“特质波动之谜”研究述评

Literature Review on“Idiosyncratic Volatility Puzzle”

"特质波动之谜",即"高特质波动股票对应低后期收益",在全球范围内被广泛证实,但对此的质疑也大量存在。从截面和时间序列两个方面对特质波动定价效应及其经济解释的相关研究进行综述,结果发现,对特质波动定价的实证研究并无定论,且基于理性与非理性的解释各不相同:理性的解释认为"特质波动之谜"符合跨期资本资产定价理论(ICAPM),非理性的解释则将其归因于投资者行为偏差与误定价;而特质波动与预期收益正相关也被证实,并被认为与投资者所担负的特质风险得到补偿的理性解释相一致。

Idiosyncratic volatility puzzle, i.e. ＂high idiosyncratic volatility with subsequent low return for stock＂, has been empirically tested worldwide. Meanwhile, many researchers cast doubt on this conclusion. From both cross-sectional and time-se- ries aspects, the effects of idiosyncratic volatility pricing and the corresponding economic explanations are summarized. The results indicate that there are no identical conclusions in empirical research on idiosyncratic volatility pricing and both rational and irrational explanations are different. Idiosyncratic volatility puzzle is considered to be in line with the Inter-temporal Capital Asset Pricing Model （ICAPM） according to rational explanation, but irrational explanation attributes this phenomenon to investors＇ behavioral bias and mispricing. The conclusion that idiosyncratic volatility is positively correlated with expected return is also confirmed and considered to be coincided with the rational explanation of investors＇ idiosyncratic risk being compensated.