Financial Analyst Journal, Volume 70, Issue1, 2014

对套利的限制和低波动异象

作者：Xi Li (Hong Kong University of Science and Technology),

Rodney N. Sullivan (CFA Institute)

Luis Garcia-Feijóo (Florida Atlantic University)

摘要：作者发现，在1963至2010年间，低波动性股票异象的存在和交易效率比普遍所认知的更为有限。例如，他们发现等权重的多空（做多低风险股票做空高风险股票）投资组合并不会产生异常收益，并且当不考虑价值加权的多空投资组合中的低价股时，阿尔法在很大程度上已经消失了。此外，高交易成本显著地降低了多空投资组合的表现，作者的发现反映出异常收益集中在低流动性和市值较小股票中。当放大流动性需求时，异常超额收益很快出现反转，因此需要频繁地调整权重。作者的研究结果对实施低风险股权投资组合战略具有重要意义。

The Limits to Arbitrage and the Low-Volatility Anomaly

Xi Li (Hong Kong University of Science and Technology), Rodney N. Sullivan (CFA Institute), Luis Garcia-Feijóo (Florida Atlantic University)

ABSTRACT

The authors found that over 1963–2010, the existence and trading efficacy of the low-volatility stock anomaly were more limited than widely believed. For example, they found no anomalous returns for equal-weighted long–short (low-risk minus high-risk) portfolios and that alpha is largely eliminated when omitting low-priced stocks from value-weighted long–short portfolios. Furthermore, performance of long–short portfolios was significantly reduced by high transaction costs, reflecting the finding that the abnormal returns were concentrated among low-liquidity and smaller stocks. Amplifying liquidity needs, the anomalous excess returns quickly reversed, requiring frequent rebalancing. The authors’ findings have meaningful implications for implementing low-risk equity portfolio strategies.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v70.n1.3

翻译：秦秀婷