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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。
This article is an empirical study to analyze the risk premium of the Idiosyn-Cratic Volatility in China’s securities market. In order to explain this seemingly anomalous phenomenon, we find that the portfolio with higher volatility has a lower yield in the next period. However, we introduce the learning process that investors gradually understand and find out the profitability of listed companies. A general equilibrium pricing formula such as Lucas (1978) shows that the phenomenon of incomplete information and learning leads to the phenomenon of Mean Reversion of stock prices, and the higher the uncertainty of profitability, the trend of return to the average Obviously, resulting in the next period of the reversal of yield.