獨特性波動與橫斷面股票報酬

Idiosyncratic Volatility and Cross Sectional Stock Returns

周政嶔(C. Daniel Chou)

指導教授 ： 王祝三

國立臺北大學/商學院/企業管理學系/碩士(2009年)

摘要

獨特性風險在資產定價上是否具有重要性及預測未來報酬的能力，目前仍為財金研究中的論戰焦點。由於各學者在實證方法上確實存有相當大的差異性，且在模型建構及變數衡量方面亦多所不同。故本文懷疑導致獨特性波動與股票報酬之間的真正關係依舊眾說紛紜而無定論之原因，極可能是研究方法不同所引起的。
首先，本文確認獨特性波動的時間序列特性，並以GARCH模式建構適合的獨特性風險代理變數。爾後，同時考慮特徵及因子模式來進行個股橫斷面迴歸分析；另一方面，進一步地建構獨特性波動分類投資組合來探討其與股票報酬的關係。換言之，本文同時納入兩種不同的研究方法來全面性地檢視獨特性波動與股票報酬的橫斷面關係及其是否具備穩健性。同時，本文亦於橫斷面分析中，檢視獨特性波動與股票報酬不存在關係之原因，是否係兩者具有非線性關係所造成。
實證結果顯示，由GARCH模式所估計的獨特性波動，其於個股橫斷面迴歸分析或分類投資組合間異常報酬檢測的結果中，皆透露出獨特性波動與橫斷面股票報酬的關係並不穩健，亦即兩者關係將因不同的獨特性波動估計模式或橫斷面分析方法而產生出相異的結果。此外，本研究亦發現：當進行實證時，1. 橫斷面分析變數的不同及其定義的改變；2. 有無考量獨特性波動與股票報酬存在非線性的關係；3. 採用不同估計模式的獨特性風險代理變數，以及4. 有無於橫斷面中納入控制變數，皆將對於獨特性波動與股票報酬的橫斷面關係之結果造成影響。

關鍵字

獨特性波動 ； 獨特性風險 ； 橫斷面股票報酬 ； GARCH

並列摘要

There has been a lively debate on existence of relationship between idiosyncratic risk and cross-sectional stock returns. In addition, the existing evidences on relationship between idiosyncratic risk and cross section of stock returns are confusing: some find a positive relation, some find a negative relation, and others find none. I doubt that difference in methodology used in previous studies results in the conflicting evidence.

The purpose of this paper is to further examine the relationship between idiosyncratic volatility and expected returns by using two different cross-sectional tests. First, given the confirmed time-series property of idiosyncratic volatility, I construct an appropriate proxy for the expected idiosyncratic volatility by employing GARCH model. In addition to running Fama-MacBeth regression in a variety of pricing models to examine cross-sectional relation between idiosyncratic volatility and expected stock returns, I use portfolios of stocks sorted by the individual’s idiosyncratic volatility to check the relationship between idiosyncratic volatility and cross section of stock returns. Meanwhile, this paper doubts that the finding of insignificant cross-sectional relation may be caused by the existence of nonlinear relationship between idiosyncratic risk and cross-section of expected stock returns. In order to address this issue, I take the possible nonlinear relationship into account in the cross-sectional test.

The empirical results show that there is no robust relation between idiosyncratic volatility estimated by GARCH model and cross-sectional stock returns. These findings imply that the relationship is sensitive to both measures of idiosyncratic volatility and methodological used in the cross-sectional tests. Moreover, this paper reveals that, i) the specification and definition of variables for cross-sectional analyses, ii) taking the nonlinear relationship into account or not, iii) the proxy used for idiosyncratic risk (estimated with CAPM or FF-3), and iv) adding the control variables in the analyses or not, all play critical roles in discovering the presence of a cross-sectional relation between idiosyncratic risk and expected returns.

並列關鍵字

Idiosyncratic Volatility ； Idiosyncratic Risk ； Cross Sectional Stock Returns ； GARCH

參考文獻

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