已实现跳跃波动与中国股市风险溢价研究——基于股票组合视角

Realized jump volatility components and portfolio risk premium in Chinese stock market

基于我国股市5分钟高频数据为研究样本,采用非参数方法估计了Fama-French25个股票组合的已实现跳跃波动率的主要成分(规模、均值、标准差和到达率等),实证分析表明:(1)已实现跳跃波动的主要成分可通过线性和非线性(交叉项)形式预测大部分股票组合的超额收益率.(2)已实现跳跃波动率成分在一定程度上可以通过线性方式解释股票组合的横截面收益.(3)已实现跳跃波动率可能是Fama-French三因子模型中规模因子和账面市值比因子的背后驱动因素.

Based on the 5-minute high frequency data from the Chinese stock market, and with the non-parametric method, the realized jump volatility components （the size, mean, standard deviation and arrival rate） are estimated, and the empirical results show that： 1 ） the realized jump volatility components can predict the excessive return of most of the 25 portfolios, with the linear and non-linear time series regression model; 2） the realized jump volatility components have some explanation power for the portfolio return, with the linear cross sectional regression model; 3） the realized jump volatility is possibly the drive force for the size effect and B/M ratio effect in the Fama-French 3-factor model.