股价波动持续性与反转收益

Volatility Persistence of Stock Return and Reversal Strategy

动量效应和反转效应是资本市场的热点话题,学术界给出了诸多解释,但鲜有文献从风险时变性视角关注到波动持续性的影响。基于2005—2021年我国A股市场个股数据,利用GARCH族模型度量股价波动持续性,分别通过投资组合分析与混同横截面分析,实证检验了个股股价波动持续性与股票预期收益之间的关系。研究发现:股价波动持续性与预期收益之间存在显著的负相关关系;通过构建多空组合,在买入波动持续性小的股票的同时卖出波动持续性大的股票,能够获得显著的超额收益。同时,针对我国A股市场存在“反转效应”的特征事实,进一步检验了股价波动持续性对反转收益的影响。经验证据表明,股价波动持续性放大了反转收益。因此,投资者可以通过纳入刻画股价波动持续性与反转效应的因子改善投资组合的业绩;监管部门应加强对股价波动持续性的实时关注,并将其作为系统性风险预警的重点指标。

What should be thought over in investment management are not only the volatility of return,but also the persistence of volatility.By using the sample of Chinese A shares from 2005 to 2021,we explore the impact of volatility persistence on the expected stock return and the momentum/reversal effect following the risk-based perspective.Firstly,we model stock return in a setting of the GARCH family model and take the GARCH parameter as volatility persistence measure.Then,we find the negative relation between volatility persistence and expected stock returns by both portfolio analysis and the regression method in cross section.Further,we find there is no momentum effect at Chinese A share market,and the volatility persistence of stock return strengthens the reversal effect.Our investigation not only provides a new perspective for understanding the relation between stock price volatility and future return,but also provides empirical evidence for the rationally classical analysis of momentum/reversal effect.Investment managers could improve performance by including factors that describe the volatility persistence and reversal effects.Regulators should also consider them in risk monitoring to prevent systemic financial risks.