基于投资者意见分歧的风险与收益关系实证研究

Empirical Research on Risk-return Relation Based on Investor Divergent Opinions

以综合A股市场为研究对象,检验投资者意见分歧对市场风险—收益关系的影响。研究结果表明,当市场分歧较小时,风险和收益之间具有强烈的正相关性;当市场分歧较大时,两者之间的关系则变得十分微弱。投资者意见分歧会削弱市场上的风险与收益关系,影响人们对风险的厌恶程度。意见分歧不仅能够直接预测收益,而且能通过影响风险补偿进而间接地预测收益,使风险补偿更快地发挥作用。

This paper examines the influence of investor divergent opinions on the market's risk-return tradeoff based on A-share stock market. The result shows that there is a strong positive tradeoff in low-divergence periods but little if any relation in high-divergence periods. Hence,investor divergent opinions attenuates the link between risk and expected return,resulting in time-varying risk aversion. To ensure the reliability of research conclusions above,we use three volatility models as well as two widely acknowledged proxies for investor divergent opinions,which are volume and analyst forecast dispersion. At last,the conclusion is proved to be robust across all the checks above. This paper contributes a lot to asset pricing studies based on investor divergent opinions,since our findings shows that the disagreement not only predicts return directly,but also return indirectly through its effects on risk premium,and what's more,the latter one comes into play faster.