獨特風險與短期預期報酬之探討

The Relation between Idiosyncratic Risk and Expected Short-run Return

魏楚芸(Chu-Yun Wei)

指導教授 ： 李建興

義守大學/管理學院/管理碩博士班/博士(2015年)

https://doi.org/10.6343/ISU.2015.00304

摘要

本文主要探討獨特風險與短期預期報酬之關係，以香港主板股票市場為樣本，相對於Ang, Hodrick, Xing 與 Zhang (2006, 2009)與Fu (2009)衡量獨特風險的方法，本文以多因子股票報酬模型、追蹤門檻模型，並增加考量TGARCH來衡量股價下跌之風險，及引用Ang et al. (2009), Fu (2009)與Lee 與 Wei (2012)以EGARCH來衡量獨特風險以考量異質變異數。
結論如下：相對於文獻，本文增加考量分別以投資人情緒與政治關聯度兩個面向探討的獨特風險與短期預期報酬之關係是否會有所不同。實證結果發現有「高VIX時，高獨特風險伴隨低短期預期報酬」與「低VIX時，獨特風險與短期預期報酬無顯著相關」；其次，「高政治關聯度高短期預期報酬」與「高政治關聯度高抗跌優勢」。
上述結論有以下貢獻與意涵：因文獻對於獨特風險與短期預期報酬之關係未有一致性結論，本文增加考量兩個面向後，皆得到獨特風險與短期預期報酬為一致性地正相關，這表示投資人應買進低獨特風險的股票，以賺取未來較高的股票報酬，特別是在四種上市來源、高恐慌指數，與高政治關聯度時，這也意涵投資人情緒，與政治關聯可以做為觀察香港主板股票市場之獨特風險的重要指標。

關鍵字

獨特風險 ； 投資人情緒 ； 政治關聯度 ； 恐慌指數

並列摘要

This paper examines the relation between idiosyncratic risks and expected returns on the main board of Hong Kong stock market. In contrast to the method used by Ang, Hodrick, Xing & Zhang (2006, 2009) and Fu (2009) to measure idiosyncratic risk, this paper adapts the multifactor models to take into consideration the use of the TGARCH model for the leverage effect and the volatility of a fall in the stock price, and also considering EGARCH model by citing Ang et al. (2009), Fu (2009) and Lee & Wei (2012) for robustness.
The findings are as follows: In contrast to literature, this study tries investigating the relation between idiosyncratic risks and expected returns under two contexts, which are “investor sentiment” and “political connection”. First, regarding the “investor sentiment”, there is a significantly negative relation between idiosyncratic risks and expected returns in the high VIX state, and there is insignificant relation between idiosyncratic risks and expected returns in low VIX state. Second, regarding “political connection”, in the low VIX state, the expected returns of high political connection firms will be higher than those for low political connection, and in the high VIX state, the expected returns of high political connection firms will fall less than those for low political connection.
This paper contributes to the existing literature: it gives more powerful evidences because this paper finds there is a positive relation between idiosyncratic risks and expected returns under two contexts. The findings mean the investors should hold the previous stocks with low idiosyncratic risks to earn high expected returns, especially in high VIX state and high political connection. The findings may imply investor sentiment and political connection are important indications on the main board of Hong Kong stock.

並列關鍵字

idiosyncratic risk ； investor sentiment ； political connection ； Volatility Index (VIX)

參考文獻

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