市场摩擦对特质风险溢价的影响效应——基于A股主板市场的实证分析

与国外发达市场相比,我国A股主板市场的市场摩擦因素对市场微观结构和资产定价的影响更大。在防范和化解系统性风险的过程中,进一步分析市场摩擦如何作用于特质风险定价效应的问题具有重要的理论和现实意义。本文通过采用多维市场摩擦指标来代理信息不对称、交易成本、买卖限制、卖空限制、风险对冲和外部冲击,检验中国股市特质风险和预期收益率的关系,并判断出市场摩擦因素间的差异性影响机制。回归发现,市场摩擦和特质风险因子(特质波动率和特质偏度)都具有定价效应。各维度市场摩擦因素降低了股票流动性,进而增强了特质波动率的负向定价效应,部分解释了“特质波动率之谜”,但市场摩擦对特质偏度因子溢价的影响较为微弱。同时,基于特质波动率和特质偏度因子的投资策略能够产生超越CAPM、三因子和五因子模型的绝对收益,并印证了市场摩擦对特质风险因子绝对收益的影响作用。

The Effects of Market Frictions on Idiosyncratic Risk Premium:An Empirical Study of the Main Board of China's A Stocks

Due to asymmetric information, trading costs, buy and sell constraints, lack of short-sales mechanisms, and exogenous shocks, the effects of market frictions on stock returns are more serious in China's A-share stock market than in developed foreign stock markets. Therefore, it is reasonable to ask how market frictions affect the pricing effect of idiosyncratic risks in China. In practice, answering this question would support the improvement and development of the capital market in China and help investors construct reasonable investment strategies. The question also suggests a new theoretical perspective: using market frictions to explain market anomalies (e.g., the idiosyncratic volatility puzzle and idiosyncratic skewness premium).Many studies of non-Chinese markets (e.g., Mitton and Vorkink, 2007; Barberis and Huang, 2008; Bali and Cakici, 2008) use risk preferences and liquidity to explain the idiosyncratic volatility puzzle. However, studies show that there is a negative relationship between idiosyncratic risk and stock return in the Chinese stock market. Heterogeneous belief (e.g., Zuo et al., 2011; Long et al., 2018), gambling preferences (Zheng et al., 2013), and limited arbitrage (Yu et al., 2017; Gu et al., 2018) contribute to this negative relationship (puzzle). However, studies of both foreign and domestic markets ignore the effects of market friction. We attempt to investigate the pricing effects of various dimensions of market friction and explore the mechanism through which pricing factor affects idiosyncratic risk. Our samples are drawn from the main board of China's A-share stock market for the 2001 to 2015 period. We first introduce continuous and discrete market friction variables to represent the dimensions of information asymmetry, trading costs, price shocks, price limit constraints, short-selling constraints, future trading constraints, and exogenous shocks. Second, the idiosyncratic volatility and idiosyncratic skewness variables are derived from a three-factor regression and five-factor regression, respectively. Then, they are used in a Fama-MacBeth cross-sectional regression to test the pricing effects and how these effects influence idiosyncratic risk premiums. We try to discuss the effects of the market friction factors on idiosyncratic risk premiums via liquidity channels. Finally, we use a weighted market friction index in a robustness test of the empirical results and conduct a portfolio analysis to infer the characteristics of idiosyncratic risk premiums under different market frictions.Empirical studies indicate that the idiosyncratic risk factors, including idiosyncratic volatility, idiosyncratic skewness, and market frictions, have significant premiums. Market frictions enhance idiosyncratic volatility via decreased liquidity in the form of trading time, trading frequency, trading number, trading demand, and trading speed. Market frictions weakly influence idiosyncratic skewness. We also find that the absolute returns of portfolio strategies based on idiosyncratic risk factors outweigh those of CAPM, the three-factor model, and the five-factor model. Furthermore, the returns of portfolio strategies based on idiosyncratic risk factors are impacted by market frictions, which confirms the findings of the regressions. We make two contributions to the literature. First, we partially explain the effect of market frictions on idiosyncratic volatility and to identify the driving mechanisms as stock liquidity (trading time cost, trading frequency, trading hours, trading inclination, and trading speed), although the effect of the market frictions on idiosyncratic skewness is relatively weak. Second, we find that portfolios constructed using idiosyncratic risk variables have higher absolute returns than the CAPM, three-factor, and five-factor portfolios. As a result of market frictions, the absolute return of a portfolio based on idiosyncratic volatility shrinks. The findings indicate that market liquidity is indispensable to avoid market crashes when managing systematic and contagious risks from international markets. It is also necessary to control for the spread of liquidity, and we should be cautious in assessing the individual stock risks incurred by the overflow of liquidity. In particular, it is necessary to develop policies for directional liquidity injection and for differentiating capital costs. Additionally, our work can be extended to study abnormal types of market friction, such as global public health crises and climate-related shocks.