Journal of Financial Markets，January 2019 In Press

股票收益波动的记忆：对资产定价的影响

作者：Duc BinhBenno Nguyen(Leibniz University Hannover)

Marcel Prokopczuk(Leibniz University Hannover;University of Reading)

Philipp Sibbertsen(Leibniz University Hannover)

摘要：我们研究股票收益横截面中的长记忆波动性。我们发现长记忆波动在美国很普遍，并且记忆的程度可能与公司特征有关，例如市值，账面市值比，先前表现以及价格跳跃。长期记忆波动性在横截面上是被负向定价的。购买较短记忆波动性的股票和卖出具有较长记忆波动性的股票会产生每年1.71％的显著超额回报。与理论一致，我们发现具有较长记忆的股票的波动性比具有较短记忆的股票更具可预测性。这使得后者更加不确定，这将通过更高的平均回报得到补偿。

The memory of stock return volatility: Asset pricing implications

Duc BinhBenno Nguyen(Leibniz University Hannover);Marcel Prokopczuk(Leibniz University Hannover;University of Reading);Philipp Sibbertsen(Leibniz University Hannover)

ABSTRACT

We examine long memory volatility in the cross-section of stock returns. We show that long memory volatility is widespread in the United States and that the degree of memory can be related to firm characteristics, such as market capitalization, book-to-market ratio, prior performance, and price jumps. Long memory volatility is negatively priced in the cross-section. Buying stocks with shorter memory and selling stocks with longer memory in volatility generates significant excess returns of 1.71% per annum. Consistent with theory, we find that the volatility of stocks with longer memory is more predictable than stocks with shorter memory. This makes the latter more uncertain, which is compensated for with higher average returns.

原文链接：https://www.sciencedirect.com/science/article/pii/S138641811830140X#!

翻译：黄涛