CAJ | 학술논문

文章针对目前金融经济学的新兴研究领域——公司特质波动，从两个方面进行文献述评：特质波动测度和时间趋势。公司特质波动的测度方法主要依赖于资产定价模型的选择，因此，其误差根据方法的不同而各异；在时间趋势方面，众多学者对在美国及其他发达国家股市存在明显的特质波动上升趋势从各种角度予以解释；由于针对公司特质波动的研究刚刚展开，国内学者的研究成果较少，大部分仅对中国A股市场平均特质波动水平进行相关测度。在文献综述的基础上，文章提出进一步的研究展望，为今后研究提供借鉴和参考之用。
문장침대목전금융경제학적신흥연구영역——공사특질파동，종량개방면진행문헌술평：특질파동측도화시간추세。공사특질파동적측도방법주요의뢰우자산정개모형적선택，인차，기오차근거방법적불동이각이；재시간추세방면，음다학자대재미국급기타발체국가고시존재명현적특질파동상승추세종각충각도여이해석；유우침대공사특질파동적연구강강전개，국내학자적연구성과교소，대부분부대중국A고시장평균특질파동수평진행상관측도。재문헌종술적기출상，문장제출진일보적연구전망，위금후연구제공차감화삼고지용。
The research about idiosyncratic volatility which already be Emerging field in Financial Economics has been commented in the paper from two aspect： Measure and time trend of idiosyncratic risk. On one hand, Calculation error in the measure of idiosyncratic risk maybe larger by the way of different assets pricing model, The error in the idiosyncratic risk exist in different way. On the other hand, find that idiosyncratic risk has upward trend in US and other developed country, and lot of Scholar try to resolve the phenomenon of upward trend of idiosyncratic volatility in US and other developed country. Domestically, there are fewer research about idiosyncratic volatility so that the paper will put forward some propose as reference for further research.