Financial Management, Volume 44, Issue 2 Summer 2015 Pages 267–293

作者：Doina C. Chichernea (Neff Department of Finance in the College of Business and Innovation at the University of Toledo), Michael F. Ferguson (Department of Finance in the Carl H. Lindner College of Business at the University of Cincinnati), Haimanot Kassa (Department of Finance in the Farmer School of Business at Miami University)

摘要：使用四個不同的指标衡量公司的投資者基礎,我們證明對于被忽視的股票而言,特質風險溢價更大，對于引人注目的股票而言,特質風險溢價更小或經濟上不顯著。因為被忽視的股票有更大的特質波動率，所以被忽視股票總的特質風險溢價（價格X數量）比那些引人注目的股票要高。除此之外，控制特質波動率後我們發現了正的規模效應和負的beta效應。總的來說，我們的結果對默頓的理論，即不完全信息帶來的市場分割是特質波動率對橫截面回報影響的重要組成部分，提供了強有力的支持。

Idiosyncratic Risk, Investor Base, and Returns

Doina C. Chichernea (Neff Department of Finance in the College of Business and Innovation at the University of Toledo), Michael F. Ferguson (Department of Finance in the Carl H. Lindner College of Business at the University of Cincinnati), Haimanot Kassa (Department of Finance in the Farmer School of Business at Miami University)

ABSTRACT

Using four different proxies for a firm's investor base we demonstrate that idiosyncratic risk premiums are larger for neglected stocks and smaller or economically insignificant for visible stocks. Since neglected stocks have greater idiosyncratic volatility (IV), the total IV risk premium (price × quantity) for neglected stocks will be greater than that of visible stocks. Additionally, we find a positive size effect and negative beta effect after controlling for IV. Overall, our results provide strong support for Merton's theory that market segmentation induced by incomplete information is an important component of the influence of IV in the cross-section of returns.

原文鍊接：http://onlinelibrary.wiley.com/doi/10.1111/fima.12067/epdf

翻譯：孫雨琦