本文選題：特質波動率 + 預期收益　； 參考：《南京理工大學》2013年碩士論文

【摘要】：經典的資本資產定價模型假定市場是有效的,公司的特質風險可以通過構造投資組合進行有效的分解,公司的特質風險與預期收益無關,不需要得到額外的風險補償。但是近年來有學者發(fā)現公司特質風險與預期收益存在著明顯的負相關關系,與傳統的資本資產定價相悖。目前為止,還沒有確切的理論可以完全解釋這種負相關關系,成為了學術界的一個謎,稱為“特質波動率之謎”。本文采用我國股權分置改革全面實施后的樣本數據,將樣本區(qū)間劃分為融資融券業(yè)務開展前后兩段,分別對我國主板市場上兩個交易所的股票進行了實證研究。主要運用FF三因子模型度量公司特質風險,分別使用投資組合分析法和二維分組分析法定性分析特質波動率與預期收益的相關關系,發(fā)現特質波動率與預期收益存在顯著的負相關關系,并排除了公司規(guī)模、賬面市值比、動量和股權集中度的解釋能力。最后基于異質信念對股票特質波動率之謎的解釋,運用Fama-MacbBeth兩步回歸法定量分析,將換手率引入回歸方程明顯地降低了股票特質波動率的系數值與其顯著程度。研究表明,即使不存在賣空限制,我國依然存在特質波動率之謎現象,并且該現象可以部分的由異質信念來解釋。
[Abstract]:The classical capital asset pricing model assumes that the market is efficient and the company's idiosyncratic risk can be effectively decomposed by constructing a portfolio. The company's idiosyncratic risk has nothing to do with the expected return and does not require additional risk compensation. However, in recent years, some scholars have found that there is an obvious negative correlation between corporate trait risk and expected return, which is contrary to the traditional capital asset pricing. Up to now, there is no definite theory to explain the negative correlation completely, which has become a mystery in academic circles, which is called "the riddle of trait volatility". In this paper, the sample data after the implementation of the split share structure reform in China are adopted, and the sample interval is divided into two sections before and after the launch of the margin trading business. The empirical study is carried out on the two stock exchanges in the main board market of our country. This paper mainly uses FF three-factor model to measure the company's trait risk, and uses the portfolio analysis method and the two-dimensional grouping analysis method to qualitatively analyze the correlation between the trait volatility and the expected return. It is found that idiosyncratic volatility has a significant negative correlation with expected earnings and excludes the explanatory power of firm size, book market value ratio, momentum and equity concentration. Finally, based on the explanation of heterogeneity belief to the riddle of stock idiosyncratic volatility, using Fama-MacbBeth two-step regression method, the turnover rate is introduced into the regression equation, which obviously reduces the coefficient value of stock trait volatility and its significance. The study shows that even if there is no restriction on short selling, there is still a phenomenon of idiosyncratic volatility mystery in China, which can be partly explained by heterogeneous beliefs.
【學位授予單位】：南京理工大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F832.51

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本文編號：1950861