Financial Management (Wiley-Blackwell). Winter2016, Vol. 45 Issue 4, p923-951. 29p.

特質波動性和企業特定新聞：除了套利限制

作者：Jared Delisle (Department of Economics and Finance, Utah State University), Nathan Mauck (Department of Finance, University of Missouri, Kansas City), Adam R. Smedema (University of Iowa)

摘要：我們測算了在新聞公告前後特質波動性和收益之間的關系。新聞公告時最有可能出現定價錯誤。如果特質波動性産生了套利限制，那麼收益與新聞波動率之間的負相關關系應當比收益與非新聞波動率之間的關系更強。然而，與此相反，我們發現非新聞波動性與收益之間有穩健的負相關關系，而非新聞波動性缺乏預期的關鍵性特征以證明波動性是否是套利限制的反映。對非新聞波動性的定價與股票回報的彩票性特征相關。我們的研究結果表明，波動率除了具有套利限制外還具有價格效應。

Idiosyncratic Volatility and Firm-Specific News: Beyond Limited Arbitrage.

Jared Delisle (Department of Economics and Finance, Utah State University), Nathan Mauck (Department of Finance, University of Missouri, Kansas City), Adam R. Smedema (University of Iowa)

ABSTRACT

We examine the relation between idiosyncratic volatility and returns around news announcements. Mispricing is most likely to occur during news announcements. If idiosyncratic volatility generates a limit to arbitrage, then the negative relation between returns and news volatility should be stronger than the relation to nonnews volatility. Instead, we find nonnews volatility has a robust negative relation to returns and lacks key features expected if volatility were a reflection of limits to arbitrage. Pricing of nonnews volatility is related to lottery-like features of a stock's return. Our results suggest that volatility has a price effect beyond a limit to arbitrage.

原文鍊接：

http://xueshu.baidu.com/s?wd=paperuri%3A%281dfb9b6600207d254ef5763d3b639c3f%29&filter=sc_long_sign&tn=SE_xueshusource_2kduw22v&sc_vurl=http%3A%2F%2Fonlinelibrary.wiley.com%2Fdoi%2F10.1111%2Ffima.12135%2Fabstract&ie=utf-8&sc_us=13438174041051967922

翻譯：孫雨琦