价格波动性与股票预期回报——基于中国市场的初步证据

Price Volatility and Expected Stock Returns:Preliminary Evidence from China's Stock Market

基于国际资本市场数据的研究发现,股票价格的波动率和股票未来的回报率负相关,而且风险差异不能解释这个现象,文章使用中国股票市场的数据发现了相同的结论。在1998年1月到2003年12月期间内,基于过去一个月内股价波动率的对冲组合在未来六个月内能够取得0.32%的月风险调整超额回报率。M iller(1977)认为股价波动性代表了投资者对股票价值评估的不确定性和异质性,因为卖空限制的存在,波动性高的股票的价格更多地反映了乐观投资者的看法,因而出现高估价值的错误定价。文章分析认为M iller的错误定价理论能够解释股价波动率与未来回报率之间的负相关关系。

Extant literature documented a negative relationship between past price volatility and future stock returns by using data from international markets. Risk difference can not explain this negative relationship. In this paper, we use Chinese stock data and find similar results. Between 1998 and 2003, a hedge strategy that longs low volatility stocks and shorts high volatility stocks generates a monthly riskadjusted return of 0. 32%. Miller （ 1977 ） proposed that stock volatility represented uncertainty and heterogeneity of stock value. Due to short-sale constraint, more investors with negative option about the high volatility stocks are kept out of the market, thus these stocks are overvalued, and subsequently earn lower returns. Our results are consistent with the Miller＇s proposition.