摘要
研究实证考察了我国沪深A股市场个股价格的跳跃行为与其预期收益率之间的经验关系。在Yan’s(2011)的假设下,个股收益率分布的厚尾性是个股价格跳跃行为的良好代理变量;将个股收益率分布的厚尾性视为其跳跃行为,实证结果表明,跳跃行为能够显著影响个股的横截面预期收益率,而且,横截面上股票的跳跃行为越大,其预期收益率就越低。
We examine the relationship between the individual stock’s jump behavior and its expected return in Chinese A- share stock market. Under Yan’s (2011) theory framework, fat tail is a proper proxy of individual stock’s jump behavior. The sort analysis and the Fama-Mac Beth regression show that, the jump behavior is a significant influence factor of the expected stock return, i.e., the higher the jump behavior, the lower the expected stock return, even after controlling for other common risk factors.
出处
《金融理论与实践》
北大核心
2016年第11期40-45,共6页
Financial Theory and Practice
基金
国家社会科学基金青年项目(编号:14CJY064)
江西省高校人文社科项目(基地招标
编号:JD1457)
江西省教育厅科技项目(编号:GJJ150453)
江西财经大学金融学院青年英才扶持计划的资助