THE JOURNAL OF FINANCE ·VOL. LXX, NO. 5· OCTOBER 2015

套利的不對稱性與特質波動率之謎

作者：Robert F. Stambaugh, Jianfeng Yu and Yu Yuan

摘要：對很多權益投資者來說，做多比做空容易。将這種套利的不對稱性和以特質波動率為代表的套利風險結合起來，可以解釋特質波動率和平均收益的負相關性。對于定價過高的股票，特質波動率和收益的關系為負，而定價過低的股票則相反，這種錯誤定價由11個收益異象聯合決定。與套利的不對稱性一緻，定價過高股票的負相關性更強，特别是不容易做空的股票，因此總體上特質波動率和收益的關系為負。高漲的投資者情緒削弱了定價過低股票（特質波動率和收益）的正相關性，尤其是加強了定價過高股票的負相關性，這為我們的解釋提供了佐證。

關鍵詞：套利的不對稱性，特質波動率，收益

Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

Robert F. Stambaugh, Jianfeng Yu and Yu Yuan

ABSTRACT

Buying is easier than shorting for many equity investors. Combining this arbitrage asymmetry with the arbitrage risk represented by idiosyncratic volatility (IVOL) explains the negative relation between IVOL and average return. The IVOL-return relation is negative among overpriced stocks but positive among underpriced stocks, with mispricing determined by combining 11 return anomalies. Consistent with arbitrage asymmetry, the negative relation among overpriced stocks is stronger, especially for stocks less easily shorted, so the overall IVOL-return relation is negative. Further supporting our explanation, high investor sentiment weakens the positive relation among underpriced stocks and, especially, strengthens the negative relation among overpriced stocks.

Keywords: Arbitrage Asymmetry, Idiosyncratic Volatility, Return

原文鍊接：

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2155491

翻譯：任兆月