THE JOURNAL OF FINANCE ·VOL. LXX, NO. 5· OCTOBER 2015

套利的不对称性与特质波动率之谜

作者：Robert F. Stambaugh, Jianfeng Yu and Yu Yuan

摘要：对很多权益投资者来说，做多比做空容易。将这种套利的不对称性和以特质波动率为代表的套利风险结合起来，可以解释特质波动率和平均收益的负相关性。对于定价过高的股票，特质波动率和收益的关系为负，而定价过低的股票则相反，这种错误定价由11个收益异象联合决定。与套利的不对称性一致，定价过高股票的负相关性更强，特别是不容易做空的股票，因此总体上特质波动率和收益的关系为负。高涨的投资者情绪削弱了定价过低股票（特质波动率和收益）的正相关性，尤其是加强了定价过高股票的负相关性，这为我们的解释提供了佐证。

关键词：套利的不对称性，特质波动率，收益

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Robert F. Stambaugh, Jianfeng Yu and Yu Yuan

ABSTRACT

Buying is easier than shorting for many equity investors. Combining this arbitrage asymmetry with the arbitrage risk represented by idiosyncratic volatility (IVOL) explains the negative relation between IVOL and average return. The IVOL-return relation is negative among overpriced stocks but positive among underpriced stocks, with mispricing determined by combining 11 return anomalies. Consistent with arbitrage asymmetry, the negative relation among overpriced stocks is stronger, especially for stocks less easily shorted, so the overall IVOL-return relation is negative. Further supporting our explanation, high investor sentiment weakens the positive relation among underpriced stocks and, especially, strengthens the negative relation among overpriced stocks.

Keywords: Arbitrage Asymmetry, Idiosyncratic Volatility, Return

原文链接：

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2155491

翻译：任兆月