THE REVIEW OF ASSET PRICING STUDIES· VOL. 6, NO. 2 · DECEMBER 2016

特质风险变动和特质风险-收益关系

作者：Mark Rachwalski (Emory University - Goizueta Business School)

Quan Wen (Emory University)

摘要：特质风险增加的股票在接下来几个月时间内往往会获得低收益。而高特质风险的股票却最终获得了持续高收益。这些结果与被积极定价的特质风险和对特质风险变化的暂时反应不足相一致。由于风险水平和其变动相关，因此历史特质风险与收益之间的关系可能反映风险溢价和反应不足，并对风险定价产生误导性推论。之前的研究工作提出了关于特质风险定价相互矛盾的证据，本文结果对此进行了调和，有助于厘清对特质风险-收益关系的解释。

关键词：特质风险，组合收益，资产定价

Idiosyncratic Risk Innovations and the Idiosyncratic Risk-Return Relation

Mark Rachwalski (Emory University - Goizueta Business School), Quan Wen (Emory University)

ABSTRACT

Stocks with increases in idiosyncratic risk tend to earn low subsequent returns for a few months. However, high idiosyncratic risk stocks eventually earn persistently high returns. These results are consistent with positively priced idiosyncratic risk and temporary underreaction to idiosyncratic risk innovations. Because risk levels and innovations are correlated, the relation between historical idiosyncratic risk and returns may reflect both risk premiums and underreaction and yield misleading inference regarding the price of risk. The results reconcile previous work offering conflicting evidence on the price of idiosyncratic risk and help to discriminate among explanations for the idiosyncratic risk-return relation.

Keywords: idiosyncratic risk, portfolio investment, asset pricing

原文链接：http://xueshu.baidu.com/s?wd=paperuri%3A%28bb72f483785c2ad190c194c3205c4589%29&filter=sc_long_sign&tn=SE_xueshusource_2kduw22v&sc_vurl=http%3A%2F%2Fpapers.ssrn.com%2Fsol3%2Fpapers.cfm%3Fabstract_id%3D2056517&ie=utf-8&sc_us=8162316905748282734

翻译：景薇