Journal of Empirical Finance · VOLUME 23 · September 2013

协矩风险与股票回报

作者：M. Lambert (HEC Management School, University of Liège), G. Hübner (Faculty of Economics and Business Administration, Maastricht University)

摘要：本文对美国市场上可投资的协矩股权风险溢价进行了估计，股票对于市场组合收益的非对称和肥尾的贡献被分别定价为协偏度溢价和协峰度溢价。作者构造了协偏度股权风险和协峰度股权风险的多空自投资策略，并且从差价中推算出美国市场单位协偏度风险和协峰度风险对应的回报。从1959年1月到2011年12月，协偏度风险和协峰度风险分别有0.27%和0.14%的月平均正收益。协矩风险在美国股票市场具有显著的定价功能，并且对美国市场的规模和账面市值比效应具有很强的解释能力。这两种溢价并没有将实证资本资产定价模型完全纳入到自己的框架，而是对现有模型的一个补足。本文的研究基于CRSP数据库1955年12月至2011年12月的数据，并且是第一个在如此长期限内提出可投资协矩风险的文献。

关键词：协矩、对冲组合、股权风险、Fama–MacBeth检验

Comoment risk and stock returns

M. Lambert (HEC Management School, University of Liège), G. Hübner (Faculty of Economics and Business Administration, Maastricht University)

ABSTRACT

We estimate investable comoment equity risk premiums for the US markets. The stock's contribution to the asymmetry and the fat tails of the market portfolio's payoff are priced into a coskewness premium and a cokurtosis premium. We construct zero-investment strategies that are long and short in coskewness and cokurtosis equity risks; we infer from the spread the returns attached to a unit exposure to US equity coskewness and cokurtosis. The coskewness and cokurtosis premiums present positive monthly average returns of 0.27% and 0.14% from January 1959 to December 2011. Comoment risks appear to be significantly priced within the US stock market and display significant explanatory power regarding the US size and book-to-market effects. The premiums do not subsume, but rather complement the empirical capital asset pricing model. Our analysis relies on data collected from CRSP (Chicago Research Center for Security Prices) over December 1955 to December 2011. To our knowledge, the paper is the first to propose investable higher-moment risk factors over such an extensive time period.

Keywords: Comoment; Hedge portfolio; Equity risk; Fama–MacBeth test

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539813000492

翻译：殷曼琳