由於股票報酬在熊市與牛市存在不對稱的市場風險敏感度,投資者往往對投資損失的效用遞減程度高於投資利得的遞增程度。本文先針對此不對稱的市場反應取代傳統的CAPM市場因子作為控制因子,根據前期的非預期總體波動性風險曝險度做投資組合的分類,以橫斷面分析股價報酬,探討非預期總體波動性風險曝險度對未來股價報酬的影響。我們採用不同於AXHZ (2006)的樣本期間,並以CBOE-VIX為總體波動性風險指標,其模擬結果大致與AXHZ (2006)一致,即非預期高波動性曝險度的股價報酬表現偏低,而非預期低波動性曝險度的股價平均報酬偏高。本文再進一步探討是否總體波動性風險曝險度也表現不對稱的市場反應。投資組合是依據前期對牛市與熊市的非預期總體波動性風險曝險度做分類,結果顯示,在牛市情況下,前述的總體波動性風險曝險度與未來股價報酬的負向關係明顯下降。
This study examines whether stock sensitivities to the innovations in systematic volatility explain the cross-sectional expected returns. Being a close following of the study by AHXZ (2006), this research extends their work by applying the new CBOE-VIX as the proxy for aggregate volatility over an extended sample period. More importantly, we further consider the possibility that the stock response to changes in systematic volatility is asymmetric with respect to the market conditions. The results indicate that investors earn low future returns when stocks faced past high exposures to innovations in aggregate volatility. We also find that the importance of aggregate volatility risk is mitigated during a bull market.