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特质波动率与收益率的关系在文献中存在着争议。本文不仅证实了中国市场中特质波动率与收益率的负向关系,还进一步分析了这种负向关系产生的主要原因。本文通过构建理论模型,发现CAPM或者Fama-French三因素模型由于忽略了流动性因素,会导致特质波动率策略收益的高估,而这种高估的程度与流动性的波动水平高度相关。本文采用中国市场数据实证了模型的推论,通过比较发现:虽然流动性静态和动态两个渠道均发挥着重要的作用,但静态渠道的影响还是略高,流动性的交易成本维度是最重要的维度。本文还比较了流动性因素与其他可能因素在特质波动率策略中的作用,发现流动性是驱动特质波动率与收益率负向关系的重要因素。
The relationship between trait volatility and return rate is controversial in the literature. This paper not only confirms the negative relationship between the trait of volatility and the return rate in the Chinese market, but also analyzes the main causes of this negative relationship. By building a theoretical model, we find that CAPM or Fama-French three-factor model ignores the liquidity factor, which leads to the overvaluation of the trait of volatility strategy, which is highly correlated with the volatility of liquidity. This article uses the Chinese market data to verify the model. The comparison shows that although the two channels of liquidity static and dynamic play an important role, the impact of static channel is still slightly higher, and the liquidity transaction cost is the most important Dimension. The paper also compares the role of liquidity and other possible factors in trait-based volatility. It finds that liquidity is an important factor that drives the negative relationship between volatility and return.