Financial Management, Volume 44, Issue 2, pages 295–322, Summer 2015.

高特質波動與低回報：基于前景理論的解釋

作者：Ajay Bhootra (California State University-Mihaylo College of Business and Economics), Jungshik Hur (Louisiana Tech University-Department of Economics and Finance)

摘要：如果投資者是風險厭惡的，那麼在大量文獻中記載的關于特質波動和股票收益之間負相關關系就是令人困惑的。然而，在前景理論下，盡管投資者在面對收益時是風險厭惡的，他們在面對損失時卻是風險偏好的。與投資者在高波動股票的損失區間中尋求風險的偏好相一緻，我們發現在那些未發生資本損失的股票中，特質波動和股票回報之間存在負相關性，在那些未實現資本利得的股票中則不存該現象。在其他變量中，控制了短期收益反轉和最大當日收益之後，我們的結論依舊穩健。

關鍵詞：前景理論，特質波動，風險偏好

High Idiosyncratic Volatility and Low Returns: A Prospect Theory Explanation

Ajay Bhootra (California State University-Mihaylo College of Business and Economics), Jungshik Hur (Louisiana Tech University-Department of Economics and Finance)

Abstract: The well-documented negative relationship between idiosyncratic volatility and stock returns is puzzling if investors are risk-averse. However, under prospect theory, while investors are risk-averse in the domain of gains, they exhibit risk-seeking behavior in the domain of losses. Consistent with risk-seeking investors’ preference for high-volatility stocks in the loss domain, we find that the negative relationship between idiosyncratic volatility and stock returns is concentrated in stocks with unrealized capital losses, but is nonexistent in stocks with unrealized capital gains. This finding is robust to control for short-term return reversals and maximum daily return, among other variables.

Keywords: prospect theory, idiosyncratic volatility, risk-seeking

原文鍊接：http://onlinelibrary.wiley.com/doi/10.1111/fima.12057/pdf

翻譯：成祺炯