Journal of Banking & Finance · VOL. 73, DECEMBER 2016

特质风险，高成本套利和横截面股票收益

作者：Jie Cao (The Chinese University of Hong Kong), Bing Han (Rotman School of Management at the University of Toronto; Southwestern University of Finance and Economics)

摘要：高价套利理论暗示了股票期望收益和特质风险之间新的横截面关系，我们对这种关系进行了检验。如果套利者发现难以纠正高特质风险股票的错误定价，那么被低估（高估）股票的期望收益和特质风险之间应该存在正（负）相关关系。我们结合了几个知名的异象来衡量股票的错误定价，同时使用股票收益的指数广义自回归条件异方差（GARCH）模型代理股票特质风险。我们证实了低估（高估）股票的平均股票收益随着特质风险的增加而单调增加（减少）。总之，我们的结果支持特质风险作为套利成本的重要性。

关键词：高成本套利，特质风险，错误定价

Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns

Jie Cao (The Chinese University of Hong Kong), Bing Han (Rotman School of Management at the University of Toronto; Southwestern University of Finance and Economics)

ABSTRACT

We test a new cross-sectional relation between expected stock return and idiosyncratic risk implied by the theory of costly arbitrage. If arbitrageurs find it more difficult to correct the mispricing of stocks with high idiosyncratic risk, there should be a positive (negative) relation between expected return and idiosyncratic risk for undervalued (overvalued) stocks. We combine several well-known anomalies to measure stock mispricing and proxy stock idiosyncratic risk using an exponential GARCH model for stock returns. We confirm that average stock returns monotonically increase (decrease) with idiosyncratic risk for undervalued (overvalued) stocks. Overall, our results support the importance of idiosyncratic risk as an arbitrage cost.

Keywords: Costly Arbitrage, Idiosyncratic Risk, Mispricing

原文链接：

http://www.sciencedirect.com/science/article/pii/S0378426616301431

翻译：贾梦悦