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.