1、特异性风险与横截面收益率基于中国股票市场的实证检验Idiosyncratic Risk and the Cross-Section of Returns：AnEmpirical Study of China Stock Market张翼指导教师姓名：郑鸣教授专 业 名 称：金融 学摘 要近年来，关于股票特异性风险与横截面收益率的关系的理论得到很大发展，特异性波动率是特异性风险的度量指标，很多实证研究都发现股票的特异性波动率与横截面预期收益有显著的负相关关系。在经典资产定价理论中，投资者可以通过持有充分分散的投资组合来消除公司特异性风险，因而公司的特异性风险不影响资产的均衡定价；在Merton(
2、1987)建立的基于不完全信息的资本市场均衡定价模型中，受不完全信息、市场摩擦等因素的制约，大多数投资者不会持有充分分散的投资组合，因此就承担了部分不能被分散的公司特异性风险，并要求获得更高的回报作为补偿，因而股票特异性风险与预期收益正相关。因为这些经典理论并不能解释风险与收益负相关的实证结果，所以这种现象被称为特异性波动率之谜。本文基于中国股票市场的数据，通过Fama-French 三因素模型估计股票的特异性波动率，并采用GARCH、EGARCH、ARIMA 模型估计特异性波动率的预期值，利用Fama-MacBeth 两步回归法和投资组合分析法对我国股票市场特异性波动率与横截面收益率的关系进
3、行实证研究。本文发现，在我国股票特异性波动率与横截面收益率也存在显著的负相关关系。进一步的研究表明，这种现象的产生主要是因为我国市场上存在着严格的卖空限制，在卖空限制和投资者异质性的共同作用下，资产价格会被高估从而降低未来的收益率，造成了我国市场上的特异性波动率之谜。关键词：特异性风险；截面收益率；卖空限制AbstractIn recent years, the theory on the relationship between idiosyncratic risk and the expected cross-section stock return witness great devel
4、opment. Idiosyncratic volatility is the measure of idiosyncratic risk and many empirical studies find there is a negativerelation between cross-section returns and idiosyncratic volatility. In the classical asset pricing theory, investors can hold fully diversified portfolio to eliminate the firm-sp
5、ecific risk, and therefore idiosyncratic risk can not be priced. Merton (1987) established a model of capital market equilibrium with incomplete information. Due to incomplete information, market frictions and other factors, most investors will not hold fully diversified portfolio, therefore, the id
6、iosyncratic risk should be priced and cross-section stock returns should be positively related to their idiosyncratic risk. Because the classical theory can not explain why the relation between idiosyncraticrisk and cross-section returns is negative, this phenomenon is known as the idiosyncratic vol
7、atility puzzle. Based on China stock market, this article uses the Fama-French three-factor model to estimate the realized idiosyncratic volatility, and estimate the expected idiosyncratic volatility though GARCH, EGARCH and ARIMA model. Using Fama-MacBeth two-step regression method and investment p
8、ortfolio analysis, we find the evidence of this puzzle. There is also a negative relation betweencross-section returns and idiosyncratic volatility. Further studies have shown that the emergence of this phenomenon was mainly due to the strict constraints on short-sale in China. Under short-sale constraints and heterogeneous belief, stocks may be overvalued and the future returns will decrease, resulting in the idiosyncratic volatility puzzle in China.Keywords: Idiosyncratic Risk; the Cross-Section Returns; Short-Sale Constraints
