【作者】 王婧；

【导师】 张信东；

【作者基本信息】 山西大学 ， 统计学， 2015， 硕士

【摘要】 国内外学者对特质风险和股票预期收益之间的关系进行了大量的研究,目前主要形成了以下三种主流观点：一是基于CAPM模型认为特质风险可以通过理性投资者持有足够多样化的投资组合而将其完全分散掉,从而不会影响股票的预期收益；二是基于均衡理论,投资者所承受的额外特质风险需要由更高的收益来补偿,因此特质风险与预期收益之间存在正相关关系；三是从实证角度发现了特质风险与预期收益之间的负相关关系,即“高风险低收益”的异象。与此同时,市场中出现的各种金融异象在传统金融理论框架下得不到合理的解释,促使学者们从投资者行为的角度出发,研究更深层次决定风险-收益关系的因素,行为金融学应运而生。投资者情绪作为行为金融学的研究热点,相关研究已从理论和实证角度证实了投资者情绪对股票收益和风险的影响。因此,本文研究投资者情绪对特质风险与预期收益关系的影响,不仅对投资者情绪的研究内容进行了拓展,而且为解释特质波动率与预期收益间模棱两可的关系提供了新的视角。本文从行为金融学的角度入手,引入投资者情绪指标,尝试运用投资者情绪的不同表现来探讨中国股票市场特质风险与股票预期收益的关系。文章采用中国股票市场1999年1月至2013年12月15年A股板块股票的交易数据,采用Fama-French模型和EGARCH (1,1)模型构造特质波动率,选取封闭式基金折价、换手率、新增开户数和消费者信心指数构造投资者情绪指标,通过投资组合分析法和Fama-Macbeth两步回归法研究特质波动率和预期收益关系后发现：投资者情绪较低的时候,A股市场中特质波动率与股票预期收益之间存在负相关关系；投资者情绪较高时,两者之间存在正相关关系。此外,考虑到中国股票市场在股票分置改革前后市场有效性、投资者非理性程度的显著差异,本文以2005年股权分置改革为时间截点,将样本分期检验后依然支持上述结论,表明中国A股市场的特质风险与股票预期收益间的关系的确受到了投资者情绪的影响。综上,中国股票市场中存在大量的非理性投资者,同时,整体市场投机性较强,导致我国股票市场非理性行为大量存在,这些行为对我国股票市场的有效性有显著的影响。我国应该从加强股票市场的监管入手,健全证券市场制度,完善相关法律法规,规范上市公司信息披露机制,促进投资者形成健康的投资理念,让投资者对市场风险与收益间的关系形成理性的认识,从而提高投资者的决策效率,增强市场有效性。更多还原

【Abstract】 There has been extensive research on the connection between idiosyncratic risks and expected returns. Both domestic and foreign scholars formed the following three main perspectives:according to CAPM model, some scholars believe that rational investors would have various investment portfolios to disperse idiosyncratic volatility, so idiosyncratic volatility wouldn’t influence expected returns. Based on equilibrium theory, researchers found that investors bearing additional risks should be compensated by higher returns, so there is supposed to be a positive correlation between idiosyncratic risk and expected return. Some scholars have found a negative correlation between idiosyncratic risk and expected return, i.e. "high-risk low-yield" phenomena. However, financial anomalies couldn’t be explained reasonably in traditional finance theory. So scholars research the deeper connection on risk-return from perspective of investors. Behavior finance focus on investors sentiment, relevant research has been confirmed the impact of sentiment on risk-return. This article study the influence of investor sentiment on connection between idiosyncratic risk and return, not only the research content of investor sentiment is extended, and provides a new perspective to explain the interpretation of idiosyncratic volatility and expected return relationship between ambiguous.From the perspective of behavioral finance, this paper introduces an index of investor sentiment, and attempts to use different manifestations of investor sentiment to explore the connections between idiosyncratic risk and expected return in Chinese stock market. We analyzed transaction data of Chinese A-share stock market from January 1999 to December 2013, and adopted Fama-French model and EGARCH (1,1) model to construct idiosyncratic volatility, and select the closed-end fund discount, turnover, number of new accounts and consumer confidence to build sentiment index structure. By applying investment portfolio analysis and Fama-Macbeth two steps regression on idiosyncratic volatility and expected return, we found that: when investor sentiment is low, there is a negative correlation between idiosyncratic volatility and expected stock return; while investor sentiment is relatively higher, there is a positive correlation between the two. In addition, considering that the difference of market effectiveness and investors’ irrational after non-tradable shares reform. We chose year 2005 (reform of non-tradable share of China stock market) as the dividing point. The new results both after and before 2005 still support the above conclusion, which means that investor sentiment has indeed influenced the connection between the idiosyncratic risks and expected stock return in China A-share market.Irrational behavior exists in many cases in Chinese stock market thanks to the pervasive irrationality of investors and the strong inclination to speculate. We suggest the Chinese government should strengthen the stock market regulation, improve the system of market and legislation, help investors form rational investment philosophy, and promote investors understand market risk and return rationally. We believe this will improve efficiency of investors’ decision-making, strength the market effectiveness.更多还原