市场微观结构、特质波动率异象与MAX效应

This project contains three components: (1) Ang et al. (2006) find that stocks with low idiosyncratic volatility (IV) outperform stocks with high IV. This inconsistent phenomenon with the conventional wisdom of high risk-high expected return is referred to as IV puzzle. To solve this puzzle, we will first deal with daily returns on zero-volume days. In the current literature, studies for the US market directly use the CRSP daily returns to estimate IV. Yet, CRSP uses the average of the closing bid and ask quotes to calculate the zero-volume-day return. This convention smoothes the price changes and it likely results in a downward bias in IV estimates. Thus, our hypothesis is that the bias in IV estimates leads to the IV puzzle. To eliminate the bias, we propose to use the actual price change on a day relative to the most recent transaction price. Second, it is well documented that stock returns do not follow the normal distribution. However, current studies estimate IV by implicitly assuming normally distributed stock returns. Hence, we will introduce the heavy tail distribution to improve the accuracy in IV estimates. (2) Bali et al. (2011) document a Max effect. They attribute this Max effect to investors' behaviour bias: investors prefer lottery-like assets, i.e., assets that have a relatively small probability of a large payoff. We propose to examine this Max effect with microstructure theory. It is likely that prior month returns of stocks with highest (lowest) max daily returns are high (low). It appears that the Max effect implies a stock price reversion over the short-term period of one month. Studies in microstructure reveal that short-term price reversion does occur due to bid-ask bounce. Accordingly, to ascertain the Max effect, we hypothesize that the Max effect is associated with the short-term price reversion caused by bid-ask bounce. (3) Both components above have an apparent link to liquidity or transaction costs: large bid-ask spread and high infrequent trading imply low liquid. In particular, bid-ask spread directly reflects the transaction costs and infrequent trading is also related to trading costs because investors can reduce trading frequency to accommodate large transactions costs. Consequently, we will also conduct a thorough comparison on four transaction costs measures and explore their pricing implications. Our proposed research will have important contributions to both the literature and practice. If the two hypotheses hold, the research will not only offer explanations to the IV puzzle and the newly documented Max effect, but it also provides support to the efficient market hypothesis. These will in turn help investors to make decisions. Moreover, the examination and comparison on different trading costs measures can help investors to choose the proper one(s) for investment decision and investment performance evaluation, and to reconcile the debates on the pricing implication of transaction costs.

股票市场诸多"异象"的涌现，动摇着以CAPM和Fama-French三因子模型为基石的资产定价理论和市场有效性理论。能否在市场微观结构框架下解释这些"异象"，抑或从投资者情绪和行为偏好视角寻找答案，一直是理性金融学派和行为金融学派论争的焦点。"特质波动率异象"和"最大日收益率异象"正是这些焦点中的热点问题，而随着C-S价差估计的提出，对交易成本资产定价能力的研究也赋予了新的内涵。本课题将基于特质波动风险估计和消除微观结构噪音对收益数据的调整，采用投资组合分析、回归分析和相关性分析方法，探究"特质波动率之谜"和"MAX异象"的微观结构解释；以C-S价差估计为主，结合AM(1986),LOT(1999),Hasbrouck(2009)等指标，系统研究和比较分析基于交易成本的流动性溢价及其资产定价含义。本研究对资产定价理论的发展与完善具有重要的学术价值，对证券市场质量的评价与提升有实践指导意义。

本项目以金融学领域的资产定价为主题，重点在传统金融理论框架下，基于市场微观结构视角，探讨股票市场异象的本质及产生机理，目的在于解释这些异象，维护市场有效假说。本课题关注的异象是特质波动率之谜和最大日收益率效应(即MAX异象)，同时也就基于交易成本的流动性溢价及其定价能力问题展开研究。随着项目实施的推进和对项目研究问题的深入和系统性理解，课题也把基于行为金融视角的研究思路和方法结合运用，考虑投资者异质信念、投资者情绪、宏观经济等对资产价格的影响，较为客观、全面和科学地探究了本课题所聚焦的股票市场异象问题。此外，公司实体经济微观层面的投融资情况，公司管理者特征及其决策行为等经济基本面因素，既是股票资产价值构成的基石和体现，又是股票资产价格运动的关键驱动力，为此，本项目也延伸关注和探究了公司投融资决策、股票预期收益与公司价值关系问题，具体就R&D投资、高管特征及决策行为、公司的极端债务保守现象也作了研究。.迄今，项目已发表期刊论文31篇，接收论文1篇，出版专著1部。其中，英文论文6篇(SCI和SSCI论文5篇，ESCI论文1篇)，在国际权威期刊Finance Research Letters, Journal of Banking and Finance, China Finance Review International, Chinese Management Studies等发表论文4篇；中文论文25篇(《管理科学学报》2篇，《系统工程理论与实践》1篇，《中国管理科学》2篇，《科研管理》接收1篇)，还有一些成果在投稿和工作论文状况；科学出版社出版专著1部。依托本课题，项目组成员成功申请国家社科基金项目1项，教育部人文社会科学基金项目4项。.项目取得了一些有较大学术意义的研究成果。例如，对于股票市场“异象”解释的时间分期视角和收益分解思路，以及在实证资产定价模型运用中关于收益率计算基础性问题的再探讨，均对该领域未来的深入研究提供了新的思路，奠定了良好的基础。项目成果不仅对于以CAPM和Fama-French三因子模型为基石的资产定价理论和市场有效性理论的发展与完善有重要的学术贡献，而且对于证券市场的质量评价、公司投融资及技术创新决策、市场效率提升等都具有一定的实践指导性。