投资偏好与“特质波动率之谜”——以中国股票市场A股为研究对象

中国管理科学 ›› 2014, Vol. 22 ›› Issue (8): 10-20.

投资偏好与“特质波动率之谜”——以中国股票市场A股为研究对象

刘维奇¹, 邢红卫², 张信东^1,2

1. 山西大学管理与决策研究所, 山西太原 030006;
2. 山西大学经济与管理学院, 山西太原 030006

收稿日期:2013-06-30 修回日期:2014-02-25 出版日期:2014-08-20 发布日期:2014-08-23
作者简介:刘维奇（1963- ），男（汉族），山西忻州人，山西大学管理与决策研究所教授，博士生导师，研究方向：金融工程与时间序列分析.
基金资助:
国家自然科学基金面上项目（71371113）；教育部人文社科研究项目（13YJA790154）；山西省软科学研究项目（2013041024-02）；山西省研究生优秀创新项目（20123004）

Investment Preference and the Idiosyncratic Volatility Puzzle——Evidence from China Stock Market

LIU Wei-qi¹, XING Hong-wei², ZHANG Xin-dong^1,2

1. Institute of Management and Decision, Shanxi University, Taiyuan 030006, China;
2. School of Business, Shanxi University, Taiyuan 030006, China

Received:2013-06-30 Revised:2014-02-25 Online:2014-08-20 Published:2014-08-23

摘要/Abstract

摘要： 与价格走势平平的股票相比，投资者更愿意选择过去价格变化幅度较大的股票。这种投资偏好是否是产生“特质波动率之谜”的原因呢？本文以中国股票市场A股为研究对象，首先验证中国股票市场“特质波动率之谜”的存在性。随后组合分析和Fama-MacBeth横截面回归分析发现，价格极差可以在一定程度上解释但不能完全解释“特质波动率之谜”。横截面回归结果表明，在价格极差、最大日收益率、换手率三者的共同作用下，特质波动率与股票预期收益之间的负向关系不再显著。由此，对某些特殊股票的投资偏好可能是产生“特质波动率之谜”的主要原因。

关键词: 资产定价, 特质风险, 投资偏好, 价格极差

Abstract: There is evidence that investors have a preference for stocks with large price variation rather than stocks with flat price variation. Whether such an investment preference causes the idiosyncratic volatility puzzle? In this paper, the existence of the idiosyncratic volatility puzzle in China stock market is firstly examined. Then, portfolio analyses and Fama-MacBeth cross-sectional regression analyses both show that, the range of prices can explain to some extent, but not fully explain the idiosyncratic volatility puzzle. Cross-sectional regression results show that, under the joint effect of the range of prices, the maximum daily return and turnover, the negative relation between the idiosyncratic volatility and expected stock returns is no longer statistically significant. Thus, the investment preference for some special stocks may be the main cause to produce the idiosyncratic volatility puzzle.

Key words: asset pricing, idiosyncratic risk, investment preference, range of prices

中图分类号:

F830.9

刘维奇, 邢红卫, 张信东. 投资偏好与“特质波动率之谜”——以中国股票市场A股为研究对象[J]. 中国管理科学, 2014, 22(8): 10-20.

LIU Wei-qi, XING Hong-wei, ZHANG Xin-dong. Investment Preference and the Idiosyncratic Volatility Puzzle——Evidence from China Stock Market[J]. Chinese Journal of Management Science, 2014, 22(8): 10-20.

参考文献

[1] French K, Poterba J. Investor diversification and international equity markets[J]. American Economic Review, 1991, 81(2): 222-226.

[2] Daniel K, Titman S. Evidence on the characteristics of cross sectional variation in stock returns[J]. Journal of Finance, 1997, 55: 1-33.

[3] Cohen L. Loyalty-based portfolio choice[J]. Review of Financial Studies, 2009, 22(3): 1213-1245.

[4] Hong H, Kacperczyk M. The price of sin: The effects of social norms on markets[J]. Journal of Financial Economics, 2009, 93(1): 15-36.

[5] Hong H, Kostovetsky L. Red and blue investing: Values and finance[J].Journal of Financial Economics, 2012, 103: 1-19.

[6] Kumar A.Who gambles in the stock market?[J]. Journal of Finance,2009, 64(4): 1889-1933.

[7] Bali T G, Cakici N, Whitelaw R F. Maxing out: Stocks as lotteries and the cross-section of expected returns[J]. Journal of Financial Economics, 2011, 99: 427-446.

[8] Levy H. Equilibrium in animperfect market: A constraint on the number of securities in the portfolio[J]. American Economic Review, 1978, 68: 643-658.

[9] Merton R. A simple model of capital market equilibrium with incomplete information[J]. Journal of Finance, 1987, 42(3): 483-510.

[10] Campbell J, Lettau M, Malkiel B, et al. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk[J]. Journal of Finance, 2001, 56(1): 1-43.

[11] Goetzmann W, Kumar A. Why do individual investors hold under-diversified portfolios?. Yale University working paper, 2004.

[12] Ang A, Hodrick R J, Xing Yuhuang, et al. The cross-section of volatility and expected returns[J]. Journal of Finance, 2006, 61(1): 259-299.

[13] Fama E F, French K R. Common risk factors in the returns on stocks and bonds[J]. Journal of Financial Economics, 1993, 33: 3-56.

[14] Bali T G, Cakici N. Idiosyncratic volatility and the cross section of expected returns[J]. Journal of Financial and Quantitatie Analysis, 2008, 43(1): 29-58.

[15] Jiang G J, Xu D, Yao Tong. The information content of idiosyncratic volatility[J]. Journal of Financial and Quantitatie Analysis, 2009, 44(1): 1-28.

[16] Han B, Kumar A. Retail clienteles and the idiosyncratic volatility puzzle. University of Texas at Austin working paper, 2008.

[17] 杨华蔚, 韩立岩. 中国股票市场特质波动率与横截面收益研究[J]. 北京航空航天大学学报(社会科学版), 2009, 22(1): 6-10.

[18] 左浩苗, 郑鸣, 张翼. 股票特质波动率与横截面收益: 对中国股市"特质波动率之谜"的解释[J].世界经济, 2011, 5: 117-135.

[19] Huang Wei, Liu Qianqiu, Rhee S G, et al. Return reversals, idiosyncratic risk, and expected returns[J]. Review of Financial Studies, 2010, 23(1): 147-168.

[20] Chabi-Yo F. Explaining the idiosyncratic volatility puzzle using stochastic discount factors[J]. Journal of Banking and Finance, 2011, 35(8): 1971-1983.

[21] 黄波, 李湛, 顾孟迪. 基于风险偏好资产定价模型的公司特质风险研究[J]. 管理世界, 2006, 11: 119-127.

[22] 徐小君. 公司特质风险与股票收益——中国股市投机行为研究[J]. 经济管理, 2010, 32(12): 127-136.

[23] 邓雪春, 郑振龙. 中国股市存在特质波动率之谜吗?[J]. 商业经济与管理, 2011, 1: 60-67.

[24] Malkiel B G, Xu Yexiao. Idiosyncratic risk and security returns[R].Working paper University of Texas at Dallas, 2002.

[25] Asparouhova E N, Bessembinder H, Kalcheva I. Liquidity biases in asset pricing tests[J]. Journal of Financial Economics, 2010, 96(2): 215-237.

[26] 梁丽珍, 孔东民. 中国股市的流动性指标定价研究[J]. 管理科学, 2008, 21(3): 85-93.

[27] Pastor L, Stambaugh R F. Liquidity risk and expected stock returns[J]. Journal of Political Economy, 2003, 111(3): 642-685.

[28] Amihud Y. Illiquidity and stock returns: Cross-section and time-series effects[J]. Journal of Financial Markets, 2002, 5(1): 31-56.

[29] Jegadeesh N, Titman S. Returns to buying winners and selling losers: implications for stock market efficiency[J]. Journal of Finance, 1993, 48(1): 65-91.

[30] Jegadeesh N. Evidence of predictable behavior of security returns[J]. Journal of Finance, 1990, 45(3): 881-898.

[31] Boehme R D, Danielsen B R, Sorescu S M. Short-sale costs, differences of opinion and overvaluation[J]. Journal of Financial and Quantitative Analysis, 2006, 41(2): 455- 487.

[32] Newey W K, West K D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix[J]. Econometrica, 1987, 55: 703-708.

[33] Spiegel M, Wang Xiaotong. Cross-sectional variation in stock returns: Liquidity and idiosyncratic risk. Yale University working paper, 2006.

[34] Fama E F, Macbeth J D. Risk, return, and equilibrium: Empirical tests[J]. Journal of Political Economy, 1973, 81(3): 607-636.