特质偏度是否被定价?

摘要

This paper discusses,empirically,on the relationship between the expected return and the expected idiosyncratic skewness in Chinese A-share equity market.Series of expected idiosyncratic skewness of each stock are taken from cross section regression models,and Fama-MacBeth regressions are adopted to test the relationship between the expected return and the expected idiosyncratic skewness.The empirical result suggests that there is a significant negative relationship between them,even when controlling for liquidity,co-skewness,co-kurtosis and other factors.This paper also retests the "the idiosyncratic volatility puzzle",and find that,after controlling for expected idiosyncratic skewness,the negative relationship between idiosyncratic volatility and expected return no longer holds,thus confirming the fact that expected idiosyncratic skewness contains a fraction of the information of idiosyncratic volatility.Finally,the robustness test by separating samples of big firms and small firms supports the above conclusion again.%研究了中国A股市场上特质偏度和预期收益率的关系.结合中国市场的实际,采用横截面回归方法提取预期特质偏度,随后运用Fama-MacBeth方法来验证预期收益率和预期特质偏度之间的关系.实证结果表明二者之间存在显著的负向关系,在控制了流动性因子、协偏度和协峰度等变量的影响之后该结论仍然成立.同时,还对“特质波动率之谜”进行了重新检验,结果发现,在控制了预期特质偏度之后,滞后的特质波动率与预期收益率之间的负相关关系不再显著,从而证实了预期特质偏度中含有一部分特质波动率的信息.最后,在区分了大、小公司的子样本中进行的稳健性检验也支持上述结论.