特质波动、风险溢价与学习效应

本文是一项实证研究,分析中国证券市场中股票特质波动性(Idiosyn-cratic Volatility)的风险溢价问题。我们发现较高波动性的投资组合在下一期收益率反而较低,为了解释这个看起来反常的现象,我们引入投资人逐步了解、发现上市公司盈利能力的学习过程。类似Lucas(1978)的一般均衡定价公式说明,不完全信息和学习过程会导致股票价格出现均值回归的现象(Mean Reversion),并且盈利能力不确定性越高的公司,股价向均值回归的趋势越明显,由此导致下一期收益率的反转。

Idiosyncratic Volatility,Risk Premium,and the Learning Effects

This is an empirical research,which tries to quantify the relation between idiosyncratic volatility and the expected return of stocks in China’s equity market.We find that the portfolio which has the highest idiosyncratic volatility tend to get a lower return in the following period.We explain the abnormality with learning effects.In a general equilibrium model analogous to Lucas(1978),we demonstrate by simulation that learning effects in stock market give rise to the mean reversion phenomena in stock returns,which in turn explains the negative correlation of idiosyncratic volatility and expected return.When the investors are less certain about the profitability of listed companies,the mean reversion of returns is more significant.