股票价格的跳跃行为与横截面股票预期收益率——基于沪深A股市场的实证研究

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.