异质波动与股票收益：基于中国股市的检验

摘要

基于中国上市公司数据，本文考察一类新兴的股市异象，即“异质波动”之谜。我们研究发现，在中国资本市场，“异质波动”之谜依然显著存在。与经典金融理论预期不同，低异质波动的公司收益显著高于高异质波动公司；不同异质性波动风险组合之间的累积收益之差将随着投资期间增加呈现较大差异；而且基于Fama－Macbeth两阶段横截面检验表明，异质波动因子的溢价水平显著为负。从投资实践的角度而言，本文研究也为构造超额收益的组合提供了经验参考。%Based on the data of Chinese listed companies, the paper investigats an emerging phenome-non, namely idiosyncratic volatility.We find that, the mystery of “Idiosyncratic volatility” significantly exits in China’ s capital market.It is contradictory with traditional finical theory that corporations with a lower idio-syncratic volatility perform significantly higher return than corporations with a high idiosyncratic volatility;the accumulative return of different risk portfolio with different idiosyncratic volatility shows an expanded trend a-long with the prolong of investment period.Furthermore, Fama-Macbeth model test shows that idiosyncratic volatility has a significantly negative effort on stock return.From a point of the investment practice, the paper provids a reference experience about constructing an portfolio of abnormal return.