佳作分享|异质信念与特质波动率之谜---基于中国证券市场的分析
Heterogeneous beliefs and idiosyncratic volatility puzzle: evidence from China
异质信念与特质波动率之谜---基于中国证券市场的分析
Author
Mao He
School of Economics and Management, Southwest Jiaotong University, Chengdu, China,and,
Juncheng Huang
School of Economics and Management, Southwest Jiaotong University, Chengdu, China,and,
Hongquan Zhu
School of Economics and Management, Southwest Jiaotong University, Chengdu, China
Citation
He, M., Huang, J. and Zhu, H. (2020), "Heterogeneous beliefs and idiosyncratic volatility puzzle: evidence from China", China Finance Review International, Vol. 11 No. 1, pp. 124-141. https://doi.org/10.1108/CFRI-07-2019-0128
关键词
Idiosyncratic volatility, Heterogeneous beliefs, Stock returns, A-share market
摘要
本文从投资者异质信念的视角探讨了我国股票市场中的“特质波动率之谜”现象。理论上：股票的特质波动率与投资者当期的异质信念正相关，而投资者当期异质信念越高，股票下一期的收益越小。因此，特质波动率通过影响投资者异质信念对股票未来的收益产生影响。为了检验理论推断的有效性，本文基于A股市场1997-2018年的数据，以未预期交易量作为投资者异质信念的测度指标，通过分组分析、Fama-MacBeth回归，验证了投资者异质信念作为中介变量，能较好地解释股票的特质波动率与未来收益间的负相关性，且对A股市场的“特质波动率之谜”现象有11.28%的解释能力。研究结果有利于加深对投资者行为和证券市场运行规律的理解与认识，可为政策制定、投资决策等提供理论支持。
Abstract
Purpose
The purpose of our study is to explore the “idiosyncratic volatility puzzle” in Chinese stock market from the perspective of investors' heterogeneous beliefs. To delve into the relationship between idiosyncratic volatility and investors' heterogeneous beliefs, and uncover the ability of heterogeneous beliefs, as well as to explain the “idiosyncratic volatility puzzle”, we construct our study as follows.
Design/methodology/approach
Our study adopts the unexpected trading volume as proxies of heterogeneity, the residual of Fama–French three-factor model as proxies of idiosyncratic volatility. Portfolio strategies and Fama–MacBeth regression are used to investigate the relationship between the two proxies and stock returns in Chinese A-share market.
Findings
Investors' heterogeneous beliefs, as an intermediary variable, are positively correlated with idiosyncratic volatility. Meanwhile, it could better demonstrate the negative correlation between the idiosyncratic volatility and future stock returns. It is one of the economic mechanisms linking idiosyncratic volatility to subsequent stock returns, which can account for 11.28% of the puzzle.
Originality/value
The findings indicate that idiosyncratic volatility is significantly and positively correlated with heterogeneous beliefs and that heterogeneous beliefs are effective intervening variables to explain the “idiosyncratic volatility puzzle”.
文章结构
Introduction
Literature review and hypothesis development
2.1 Idiosyncratic volatility and subsequent return
2.2 Heterogeneous beliefs and expected returns
2.3 Idiosyncratic volatility and heterogeneous beliefs
Data and results
3.1 Samples selection
3.2 Variable definition
3.3 Path analysis and model construction
3.4 Descriptive statistical analysis
3.5 Empirical results
Robustness check
Conclusion
研究成果
Descriptive statistics.
Correlation analysis.
The mean of heterogeneous beliefs sorted by idiosyncratic volatility.
The expected portfolio returns under different grouping methods.
Idiosyncratic volatility, heterogeneous beliefs and expected returns.
The ability of heterogeneous beliefs to explain the idiosyncratic volatility puzzle.
The influence of heterogeneous belief on expected return after introducing margin trading and shortselling.
The explanatory power of heterogeneous beliefs on the idiosyncratic volatility puzzle (samples grouped by MSm).
主要结论
In this article, we derive the heterogeneous beliefs of investors by unexpected trading volume. We define the residual from Fama–French three-factor model as a proxy for idiosyncratic volatility of stocks. We explore the relation between idiosyncratic risk and the subsequent returns with the application of the investors' heterogeneous beliefs. We find that belief heterogeneity of investors is one significantly and effectively economic mechanism linking idiosyncratic volatility to subsequent stock returns (the idiosyncratic volatility puzzle) in Chinese A-share mark.
In US markets, Hou and Loh (2016) find that many existing explanations, such as coskewness, analyst dispersion (a proxy for uncertainty) and Amihud illiquidity, explain less than 10% of the idiosyncratic volatility puzzle. In our work, we find that investors' heterogeneous beliefs (measured by unexpected trading volume) can account for more than 11% of the puzzle in Chinese A-share market. Our main results are robust to analyzing methods (portfolios strategies instead of individual stocks) and subsample analysis. Our study enriches the work of asset pricing. It could provide valuble references for investors and policy-makers in making of decisions and policies, respectively.
作者简介
何茂（1995-），女，四川宜宾人，西南交通大学经济管理学院硕士研究生，主要研究方向为资产定价、金融市场与公司金融。
黄俊橙（1996-），男，重庆北碚人，西南交通大学经济管理学院硕士研究生，主要研究方向为金融市场与机构，主要关注研究话题为公司融资、企业社会责任。
朱宏泉（1963-），男，四川成都人，管理科学与工程博士，教授，博士生导师，主要研究方向为资产定价、金融市场与机构、行为金融。
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