特质波动率策略中的流动性

The Liquidity in Idiosyncratic Volatility Strategy

特质波动率与收益率的关系在文献中存在着争议。本文不仅证实了中国市场中特质波动率与收益率的负向关系，还进一步分析了这种负向关系产生的主要原因。本文通过构建理论模型，发现CAPM或者Fama—French三因素模型由于忽略了流动性因素，会导致特质波动率策略收益的高估，而这种高估的程度与流动性的波动水平高度相关。本文采用中国市场数据实证了模型的推论，通过比较发现：虽然流动性静态和动态两个渠道均发挥着重要的作用，但静态渠道的影响还是略高，流动性的交易成本维度是最重要的维度。本文还比较了流动性因素与其他可能因素在特质波动率策略中的作用，发现流动性是驱动特质波动率与收益率负向关系的重要因素。

The relationship between idiosyncratic volatility and return is mixed in the literature. We not only verify the negative relationship between them, but also analyze the major mechanism. It is that ignoring liquidity variables in CAPM or Fama-French Model leads to overestimate the hedge profit. The level of overestimation is closely related to variance of liquidity. Our empirical test provides solid evidence for our argument. Besides, the static channel of liquidity is a little more important than the dynamic channel, though both of them are important in asset pricing. The transaction cost dimension weights relatively more than transaction speed and price impact. After comparing with other potential factors, we find that liquidity vitally drives this phenomenon.