我国股市的特质波动率之谜及基于异质信念的解释

陈国进, 涂宏伟 and 林辉

No 2013-10-14, Working Papers from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

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。

Keywords: 特质波动率；预期收益；异质信念 (search for similar items in EconPapers)
Date: 2013-10-14
References: Add references at CitEc
Citations:

Published

Downloads: (external link)
https://econpub.xmu.edu.cn/research/repec/upload/2007919166197055475115776.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wyi:wpaper:001980

Access Statistics for this paper

More papers in Working Papers from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
Bibliographic data for series maintained by WISE Technical Team ().