摘要
本研究主要在探討從1962年至2004年間美國市場的特徵風險。我們發現特徵風險隨著時間的演進而逐漸變大，但是各種風險在總風險中所佔的比例幾乎是固定的。接著，我們探討會影響特徵風險的各種公司特質，除了先前的研究所發現的公司規模以及股價外這兩個因素外，本研究發現股票的周轉率、前期的報酬以及公司所屬的產業這三個因素與特徵風險的關係也都是顯著的。而回歸的結果以及子區間的分析也都證實了我們的結果。
關鍵字
特徵風險、風險決定因素並列摘要
This study examines the idiosyncratic risk of U.S. stocks for the period from 1962 to 2004. The aggregated idiosyncratic risk is demonstrated to have increased with time, while the percentage of each risk component has remained relatively stable. I also examine firm characteristics affecting the idiosyncratic risk. In addition to those factors that have been identified by previous research, such as firm size and stock price level, this study finds that trade turnover, prior return, and industry classification have significant relationship with idiosyncratic risk. Alternative regression models and sub-period analysis are performed to confirm the robustness of our results.
參考文獻
Bali, Turan G., Cakici, Nusret, Yan, Xuemin, and Zhang, Zhe, 2005, Does idiosyncratic risk really matter? Journal of Finance.
Brandt, Michael W., Brav, Alon, and Graham, John R., 2005, The idiosyncratic volatility puzzle: Time trend or speculative episodes? Working Paper.
Campbell, John Y., Lettau, Martin, Malkiel, Burton G., and Xu, Yexiao, 2001, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, Journal of Finance 56, 1-43.
Dennis, Patrick, and Strickland, Deon, 2005, The determinants of idiosyncratic volatility. Working Paper.
Durnev, Art, Morck, Randall, and Yeung, Bernard, 2004, Value-enhancing capital budgeting and firm-specific stock return variation. Journal of Finance 59, 65-105.