Journal of Financial Economics, Volume 119, Issue 2, February 2016, Pages 249–283

特质性波动的共同因素：资产定价的量化解释

作者：Bernard Herskovic, Bryan Kelly, Hanno Lustig, Stijn Van Nieuwerburgh

主要：本篇文章主要有两点发现，第一，企业特征性波动服从一个强因素结构；第二，对同质性波动（CIV）的冲击被定价。研究表明按照五等分，最低的CIV-bata组获得5.4%的年均收益，比其他高组别的表现更好。CIV因子有助于解释一些资产定价异象。我们为连接CIV因子与消费者所面临的收入风险提供了新的证据。我们的发现与不完全市场的异构代理模型相一致。在模型中，由于消费者的边际效用是随着企业特质性波动的增加而增大的，因此CIV为定价状态变量。模型经调整后同企业特质性波动、CIV-beta的波动范围以及其他的一些资产定价因素高度吻合。

关键字： 企业波动；特质性风险；横截面股票收益率

The common factor in idiosyncratic volatility: Quantitative asset pricing implications

Bernard Herskovic, Bryan Kelly, Hanno Lustig, Stijn Van Nieuwerburgh

Abstract

We show that firms 'idiosyncratic volatility obeys a strong factor structure and that shocks to the common idiosyncratic volatility(CIV) factor are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than those in the highest quintile. The CIV factor helps to explain a number of asset pricing anomalies. We provide new evidence linking the CIV factor to income risk faced by households. Our findings are consistent with an incomplete markets heterogeneous agent model. In the model, CIV is a priced state variable because an increase in idiosyncratic firm volatility raises the average household's marginal utility. The calibrated model matches the high degree of comovement in idiosyncratic volatilities, the CIV-beta return spread, and several other asset price moments.

Keywords: Firm volatility; Idiosyncratic risk; Cross section of stock returns

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X15001774

翻译：秦秀婷