Financial Analyst Journal, Volume 71, Issue 6, 2016

通过全球视角观测特质波动性和期望收益

作者：Mehmet Umutlu (Ya?ar University)

摘要：作者通过引入全球特质波动性测度和全球多元化测试资产，调查了特质波动性与预期收益之间在全球横截面关系中的存在性及其显著程度。他发现，具有最高和最低全球特质波动性的投资组合并不能获得显著不同的平均收益率，这表明全球特质波动性与预期收益之间没有关系。研究结果表明，全球多元化在稳定全球测试资产回报方面是有效的，全球多元化带来的收益可通过跨国或跨行业的多样化获得。

Idiosyncratic Volatility and Expected Returns at the Global Level

Mehmet Umutlu (Ya?ar University)

ABSTRACT

The author investigated the existence and significance of a global cross-sectional relation between idiosyncratic volatility and expected returns by introducing a global idiosyncratic volatility measure and globally diversified test assets. He found that portfolios with the highest and lowest global idiosyncratic volatility do not earn significantly different average returns, indicating no link between global idiosyncratic volatility and expected returns. His results show that global diversification is effective in stabilizing the returns of global test assets and that benefits from global diversification can be gained by diversifying across either countries or industries.

原文链接：

https://www.cfapubs.org/doi/abs/10.2469/faj.v71.n6.5

翻译：秦秀婷