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本文从套利风险和非对称套利角度,通过构造可用于多因子资产定价模型的股市特质风险因子,实证分析了不同股票特质波动率组合之间的收益率差异.接着,本文基于理性套利者进行套利活动时面临的噪声交易者风险这一研究视角,分别分析了股票是否发放现金股利、股票流动性和投资者情绪对股市特质风险因子的影响.研究结果表明,股票特质波动率与投资组合形成期的收益率正相关,即股市特质风险因子显著为正.此外,发放现金股利的公司,信息透明度较高,噪声交易者风险较低,股市特质风险因子相对较小;投资者情绪越乐观,股市非预期流动性越高,股市特质风险因子越大.
In this paper, from the perspective of arbitrage risk and asymmetric arbitrage, this paper empirically analyzes the rate of return difference between the volatility combinations of different stock trades by constructing the risk trait of stock market which can be used in multi-factor asset pricing model.Furthermore, This paper analyzes the impact of stock dividends, stock liquidity and investor sentiment on the trait risk factors of the stock market.The results show that the volatility of stock traits and the formation of portfolio Positive correlation, that is, the stock market trait risk factor is significantly positive.In addition, cash dividends issued by the company, the higher the transparency of information, noise traders lower risk, the stock market trait risk factor is relatively small; investor optimism, the stock market The higher the unanticipated liquidity, the greater the stock trait risk factor.