股市特质风险与股票收益率相关关系的实证研究
Journal of Industrial Engineering and Engineering Management(2017)
Abstract
本文将股票特质风险以系统性风险因子形式引入资产定价过程,实证检验了中国股票市场特质波动率与股票收益率的关系.本文按照股票特质波动率的大小构造投资组合,将高特质波动率组合的加权平均收益率与低特质波动率组合的加权平均收益率之差作为特质风险因子IVF.实证结果表明:(1)特质风险因子对股票市场有一定的预测作用.特质风险因子越高,预期股票市场收益率越高;高波动市场环境下的预期股票市场波动率也越高. (2)特质风险因子可以解释股票收益的截面差异.股票收益与特质风险因子IVF之间的相关性越大,投资者要求的风险溢酬越高,股票期望收益率就越高.
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Key words
Idiosyncratic volatility,Systematic risk factor,Asset pricing
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