Pacific-Basin Finance Journal Available online 30 June 2017

澳洲股票市场的特质波动率

作者：Angel Zhong (Australian Catholic University, Australia)

摘要：这篇文章研究了澳洲股票市场的特质波动率之谜。我发现在特质波动率和未来股票收益之间存在负相关关系。更重要的是，这是澳洲第一个去调查资产定价模型作用的研究。尽管目前的研究提倡加入投资和利润因子的五因子模型，但是结果发现特质波动率之谜并不是由被三因子排除的投资因子和利润因子引起的。对特质波动率之谜潜在原因的探索显示：它是由错误定价引起的，因为它集中于那些由澳大利亚错误定价指数给出的定价过高的股票。将错误定价的来源进行分解会发现，特质波动率很大程度上被投资者对博彩型股票的偏好所解释。

Idiosyncratic volatility in the Australian equity market

Angel Zhong (Australian Catholic University, Australia)

ABSTRACT

This paper studies the idiosyncratic volatility (IV) puzzle in the Australian equity market. I document a negative relation between IV and future stock returns. More importantly, this is the first Australian study to investigate the role of the asset-pricing model used to estimate IV. While recent work advocates a five-factor model incorporating investment and profitability factors, the findings suggest that the IV puzzle is not an outcome of investment and profitability factors being omitted from the three-factor model used to estimate IV. The exploration of potential causes of the IV puzzle suggests that it is attributable to mispricing, since it concentrates amongst the most-overpriced stocks as given by an Australian mispricing index. Decomposing the source of mispricing, the IV puzzle is largely explained by investors' preference for lottery-like stocks.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X17302913

翻译：阙江静