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我国股市的特质波动率之谜及基于异质信念的解释

Author

Listed:
  • 陈国进
  • 涂宏伟
  • 林辉

Abstract

本文以1997年至2007年沪深两市A股为样本，以三因素模型残差项的标准差测度特质波动率，发现特质波动率与截面预期收益显著负相关，这种关系不能由公司规模、账面市值比和动量等因素解释。以AR（2）模型估计的预期特质波动率也与截面预期收益负相关，表明我国股市同样存在特质波动率之谜。我们还从异质信念角度对特质波动率之谜提出了初步的解释。

Suggested Citation

  • 陈国进 & 涂宏伟 & 林辉, 2013. "我国股市的特质波动率之谜及基于异质信念的解释," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    • Handle: RePEc:wyi:wpaper:001980
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