Financial Analyst Journal, Volume 72, Issue 1, 2016

低波动性异象：系统性风险VS 错误定价的市场证据

作者：Xi Li (Hong Kong University of Science and Technology)

Rodney N. Sullivan (AQR Capital Management)

Luis Garcia-Feijóo (Florida Atlantic University)

摘要：作者就与低波动性股票相关的异常收益是否可以归因于市场错误定价或对更高系统性风险的补偿这个问题做了讨论。作者采用了46年的时间区间进行研究，结果表明低波动率投资组合的回报率相对较高，但是这不能单纯视为对系统性风险的补偿。横截面分析结果表明，低波动率投资组合的平均回报率取决于与特质波动率特征相关的常见变化而非因子载荷。这一发现表明，股票的超额收益是由股票特征所产生的波动性而最终导致的市场错误定价所驱动的。

The Low-Volatility Anomaly: Market Evidence on Systematic Risk vs. Mispricing

Xi Li (Hong Kong University of Science and Technology), Rodney N. Sullivan ( AQR Capital Management), Luis Garcia-Feijóo (Florida Atlantic University)

ABSTRACT

The authors explored whether the well-publicized anomalous returns associated with low-volatility stocks can be attributed to market mispricing or to compensation for higher systematic factor risk. The results of their study, covering a 46-year period, indicate that the relatively high returns of low-volatility portfolios cannot be viewed solely as compensation for systematic factor risk. The results from their cross-sectional analyses indicate that average returns to low-volatility portfolios are determined by common variations associated with the idiosyncratic-volatility characteristic rather than factor loadings. This finding suggests that the excess returns are more likely driven by market mispricing connected with volatility as a stock characteristic.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v72.n1.6

翻译：秦秀婷