非系統風險與報酬之間的關係: 國際市場之實證探討

Idiosyncratic Volatility of Stock Returns: An International Evidence

謝明憲(Ming-Hsien Hsieh)

指導教授 ： 辛敬文

元智大學/管理學院/財務金融學系/碩士(2006年)

摘要

本文以英國與日本市場的資料去探討非系統風險對於報酬的預測能力，本文發現在90年代之間非系統風險有顯著的增加趨勢，同時我們也發現小型股與大型股呈現完全不一樣的結果。首先，在英國市場中我們發現與Goyal and Santa-Clara (2003) 一致的結果，也就是在2000年以前我們發現報酬與非系統風險呈現正向的關係，然而這種關係在2000年之後就消失了。其次，在小型股中我們發現報酬與非系統風險之間呈現顯著的負向關係。再來，我們發現在牛市中報酬與非系統風險之間呈現顯著的正向關係，相反的，在熊市中我們發現報酬與非系統風險之間呈現顯著的負向關係。這種顯著的關係並不會因為大型股或小型股而有不同的結果，最後我們在英國資料中發現當市場處於一般穩定狀態時報酬與非系統風險之間大致上呈現正向的關係，然而這種關係並未在日本市場中發現。

關鍵字

非系統風險，總風險，各種風險對報酬的預測能力

並列摘要

This study examines the predictive ability of idiosyncratic volatility in the UK and the Japanese markets. The results show that idiosyncratic risk has been rising during the 1990’s and that the behavior of idiosyncratic volatility of small stocks is different from that of large stocks. Several new findings emerge from the empirical results. First, the observation of a positive relationship between the lagged idiosyncratic risk and stock returns in UK by Goyal and Santa-Clara (2003) no longer exists for the extended sample period when post year 2000 periods are included. Second, the idiosyncratic volatility is significantly negatively related to small stock returns in the UK and the Japanese markets. Last, the volatility is found significantly positively related to the expected return during bull market while a converse relationship is observed during the bear market.

並列關鍵字

Idiosyncratic Risk, Total Risk, Stock Market Volatility and Stock Return Predictability

參考文獻

Angelidis, Timotheos and Nikolaos Tessaromatis, 2005, Equity Returns and Idiosyncratic Volatility: UK Evidence, working paper

Brandt, Michael W., Alon Brav and John R. Graham, 2005, The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?, working paper

Brown, David P. and Miguel A. Ferreira, 2004, Information in the Idiosyncratic Volatility of Small Firms, working paper

Campbell, John Y., Martin Lettau, Burton G. Malkiel and Yexiao Xu, 2001, Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk, Journal of Finance 56, 1-43.

Chang, Eric C., Joseph W. Cheng and Ajay Khorana, 2000, An examination of herd behavior in equity markets: An international perspective, Journal of Banking& Finance 24, 1651-1679.