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基于分位数回归的特质风险与股票收益关系再考察 被引量：3

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摘要 文章利用Fama-French三因子模型和Carhart四因子模型对我国沪深两市A股股票的特质波动率进行测算,采用分位数回归方法对股票横截面收益率与特质波动率之间的关系进行了定量考察。研究表明,横截面收益与特质风险的关系具有时变性,在低分位点,横截面收益率与特质波动率之间的关系较为微弱;而在高分位点,横截面收益率与特质波动率之间呈现强劲的正相关关系。这表明,我国A股股票的横截面收益与其特质风险之间的关系具有异质性,"特质波动率之谜"仅存在于收益率较低的股票中。
作者 刘波 霍兴兴
机构地区 浙江工商大学统计学院 浙江工商大学杭州商学院
出处 《金融与经济》 北大核心 2014年第4期73-76,93,共5页 Finance and Economy
基金 浙江工商大学校级科研项目<特质风险对股票收益影响的统计研究--来自分位数回归的证据>(批准号:1180ku114020) 浙江省高校人文社科重点研究基地(浙江工商大学统计学)
关键词 特质风险 横截面收益率 特质波动率之谜 分位数回归方法
分类号 F830.91 [经济管理—金融学]
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参考文献15

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二级参考文献100

共引文献138

同被引文献28

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金融与经济
2014年 第4期

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