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“特质波动率之谜”是近年来发现的股票市场异象之一,分析“特质波动率之谜”对资产定价理论和投资实践活动都具有重要意义。股票特质波动率与公司信息披露质量密切相关,公司信息披露质量越高,股票特质波动率越低。基于市场交易指标对公司信息披露的反应,提出度量信息披露质量的方法。利用组合分析、时间序列分析和横截面回归分析方法,发现信息披露质量正向预测股票收益,并且对“特质波动率之谜”具有一定程度的解释能力。在控制规模、账市比、动量、流动性、交易量、换手率、收益反转和杠杆等因素后,结果依然稳健。
The Tragedy of Traits of Traits is one of the stock market anomalies discovered in recent years. It is of great significance for both asset pricing theory and investment practice to analyze the mystery of trait fluctuation. The volatility of stock traits is closely related to the quality of company information disclosure. The higher the quality of information disclosure of a company, the lower the volatility of stock traits. Based on the reaction of market transaction indicators to the company’s information disclosure, a method of measuring the quality of information disclosure is proposed. Using the methods of combinatorial analysis, time series analysis and cross-section regression analysis, it is found that the quality of information disclosure positively predicts the return of stocks and has a certain degree of explanatory power for the “mystery of trait of volatility”. After controlling for size, book-and-book ratio, momentum, liquidity, trading volume, turnover ratio, earnings reversal and leverage, the result remained solid.