我国证券市场公司特质波动能够被定价吗——基于“非资产定价模型分解法”的测度与检验

Can the Idiosyncratic Volatility Be Priced in Chinese Securities Market——Based on Measures by "Independent-Model Decomposition" and Test

根据我国A股市场数据,运用"非资产定价模型分解法"将个股风险分解为市场风险、行业层面风险和公司特质风险,并通过实证检验得出如下结论:(1)从1995年到2010年的15年中,我国证券市场的平均公司特质风险经历了下降和上升的"U"型趋势,并且时间序列平稳;(2)公司特质风险在个股波动中的比例不断升高,逐渐成为个股风险的主要来源;(3)在三个层面风险中,只有市场风险具有市场收益的预测能力,公司特质风险和行业层面风险则不具备这样的能力。上述实证结果表明,公司特质风险没有被市场收益定价,也就是说,在我国证券市场上,特质风险只是反映了公司层面信息的不确定性。

Based on data from Chinese A-share stock market, this paper applies ＂The Model-Independent Decomposition＂ and brings out the following conclusion： （1）The level of idiosyncratic risk in Chinese stock market have U-trend which be initially de- creased and then increased in the period 1995 to 2010, and is time trend stationary; （2）Idiosyncratic risk in the proportion of the total volatility rise up constantly and become tile main source of stock risk gradually; （3）Only market risk is priced, but industry level risk and idiosyncratic risk does not. These conclusions reveal that idiosyncratic risk just reflects company-wide information uncertainty.