中国股市异质风险的测度与定价研究

Modern portfolio theory suggests that idiosyncratic risk is not priced in equilibrium. However，in reality，due to lack of diversification，most investors demand a return compensation for bearing idiosyncratic risk. As a result, there exists a positive relation between idiosyncratic risk and returns, namely, idiosyncratic risk premium. We focus on the idiosyncratic risk premium of Chinese Stock Market. Combined with the herding behavior of institutional investors and "The State-owned Shares", we test whether the idiosyncratic risk premium in China is true. Considering the stock prices follow a jump-diffusion process，we describe the stock price volatility based on the GARCH-JUMP model， apply VaR method to calculate idiosyncratic volatility and construct the idiosyncratic risk factor. Further，we put forward idiosyncratic risk adjusted asset pricing model. Taking full account of the multicollinearity between market risk premium factor, size factor, book-to-value factor and idiosyncratic risk factor, we do some further improvements on the model. The new idiosyncratic risk adjusted asset pricing model is suppose to solve the financial market anomalies, and to provide references for financial supervision and risk management.

传统资产定价理论认为在均衡状态下，个股的异质风险不应该是被定价的风险因素。但实际上，由于大部分投资者无法持有完全分散化的投资组合，从而对承担的异质风险要求风险补偿，导致异质波动与股票收益正相关，即存在异质风险溢价现象。本课题对中国股票市场异质风险溢价现象进行分析，结合机构投资者的羊群行为以及具有中国特色的“国有股”，检验我国股市异质风险溢价现象的真伪。考虑到股票价格的波动具有非对称性及跳跃性等特征，本课题基于GARCH-JUMP模型来刻画我国股票价格波动，使用VaR方法来测算个股的异质风险，并基于此构建异质风险溢价因子，进而实现对三因子模型的改进，提出异质风险调整下的资产定价模型。同时，充分考虑市场风险溢价因子、规模补偿因子、价值补偿因子以及异质风险因子之间的多重共线性问题，对异质风险定价模型进行改进和完善，为解决金融市场的异象、金融监管和风险管理提供借鉴。

本项目旨在建立异质风险调整下的资产定价体系。本项目：（1）提出了更好拟合股票价格波动行为的模型测度异质波动。（2）基于行为金融学视角检验了中国股市异质风险溢价现象的真伪，证实了在中国股票市场中，异质风险的重要性与否取决于异质波动率的测算方法；散户投资者的博彩行为无法解释异质风险与股票预期收益的正相关关系。（3）在确定异质风险溢价现象存在的基础上，将公司异质波动作为市场上资产或组合的风险溢价决定因素，构建出异质风险调整下的资产定价模型，完善了现有的资产定价理论体系，并提供了解决金融市场上的异象的手段和方法。以上本项目所涉及的资产定价及行为金融问题，均属当前研究前沿热点。预期成果可以为监管部门、研究机构、银行及个人投资者提供参考，促进传统金融学与行为金融学的交叉融合。