服从随机游走假设的特质波动风险与横截面收益的相关性检验

On Correlation Examination of Idiosyncratic Risk and Cross-section Stock Return-Based on RWH

股票市场的卖空限制、市场信息透明度的缺乏等使得投资者无法进行多样化投资,特质波动风险成为投资者面临的主要风险.本文首先针对存在争议的特质波动风险度量指标进行有效性检验,并确定EGARCH模型度量指标才满足随机游走假设.以我国沪深两市2003-2014年股票为样本,进行特质波动风险与横截面收益的截面回归分析,得出特质波动风险与横截面收益呈显著正相关,显著的动量效应是主要原因.同时得出"特质波动之谜"的结论主要是由于特质波动风险度量方法不当造成的伪现象,也不能简单依据已实现的特质波动率与横截面收益相关性直接推导期望特质波动率与横截面收益的关系.最后采用二维投资组合分析方法对所得结论做了进一步验证,得出我国股票市场未出现"特质波动之谜".

Diversified investment in the stock market cannot be achieved for the short-sale constraints and transparency limitation, and then the idiosyncratic risk become the principal risk faced with investors. In the wake of idiosyncratic volatility puzzle been put forward with Ang (2006), the relationship is disputed between idiosyncratic risk and cross-section stock return. Based on the above, in this paper, the effectiveness test of idiosyncratic risk measurement has been conducted firstly, and then EGARCH model been chosen for its following a random walk. Secondly, the cross section regression analysis of idiosyncratic risk and stock return have been tested during 2003-2014, and the significant positive correlation been found for the significant momentum effect. Besides, idiosyncratic volatility puzzle is just a pseudo phenomenon because of different measurement, and the realized idiosyncratic volatility is not a effective indicator for the idiosyncratic risk. Last, the test results are verified further with two dimensional portfolio analysis, and get the conclusion that there is no idiosyncratic volatility puzzle in China s A-Share Market.