投资偏好与“特质波动率之谜”——以中国股票市场A股为研究对象

Investment Preference and the Idiosyncratic Volatility Puzzle——Evidence from China Stock Market

与价格走势平平的股票相比,投资者更愿意选择过去价格变化幅度较大的股票。这种投资偏好是否是产生"特质波动率之谜"的原因呢?本文以中国股票市场A股为研究对象,首先验证中国股票市场"特质波动率之谜"的存在性。随后组合分析和Fama-MacBeth横截面回归分析发现,价格极差可以在一定程度上解释但不能完全解释"特质波动率之谜"。横截面回归结果表明,在价格极差、最大日收益率、换手率三者的共同作用下,特质波动率与股票预期收益之间的负向关系不再显著。由此,对某些特殊股票的投资偏好可能是产生"特质波动率之谜"的主要原因。

There is evidence that investors have stocks with flat price variation. Whether such a preference for stocks with large price variation rather than an investment preference causes the idiosyncratic volatility puzzle.＇？ In this paper, the existence of the idiosyncratic volatility puzzle in China stock market is firstly ex- amined. Then, portfolio analyses and Fama-MaeBeth cross-sectional regression analyses both show that, the range of prices can explain to some extent, but not fully explain the idiosyncratic volatility puzzle. Cross-seetional regression results show that, under the joint effect of the range of prices, the maximum daily return and turnover, the negative relation between the idiosyncratic volatility and expected stock re- turns is no longer statistically signifieant. Thus, the investment preference for some special stocks may be the main cause to produce the idiosyncratic volatility puzzle.