公司特质波动在上升吗?——基于文献的述评

The idiosyncratic volatility on the rise?——Based on the literature review

文章针对目前金融经济学的新兴研究领域——公司特质波动,从两个方面进行文献述评:特质波动测度和时间趋势。公司特质波动的测度方法主要依赖于资产定价模型的选择,因此,其误差根据方法的不同而各异;在时间趋势方面,众多学者对在美国及其他发达国家股市存在明显的特质波动上升趋势从各种角度予以解释;由于针对公司特质波动的研究刚刚展开,国内学者的研究成果较少,大部分仅对中国A股市场平均特质波动水平进行相关测度。在文献综述的基础上,文章提出进一步的研究展望,为今后研究提供借鉴和参考之用。

The research about idiosyncratic volatility which already be Emerging field in Financial Economics has been commented in the paper from two aspect： Measure and time trend of idiosyncratic risk. On one hand, Calculation error in the measure of idiosyncratic risk maybe larger by the way of different assets pricing model, The error in the idiosyncratic risk exist in different way. On the other hand, find that idiosyncratic risk has upward trend in US and other developed country, and lot of Scholar try to resolve the phenomenon of upward trend of idiosyncratic volatility in US and other developed country. Domestically, there are fewer research about idiosyncratic volatility so that the paper will put forward some propose as reference for further research.