The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China

被引：4

作者：

Su, Zhi ^{[1
]}

Shu, Tengjia ^{[1
]}

Yin, Libo ^{[2
]}

机构：

[1] Cent Univ Finance & Econ, Sch Math & Stat, Beijing, Peoples R China

[2] Cent Univ Finance & Econ, Sch Finance, 39 South Coll Rd, Beijing 100081, Peoples R China

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2018年 / 497卷

基金：

中国国家自然科学基金;

关键词：

Idiosyncratic volatility; Cross section of stock returns; Firm-level volatility; Common trend; A-Share stock of China; EXPECTED RETURNS; FINANCIAL CRISIS; CROSS-SECTION; RISK; MARKET; INFORMATION; OWNERSHIP; ASYMMETRY; IMPACT; STATE;

D O I：

10.1016/j.physa.2018.01.004

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

Inspired by Herskovic et al. (2016), we investigate the pricing effect of the firm-level common idiosyncratic volatility (CIV) in China's A-Share market. Return tests indicate that lower CIV risk loadings bring higher returns significantly, while the pricing function of market volatility (MV) is inconsistent. Strategy that goes long the highest CIV-beta quintile and short the lowest CIV-beta quintile brings an annualized average return of 5%-7%. Our findings supplement Herskovic et al. (2016) by confirming a significantly negative relationship between CIV and stock returns in a developing market. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：218 / 235

页数：18

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