中国股市非系统风险被定价的实证研究

An Empirical Study on the Pricing of Idiosyncratic Risk from Chinese Stock Market

以Campbell模型为基础,建立预测回归方程,利用1995至2005年沪、深两市的数据,从宏观角度研究中国股票市场非系统风险对市场超额收益率的预测关系。实证结果表明,非系统风险对市场超额收益率具有显著的正预测能力;在控制流动性效应后,结果具有稳健性;非预期市场流动性对市场超额收益率具有显著的正效应,而系统风险和预期市场流动性对市场超额收益率没有预测能力。这些结果表明非系统风险被定价,同时也可以为中国股票市场机构投资者热衷集中持股现象做出理论解释。

Based on Campbell model,the prediction equation is built to examine the predictability of market excess return with idiosyncratic risk in Chinese stock market with the data from 1995 to 2005.A significant positive relation between idiosyncratic risk and market excess return is found.These relations persist after controlling for liquidity risk known to forecast the stock market.The evidence shows that idiosyncratic risk is priced.The positive effect of unexpected market liquidity on contemporaneous market excess return is also found,and expected market liquidity or systemic risk has no forecasting power for the market excess return.The evidence can be used to explain why institutional investors like to do concentration investment.