中国股票市场特质波动率异常收益研究

摘要：

This paper examines the relation between the idiosyncratic volatility and the cross-section expected returns in Chinese stock market. We find strongly statistically significant negative relation between lagged idiosyncratic volatility and future average returns. This idiosyncratic volatility-average return negative relation can not be explained by exposure to size factors etc. High volume,strict price delay effect may aggravate the low averages returns of stocks with high idiosyncratic volatility. Turnover effect may capture part of idiosyncratic volatility effect. We think the short sale constrain in Chinese stock market is the main reason of negative idiosyncratic volatility risk premium.

关键词： idiosyncratic volatility turnover risk premium，short sale constrain

作者: 杨华蔚 韩立岩

作者单位: 北京航空航天大学经济管理学院，北京10008

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:中文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）