發(fā)布時(shí)間：2018-01-03 00:27

  本文關(guān)鍵詞：公司特質(zhì)風(fēng)險(xiǎn)、估值水平與股票收益——基于分位數(shù)Fama-MacBeth回歸模型的實(shí)證分析　出處：《華東經(jīng)濟(jì)管理》2017年09期 　論文類型：期刊論文

  更多相關(guān)文章： 特質(zhì)風(fēng)險(xiǎn) 估值水平 私有信息 噪聲交易

【摘要】：文章建立理論模型探究公司特質(zhì)風(fēng)險(xiǎn)、估值水平與股票收益之間的關(guān)系,理論模型結(jié)果表明:對(duì)于被低估的公司,特質(zhì)風(fēng)險(xiǎn)的私有信息效應(yīng)更加明顯,股票預(yù)期收益率與特質(zhì)風(fēng)險(xiǎn)之間呈正相關(guān)關(guān)系;對(duì)于被高估的公司,特質(zhì)風(fēng)險(xiǎn)的噪聲交易效應(yīng)更加明顯,股票預(yù)期收益率與特質(zhì)風(fēng)險(xiǎn)之間呈負(fù)相關(guān)關(guān)系。在此基礎(chǔ)上,從公司估值水平和賣空限制的角度對(duì)整體市場(chǎng)的特質(zhì)波動(dòng)率之謎進(jìn)行了理論解釋。文章使用Fama-French五因子模型計(jì)算特質(zhì)風(fēng)險(xiǎn)和估值水平,運(yùn)用分組檢驗(yàn)和分位數(shù)Fama-Mac Beth回歸兩種方法進(jìn)行實(shí)證分析,基于我國上市公司數(shù)據(jù)的實(shí)證研究結(jié)果支持了理論模型的結(jié)論:中國股票市場(chǎng)存在明顯的特質(zhì)波動(dòng)率之謎,公司估值水平會(huì)對(duì)特質(zhì)風(fēng)險(xiǎn)與股票預(yù)期回報(bào)之間的關(guān)系產(chǎn)生影響。
[Abstract]:This paper establishes a theoretical model to explore the relationship between corporate trait risk, valuation level and stock returns. The theoretical model results show that: for undervalued companies, the private information effect of trait risk is more obvious. There is a positive correlation between stock expected return and trait risk. For overvalued companies, the noise trading effect of trait risk is more obvious, and there is a negative correlation between stock expected return and trait risk. This paper theoretically explains the riddle of trait volatility in the whole market from the point of view of company valuation level and short selling restriction. This paper uses Fama-French five-factor model to calculate the trait risk and valuation level. Using grouping test and quantile Fama-Mac Beth regression to carry out empirical analysis. The empirical results based on the data of listed companies in China support the conclusion of the theoretical model: there are obvious idiosyncratic volatility puzzles in Chinese stock market. The level of company valuation has an impact on the relationship between trait risk and expected return on stocks.
【作者單位】： 南開大學(xué)金融學(xué)院;
【基金】：教育部社會(huì)科學(xué)基金項(xiàng)目(15YJA790090)
【分類號(hào)】：F224;F832.51
【正文快照】： 一、引言公司的特質(zhì)風(fēng)險(xiǎn)是否會(huì)影響股票的預(yù)期收益率?這個(gè)問題一直是學(xué)術(shù)界的爭論焦點(diǎn)。作為特質(zhì)風(fēng)險(xiǎn)的度量,特質(zhì)波動(dòng)率其與預(yù)期收益率的關(guān)系一直飽受爭議。經(jīng)典金融理論認(rèn)為特質(zhì)風(fēng)險(xiǎn)可以通過分散化投資的手段進(jìn)行規(guī)避,因此不會(huì)影響預(yù)期收益率。然而經(jīng)典金融理論中關(guān)于理想市

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