特质风险可以用来定价吗？*--来自中国股市的证据

摘要

This paper links stock idiosyncratic volatility and its cross-sectional return, theoretically through a general equilibrium framework, and derives the a positive correlation between the two with the data from China's stock market. The results show that, one percent increase in idiosyncratic volatility requires three to five percent expected returns to compensate, and the empirical results are robust with respect to ownership, industrial factors or mispricing issue. This paper explains the positive correlation between idiosyncratic volatility and expected return from perspectives of the Limit to Arbitrage Theory.%本文基于一般均衡分析框架从理论上推导出股票特质波动率与横截面收益之间的相关关系，并借助中国股市的数据进行了验证。研究结果表明：股票特质波动率每上升1个百分点，横截面收益要相应补偿3-5个百分点，且不受所有制、行业因素或者股票错误定价的影响。同时，本文从有限套利理论的角度出发，解释了特质波动率与股票横截面收益之间呈现正相关关系的原因。