Financial Management, Volume 44, Issue 2, pages 295–322, Summer 2015.

高特质波动与低回报：基于前景理论的解释

作者：Ajay Bhootra (California State University-Mihaylo College of Business and Economics), Jungshik Hur (Louisiana Tech University-Department of Economics and Finance)

摘要：如果投资者是风险厌恶的，那么在大量文献中记载的关于特质波动和股票收益之间负相关关系就是令人困惑的。然而，在前景理论下，尽管投资者在面对收益时是风险厌恶的，他们在面对损失时却是风险偏好的。与投资者在高波动股票的损失区间中寻求风险的偏好相一致，我们发现在那些未发生资本损失的股票中，特质波动和股票回报之间存在负相关性，在那些未实现资本利得的股票中则不存该现象。在其他变量中，控制了短期收益反转和最大当日收益之后，我们的结论依旧稳健。

关键词：前景理论，特质波动，风险偏好

High Idiosyncratic Volatility and Low Returns: A Prospect Theory Explanation

Ajay Bhootra (California State University-Mihaylo College of Business and Economics), Jungshik Hur (Louisiana Tech University-Department of Economics and Finance)

Abstract: The well-documented negative relationship between idiosyncratic volatility and stock returns is puzzling if investors are risk-averse. However, under prospect theory, while investors are risk-averse in the domain of gains, they exhibit risk-seeking behavior in the domain of losses. Consistent with risk-seeking investors’ preference for high-volatility stocks in the loss domain, we find that the negative relationship between idiosyncratic volatility and stock returns is concentrated in stocks with unrealized capital losses, but is nonexistent in stocks with unrealized capital gains. This finding is robust to control for short-term return reversals and maximum daily return, among other variables.

Keywords: prospect theory, idiosyncratic volatility, risk-seeking

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/fima.12057/pdf

翻译：成祺炯