CAJ | 학술논문

＂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。
＂특질파동솔지미＂시근년래발현적고표시장이상지일,분석＂특질파동솔지미＂대자산정개이론화투자실천활동도구유중요의의。고표특질파동솔여공사신식피로질량밀절상관,공사신식피로질량월고,고표특질파동솔월저。기우시장교역지표대공사신식피로적반응,제출도량신식피로질량적방법。이용조합분석、시간서렬분석화횡절면회귀분석방법,발현신식피로질량정향예측고표수익,병차대＂특질파동솔지미＂구유일정정도적해석능력。재공제규모、장시비、동량、류동성、교역량、환수솔、수익반전화강간등인소후,결과의연은건。
＂ Idiosyncratic volatility puzzle＂ is one of stock market anomalies discovered in recent years. The analysis of ＂idiosyncratic volatility puzzle＂ is of great significance to asset pricing theory and investment activities. This paper documents that the idiosyncratic volatility is closely related to the quality of corporate information disclosure. The higher the quality of information disclosure, the lower the idiosyncratic volatility. Based on the reaction of market trading indicators to corporate information disclosure, we propose a way to measuring the quality of information disclosure. Using portfolio analysis, time -series regression analysis and firm -level cross -sectional regression analysis, we find that quality of information disclosure can positively predict stock return, and has explanatory power for ＂idiosyncratic volatility puzzle＂ to some extent. After exerting control over other variables such as size, book to market, momentum, liquidity, volume, turnover, short - term reversal and leverage, these results are still statistically significant.