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

Abstract

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

CLC Number:

F830.9

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.

References

[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.

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

PDF (PC)

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 11

Metrics

Comments

Recommended 0

[1]	Xuanming Ni,Tiantian Zheng,Huimin Zhao,Kangping Wu. Asset Pricing Based on the Optimal Idiosyncratic Return Factor [J]. Chinese Journal of Management Science, 2024, 32(8): 50-60.
[2]	Haiyuan Yin,Wenjuan Kou. Investor Sentiment Based on Naive Bayes Method and Its Impact on Stock Idiosyncratic Risk [J]. Chinese Journal of Management Science, 2024, 32(4): 38-47.
[3]	CHEN Miao-xin, HUANG Zhen-wei. Long Memory Volatility and Cross-section Stock Returns: Empirical Research in Chinese Stock Market [J]. Chinese Journal of Management Science, 2023, 31(4): 1-10.
[4]	LU Jing, ZHANG Yin-ying. Idiosyncratic Volatility Puzzle and Its Estimation Model [J]. Chinese Journal of Management Science, 2022, 30(9): 36-48.
[5]	LIU Yan, ZHU Hong-quan. Individual Investor or Institutional Investor, Who Dominates Asset Pricing in Chinese A-share Stock Market? [J]. Chinese Journal of Management Science, 2018, 26(4): 120-130.
[6]	XU Yuan-dong. The Consistency of Logical Structure about Asset Pricing in BSV, DHS model and Asset Pricing under Ambiguity [J]. Chinese Journal of Management Science, 2017, 25(6): 22-31.
[7]	GONG Xu, WEN Feng-hua, HUANG Chuang-xia, YANG Xiao-guang. Downside Risk, Signed Jump Risk and Asset Pricing of Industry Portfolios [J]. Chinese Journal of Management Science, 2017, 25(10): 1-10.
[8]	ZHOU Fang, ZHANG Wei, ZHOU Bing. Capital Asset Pricing Model Based on Liquidity Risk [J]. Chinese Journal of Management Science, 2013, 21(5): 1-7.
[9]	ZHU Hong-quan, CHEN Lin, PAN Ning-ning. Industry, Local and Market Information, Who Dominates Price Movement in Chinese Stock Market? [J]. Chinese Journal of Management Science, 2011, 19(4): 1-8.
[10]	LUO Deng-yue, WANG Chun-feng, FANG Zhen-ming. An Empirical Research on the Relationship between Aggregate Liquidity and Asset Pricing in China Stock Market [J]. Chinese Journal of Management Science, 2007, 15(2): 33-38.
[11]	LU Jing, TANG Xiao-wo. The Empirical Study on Multi-Factor Pricing Model Based on Liquidity Risk [J]. Chinese Journal of Management Science, 2006, (5): 45-51.