Journal of Financial Economics, Volume 119, Issue 2, February 2016, Pages 249–283

特質性波動的共同因素：資産定價的量化解釋

作者：Bernard Herskovic, Bryan Kelly, Hanno Lustig, Stijn Van Nieuwerburgh

主要：本篇文章主要有兩點發現，第一，企業特征性波動服從一個強因素結構；第二，對同質性波動（CIV）的沖擊被定價。研究表明按照五等分，最低的CIV-bata組獲得5.4%的年均收益，比其他高組别的表現更好。CIV因子有助于解釋一些資産定價異象。我們為連接CIV因子與消費者所面臨的收入風險提供了新的證據。我們的發現與不完全市場的異構代理模型相一緻。在模型中，由于消費者的邊際效用是随着企業特質性波動的增加而增大的，因此CIV為定價狀态變量。模型經調整後同企業特質性波動、CIV-beta的波動範圍以及其他的一些資産定價因素高度吻合。

關鍵字： 企業波動；特質性風險；橫截面股票收益率

The common factor in idiosyncratic volatility: Quantitative asset pricing implications

Bernard Herskovic, Bryan Kelly, Hanno Lustig, Stijn Van Nieuwerburgh

Abstract

We show that firms 'idiosyncratic volatility obeys a strong factor structure and that shocks to the common idiosyncratic volatility(CIV) factor are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than those in the highest quintile. The CIV factor helps to explain a number of asset pricing anomalies. We provide new evidence linking the CIV factor to income risk faced by households. Our findings are consistent with an incomplete markets heterogeneous agent model. In the model, CIV is a priced state variable because an increase in idiosyncratic firm volatility raises the average household's marginal utility. The calibrated model matches the high degree of comovement in idiosyncratic volatilities, the CIV-beta return spread, and several other asset price moments.

Keywords: Firm volatility; Idiosyncratic risk; Cross section of stock returns

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0304405X15001774

翻譯：秦秀婷