特质风险与股票预期收益关系探究

Research on the Relationship Between Idiosyncratic Risk and Stock Expected Return

本文选取2000年-2020年沪深A股月数据,运用Fama-Mac Beth两阶段回归法研究特质风险与股票预期收益关系,实证发现股市存在特质波动率之谜的原因为卖空限制。当股市不存在卖空限制时,特质波动率异象消失。并且当股票存在潜在收益时,特质风险与股票预期收益呈显著正相关;当股票存在潜在损失时,特质风险与股票预期收益呈显著负相关,这与累积前景理论研究结果一致。本文基于系数分解法探究发现相比其他因素,换手率对两者关系具有较强的影响力。

Based on Shanghai and Shenzhen A shares’ monthly data from 2000 to 2020, this paper used Fama-MacBeth two-stage regression to explore the relationship between idiosyncratic risk and stock expected returns. It showed the reason resulting in idiosyncratic volatility puzzle was shortselling constraint, the negative relationship between above was no longer sinificant if without shortselling constraint. This paper found that when stocks were in potential returns position, their relations was negative;instead, their relation was postive, which could be explained by cumulative prospect theory.In addition, this paper also investigated their influencing factors on the basis of coefficient decomposition methodology, which showed that turnover rate had stronger influence than other variables.