摘要
考虑到无条件CAPM模型不能解释股市中的价值溢价异象,基于条件CAPM框架,采用GJR-GARCH-M模型考察中国股市中价值股、成长股的时变特质波动特点,并分析价值溢价与时变特质风险的相关性。结果显示,成长股的时变特质波动受新消息的影响较大,而价值股则受老消息的影响较大;利空消息和利好消息对特质波动的影响存在不对称性,利好消息对成长股波动的影响强于利空消息,利空消息对价值股的影响强于利好消息;价值股、成长股与特质波动之间出现了负相关关系,异质信念和卖空限制可以对此进行解释;价值溢价与时变特质波动呈正相关关系,特质波动风险可以解释价值溢价异象的存在。
Considering that the unconditional CAPM fails to explain the value premium of Chinese stock market,this paper employs the GJR- GARCH- M model to examine the characteristics of value stock and growth stock's time- varying idiosyncratic volatility,and analyzes the relationship between the value premium and its time- varying idiosyncratic volatility risk in the framework of the conditional CAPM. Our results show that:( 1) Recent news impacts the volatility of growth stock more than it impacts that of value stock,while old news impacts the volatility of value stock more than it impacts that of growth stock;( 2)There exists asymmetric response of volatility to good and bad news,and this asymmetry is different between growth and value stock; good news has greater effect to growth stock than bad news,while bad news has greater effect to value stock to good news;( 3) the return of value and growth stock is sometimes negatively related to idiosyncratic volatility,which can be explained by heterogeneous beliefs and short selling constraints;( 4) the value premium is strongly and positively related to its time- varying idiosyncratic volatility,indicating that idiosyncratic volatility has explanatory power for the value premium.
出处
《金融经济学研究》
CSSCI
北大核心
2015年第2期40-50,共11页
Financial Economics Research
基金
辽宁省教育厅人文社会科学重点研究基地专项项目(ZJ2013038)
