S0740208120092

021-20315183 021-20315119
zhangleiyjs@qlzq.com.cn xiaxf@qlzq.com.cn
2010 12 23

Idiosyncratic volatility
A

A 300 2005
A 0.38 300
0.32
435% A 137%

A 12 0.54 2010 12 17
1.141.1

....................................................................... - 3 -
.................................................................................. - 4 -
.............................................................................. - 6 -

1 ............................................... - 4 -
2 A ..................................................... - 5 -
3 ...................................................................................... - 5 -

-2-


Idiosyncratic volatility
market volatility

Ang, Hodrick, Xing and Zhang (2006)

Malkiel and Xue (2000)
Goyal and Santa-Clara (2003)
Guo and Savickas (2004)

Campbell (2001) Goyal and Santa-Clara (2003)

(IV)

N D, D,

IV w, , 2 ,,
B, B,

wi,t i t Nt t
Bi,t Di,t i,j i j
idiosyncratic shock

r, F ,

A Fama-French

F, , r,

D
/
COV , V, V, r, r, r, r,
B

V , i k r , i
A

(MV)

-3-


Merton(1980)

MV , ,
B

, i ,

T IV /MV

2005 A

3
4 2
3 Fama-French

A 300

300

A 300

71 71 71 71
R2 0.142 0.147 0.104 0.102
F 11.38 11.88 7.98 7.80
p-value 0.0012 0.0010 0.0062 0.0068

-4-


A
300
A
0.38

2 A

() A
7000 4.00

6000 3.50

3.00
5000
2.50
4000
2.00
3000
1.50
2000
1.00
1000 0.50

0 0.00

T
3 1.1
435% A 137%

7.00 A
6.00
5.00
4.00
3.00
2.00
1.00
0.00

Goyal and Santa-Clara (2003) A

Goyal and Santa-Clara
1background risk

2
heterogeneity
3

-5-


A 12 0.54
2010 12 17 1.14
1.1

-6-


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-7-