Journal of Banking & Finance · VOL. 73, DECEMBER 2016

特質風險，高成本套利和橫截面股票收益

作者：Jie Cao (The Chinese University of Hong Kong), Bing Han (Rotman School of Management at the University of Toronto; Southwestern University of Finance and Economics)

摘要：高價套利理論暗示了股票期望收益和特質風險之間新的橫截面關系，我們對這種關系進行了檢驗。如果套利者發現難以糾正高特質風險股票的錯誤定價，那麼被低估（高估）股票的期望收益和特質風險之間應該存在正（負）相關關系。我們結合了幾個知名的異象來衡量股票的錯誤定價，同時使用股票收益的指數廣義自回歸條件異方差（GARCH）模型代理股票特質風險。我們證實了低估（高估）股票的平均股票收益随着特質風險的增加而單調增加（減少）。總之，我們的結果支持特質風險作為套利成本的重要性。

關鍵詞：高成本套利，特質風險，錯誤定價

Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns

Jie Cao (The Chinese University of Hong Kong), Bing Han (Rotman School of Management at the University of Toronto; Southwestern University of Finance and Economics)

ABSTRACT

We test a new cross-sectional relation between expected stock return and idiosyncratic risk implied by the theory of costly arbitrage. If arbitrageurs find it more difficult to correct the mispricing of stocks with high idiosyncratic risk, there should be a positive (negative) relation between expected return and idiosyncratic risk for undervalued (overvalued) stocks. We combine several well-known anomalies to measure stock mispricing and proxy stock idiosyncratic risk using an exponential GARCH model for stock returns. We confirm that average stock returns monotonically increase (decrease) with idiosyncratic risk for undervalued (overvalued) stocks. Overall, our results support the importance of idiosyncratic risk as an arbitrage cost.

Keywords: Costly Arbitrage, Idiosyncratic Risk, Mispricing

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S0378426616301431

翻譯：賈夢悅