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本文选用2001年至2008年在上海证券交易所上市交易的211支股票的月度数据,对个股的非系统风险和股票预期收益之间的关系进行了实证研究。对于非系统风险的估计,本文采用了直接法,即对个股按照Fama的三因素模型进行回归,回归结果中的残差即为个股所面临的非系统波动率也即非系统风险。在得到个股的非系统波动率之后,本文将个股的公司规模因素、换手率因素、账面市值比因素以及滞后一期的非系统波动率作为自变量,个股的超额收益率作为因变量来研究股票的非系统风险和预期收益之间的关系。实证结果表明个股的非系统风险与预期收益之间是显著为负的关系,即若个股的非系统风险越大,则其预期收益越低。
This paper selects the monthly data of 211 stocks traded on the Shanghai Stock Exchange from 2001 to 2008 and makes an empirical study on the relationship between the non-systematic risk of individual stocks and the expected returns of the stock. For the nonsystematic risk estimation, this article adopts the direct method, that is, regresses the individual stocks according to Fama’s three-factor model. The residuals in the regression results are the non-systematic volatility, ie, non-systemic risk, that the individual stocks face. After getting the non-systematic volatility of individual stocks, this paper studies the individual size, turnover ratio, book-to-market ratio and the lagged one-period volatility as the independent variables and the stock returns as a dependent variable The relationship between the non-systemic risk of stocks and the expected return. The empirical results show that there is a significant negative relationship between the non-systematic risk of individual stocks and the expected return. That is, the higher the non-systematic risk of individual stocks, the lower the expected return.