Financial Management, Volume 44, Issue 2 Summer 2015 Pages 267–293

作者：Doina C. Chichernea (Neff Department of Finance in the College of Business and Innovation at the University of Toledo), Michael F. Ferguson (Department of Finance in the Carl H. Lindner College of Business at the University of Cincinnati), Haimanot Kassa (Department of Finance in the Farmer School of Business at Miami University)

摘要：使用四个不同的指标衡量公司的投资者基础,我们证明对于被忽视的股票而言,特质风险溢价更大，对于引人注目的股票而言,特质风险溢价更小或经济上不显著。因为被忽视的股票有更大的特质波动率，所以被忽视股票总的特质风险溢价（价格X数量）比那些引人注目的股票要高。除此之外，控制特质波动率后我们发现了正的规模效应和负的beta效应。总的来说，我们的结果对默顿的理论，即不完全信息带来的市场分割是特质波动率对横截面回报影响的重要组成部分，提供了强有力的支持。

Idiosyncratic Risk, Investor Base, and Returns

Doina C. Chichernea (Neff Department of Finance in the College of Business and Innovation at the University of Toledo), Michael F. Ferguson (Department of Finance in the Carl H. Lindner College of Business at the University of Cincinnati), Haimanot Kassa (Department of Finance in the Farmer School of Business at Miami University)

ABSTRACT

Using four different proxies for a firm's investor base we demonstrate that idiosyncratic risk premiums are larger for neglected stocks and smaller or economically insignificant for visible stocks. Since neglected stocks have greater idiosyncratic volatility (IV), the total IV risk premium (price × quantity) for neglected stocks will be greater than that of visible stocks. Additionally, we find a positive size effect and negative beta effect after controlling for IV. Overall, our results provide strong support for Merton's theory that market segmentation induced by incomplete information is an important component of the influence of IV in the cross-section of returns.

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/fima.12067/epdf

翻译：孙雨琦