异质信念、卖空机制与“特质波动率之谜”--基于2698家中国A股上市公司的证据

Heterogeneous Information,Short Selling and The Idiosyncratic Volatility Puzzle——Based on the Evidence from 2,698 Listed Companies from China's A Stock Market

笔者以1996—2015年2698家中国A股上市公司为样本,运用投资组合分析以及Fama-Macbeth、双重差分方法,从异质信念、卖空机制的角度探讨中国股票市场是否存在"特质波动率之谜"。研究发现,特质波动率与预期收益之间呈现显著的负向相关关系,低特质波动率股票有着高预期收益率,而高特质波动率股票的预期收益率较低。在控制了一系列可能影响收益率的因素后,这种负相关关系仍然存在,但是换手率因素可能影响"特质波动率之谜"。进一步,建立双重差分模型,证实融资融券的开展能够降低异质信念以及特质波动率水平,通过倾向得分匹配(PSM)检验,发现这种负向关系仍然显著存在。

In this paper, 2698 listed companies range from 1996 to 2015 are used as our sample. We use the portfolio analyses and Fama-Macbeth cross-sectional regression analyses, to check the existence of the idiosyncratic volatility puzzle in China from the perspective of heterogeneous information and short selling. We fmd that, there exits negative relationship between idiosyncratic volatility and expected return, the stocks with low idiosyncratic volatility has high return, however the stocks with high idiosyncratic volatility has low return. After controlled for several factors which may influence the return, there still exists negative relationship, but the monthly turnover may influence ＂idiosyncratic volatility puzzle＂. Further, based on the difference-in-difference model, we find that the securities margin trading can reduce the level of turnover and idiosyncratic volatility.