢价也主要体现在高换手率组合;卖空限制和投资者异质信念差异导致的投机性交易泡沫可以解释实证结果。

The relationship between the abnormal returns based on idiosyncratic volatility and the turnover is examined with the time-series regression approach.Double sort methods and the orthogonal projection are used to isolate the effects of them on the expected returns.The empirical case shows that stocks with high past idiosyncratic volatility have abnormally low expected returns,and the significance of the phenomenon decreases after controlling for turnover risk in China stock market.It is caused mainly by the correlation between turnover and idiosyncratic volatility.High idiosyncratic volatility may aggravate the low averages returns of stocks with high turnover.Speculative bubbles caused by the heterogeneous beliefs and short sale constraints can help to explain the case.