Financial Management (Wiley-Blackwell). Winter2016, Vol. 45 Issue 4, p923-951. 29p.

特质波动性和企业特定新闻：除了套利限制

作者：Jared Delisle (Department of Economics and Finance, Utah State University), Nathan Mauck (Department of Finance, University of Missouri, Kansas City), Adam R. Smedema (University of Iowa)

摘要：我们测算了在新闻公告前后特质波动性和收益之间的关系。新闻公告时最有可能出现定价错误。如果特质波动性产生了套利限制，那么收益与新闻波动率之间的负相关关系应当比收益与非新闻波动率之间的关系更强。然而，与此相反，我们发现非新闻波动性与收益之间有稳健的负相关关系，而非新闻波动性缺乏预期的关键性特征以证明波动性是否是套利限制的反映。对非新闻波动性的定价与股票回报的彩票性特征相关。我们的研究结果表明，波动率除了具有套利限制外还具有价格效应。

Idiosyncratic Volatility and Firm-Specific News: Beyond Limited Arbitrage.

Jared Delisle (Department of Economics and Finance, Utah State University), Nathan Mauck (Department of Finance, University of Missouri, Kansas City), Adam R. Smedema (University of Iowa)

ABSTRACT

We examine the relation between idiosyncratic volatility and returns around news announcements. Mispricing is most likely to occur during news announcements. If idiosyncratic volatility generates a limit to arbitrage, then the negative relation between returns and news volatility should be stronger than the relation to nonnews volatility. Instead, we find nonnews volatility has a robust negative relation to returns and lacks key features expected if volatility were a reflection of limits to arbitrage. Pricing of nonnews volatility is related to lottery-like features of a stock's return. Our results suggest that volatility has a price effect beyond a limit to arbitrage.

原文链接：

http://xueshu.baidu.com/s?wd=paperuri%3A%281dfb9b6600207d254ef5763d3b639c3f%29&filter=sc_long_sign&tn=SE_xueshusource_2kduw22v&sc_vurl=http%3A%2F%2Fonlinelibrary.wiley.com%2Fdoi%2F10.1111%2Ffima.12135%2Fabstract&ie=utf-8&sc_us=13438174041051967922

翻译：孙雨琦