REVIEW OF FINANCE · VOL. 20, ISSUE. 3 ·MAY 2016

資産增長與異質收益波動率

作者：Zhongzhi Song

摘要：文章研究了公司資産增長和股票收益異質波動率的實證關系，公司的異質收益波動率與他們滞後的資産增長率呈現V型的關系：相比有着适度增長率的公司，有極端（過高或過低）的增長率的公司往往有更高的波動率。在時間序列上，有着更高的資産增長率的公司間會有更高的異質收益波動率。不僅如此，這種高資産增長率在時間序列上對平均的異質收益波動率有最強的預測能力，例如現金流波動率和成長期權。這些發現表明了在研究截面的收益波動性時非線性因素的重要性，并且為截面和時間序列研究提供了重要的新解釋。

關鍵詞：資産增長，投資摩擦，異質收益波動率

Asset Growth and Idiosyncratic Return Volatility

Zhongzhi Song

ABSTRACT

This article studies the empirical relationship between firms’ asset growth and idiosyncratic stock return volatility. In the cross-section, firms’ idiosyncratic return volatility is V-shaped with respect to their lagged asset growth rates: the volatility is higher for firms with extreme (either high or low) asset growth rates than for firms with moderate growth rates. In the time series, a higher dispersion across firms in asset growth rates predicts a higher average idiosyncratic return volatility. Moreover, the dispersion in asset growth rates has the strongest time series predictive power among alternative explanations of the average idiosyncratic return volatility, such as cash flow volatility and growth options. These findings indicate the importance of nonlinearity in studying the cross-sectional return volatility and provide a new explanation of the idiosyncratic return volatility that is significant in both the cross-section and the time series.

Keywords: Asset growth, Investment frictions, Idiosyncratic return volatility

摘要鍊接：

http://rof.oxfordjournals.org/content/20/3/1235.abstract

翻譯：金明