题 目：There is a Positive Risk Premium for Idiosyncratic Volatility After All（异质波动率存在正风险溢价）

报告人：韩豫峰 北卡罗来纳大学夏洛特分校 教授

时 间：2023年7月4日15:30～17:30

地 点：经管院A204

主办单位：武汉大学经济与管理学院金融系

报告摘要：

By using LASSO to select among the 53 determinants of idiosyncratic volatility documented in the literature, we identify a component that is positively linked to future stock returns, in addition to the negative component that obscures the positive component. This positive component explains the asymmetric pricing results of idiosyncratic volatility in Stambaugh, Yu, and Yuan (2015), and its predictive power is not affected by mispricing, even for stocks with low institutional ownership or during periods of high sentiment. Finally, we show that this positive component commands a positive risk premium and that its pricing effect is affected by firm’s visibility, consistent with Merton (1987).

通过用LASSO对异质波动率已有的53个决定因素进行筛选，本文识别了一个与股票预期回报呈正相关关系的成分，以及掩盖正成分的负成分。这一正成分解释了Stambaugh、Yu和Yuan（2015）中异质波动率的定价不对称性，并且这一预测能力不受错误定价的影响，即使对于机构投资者持股比例较低或情绪高涨时期的股票亦是如此。最后，我们证明了这一正成分具有正的风险溢价，其定价效果受到公司知名度的影响，这与Merton（1987）一致。

报告人简介：

韩豫峰，北卡罗来纳大学夏洛特分校(University of North Carolina at Charlotte)金融系教授，美国华盛顿大学(Washington University in St. Louis)金融学博士。韩教授加入北卡罗来纳大学夏洛特分校前分别在美国杜兰大学和科罗拉多大学丹佛分校任职。研究领域包括实证资产定价、投资、公募基金和计量学。研究论文发表于Review of Financial Studies, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Real Estate Economics等金融经济学期刊。