特质波动率与股票预期收益的关系研究--来自中国股票市场的证据.doc

特质波动率与股票预期收益的关系研究--来自中国股票市场的证据 - 1 - 李冉，熊熊** （天津大学管理与经济学部，天津 300072） 8#0046995 摘要：股票的收益与投资风险之间的关系一直以来都是金融学理论研究的核心问题，尤其近 年来，对于特质风险是否对股票预期收益产生影响的研究更是成为了学术研究的热点问题。 经典的资本资产定价理论认为在有效市场的前提下，通过构建多样化的投资组合，投资者可 以分散公司的特质风险，即只有系统性风险影响股票收益。然而现实研究发现市场并非完全10 有效的，投资者由于受到信息不对称、市场卖空机制、资金等因素的限制，不可能持有完全 分散投资组合，因而特质风险也在一定程度上影响股票收益。本文选取了 2001 年 1 月 2 日 至 201#0046995 年 12 月 31 日中国股票市场上证综指（000001）所有 A 股股票的日数据，采用 CAPM 模型以及 Fama-French 三因子模型以及滚动窗口的方式计算出股票的特质波动率，并通过比 较排序的方式验证特质波动率与股票预期收益之间的关系。通过实证研究表明：我国股票市1#0046995 场特质波动率与股票预期收益之间存在负相关的关系。 关键词：特质波动率;股票预期收益;CAPM 模型;Fama-French 三因子模型 中图分类号：F832.#0046995 Stydy on the relationship between Idiosyncratic Volatility 20 and Expected Return:Evidence form China#039;s Stock Markets Li Ran, Xiong Xiong (College of Management and Economics,Tianjin University,Tianjin 300072) Abstract: The relationship between the risk of investment and stock returns has been the most important research of financial theory，in recent years，the stydy on the relationship between 2#0046995 idiosyncratic volatility and expected return becomes the core of theory research.The classical capital asset pricing theory assumes that based on efficient market,investors can avoid idiosyncratic risk by holding diversified portfolios,only systemic risk affect stock returns.However,recent research find that market are not efficient.Affected by incomplete information and short-selling mechanism of market,investors can not hold a pefect diversified 30 portfolios.According to this,idiosyncratic risk affect stock returns.This paper use daily data of main board market of Shanghai Stock Exchange for January 2,2001 to December 31,201#0046995.I use the CAPM model and the Fama-French three factor model to estimate the idiosyncratic volatility,then sequence returns by idiosyncratic volatility to find the relationship between idiosyncratic volatility and expected return.According to the results,I found that there is a 3#0046995 statistically significant positive relationsh