獨特性波動率疑題與投資人情緒

Abstract

本篇論文結合套利成本與套利不對稱的觀念，並額外加入隔夜報酬衡量投資人對個別公司之情緒，來解釋財務金融領域中未解的獨特性波動率疑題。獨特性風險是套利交易者的成本，因此獨特性風險越高，套利成本也越高，導致在股價高估的股票之中會形成獨特性波動率的負向效果，在股價低估的股票之中會形成獨特性波動率的正向效果。再來，對於投資人來說，比起遇見股價高估的情況而去進行放空，更願意以買入股價低估的股票來進行套利，故股價高估的股票其訂價錯誤的情況會比起股價低估的股票來得嚴重，因此獨特性波動率負向效果會高過獨特性波動率的正向效果，因而整體獨特性波動率與股價報酬率的負向關係。更進一步加入隔夜報酬作為投資人情緒的衡量指標，強化前述說明，股票市場有緩漲急跌的特性，又投資人悲觀的情緒會加強在股價高估股票之中獨特性波動率的負向效果，而削弱在股價低估股票之中獨特性波動率的正向效果，導致整體的獨特性波動率在股票報酬率的負向效果更為強烈。

Combining this arbitrage asymmetry with the arbitrage cost represented by idiosyncratic volatility explains the negative relation between IVOL and average return. The IVOL-return relation is negative among overpriced stocks but positive among underpriced stocks, with mispricing determined by combining 7 return anomalies. Consistent with arbitrage asymmetry, the negative relation among overpriced stocks is stronger, especially for stocks less easily shorted, so the overall IVOL-return relation is negative. Furthermore, low investor sentiment weakens the positive relation among underpriced stocks and, especially, strengthens the negative relation among overpriced stocks, with sentiment measured by overnight return.