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根据我国A股市场数据,运用“非资产定价模型分解法”将个股风险分解为市场风险、行业层面风险和公司特质风险,并通过实证检验得出如下结论:(1)从1995年到2010年的15年中,我国证券市场的平均公司特质风险经历了下降和上升的“U”型趋势,并且时间序列平稳;(2)公司特质风险在个股波动中的比例不断升高,逐渐成为个股风险的主要来源;(3)在三个层面风险中,只有市场风险具有市场收益的预测能力,公司特质风险和行业层面风险则不具备这样的能力。上述实证结果表明,公司特质风险没有被市场收益定价,也就是说,在我国证券市场上,特质风险只是反映了公司层面信息的不确定性。
According to the data of A-share market in China, we use the “non-asset pricing model decomposition method” to decompose the stock risk into the market risk, the industry level risk and the company trait risk. Through the empirical test, we can draw the following conclusions: (1) From 1995 to In the 15 years of 2010, the average corporate trait risk in China’s securities market has experienced “U” trend of declining and rising, and the time series has been stable. (2) The proportion of company trait risk in the fluctuation of individual stocks has been on the rise, Gradually becoming the main source of individual stock risk. (3) Among the three levels of risk, only the market risk has the ability of forecasting market returns, and the company’s trait risk and industry-level risk do not have such ability. The above empirical results show that the company’s trait risk is not priced by market returns. That is to say, in China’s securities market, trait risk only reflects the uncertainty of company-level information.