张兵

• 1:南京大学商学院金融与保险学系

摘要(Abstract)：

我国资本市场存在着高(低)特质波动率股票的预期低(高)收益率的异象。本文基于前景理论,发现了投资者整体上从理性状态转移到非理性状态、非理性投资者比例的升高是造成特质波动率异象的原因。套利限制程度的加大和不对称,会使得部分理性投资者退出市场和非理性投资者比例上升,特质波动率异象越发明显。高风险低回报这一特质波动率异象是投资者非理性、套利限制等因素共同造成的。研究发现风险和收益的关系是变化的,特质波动率异象的出现是有条件的,这是本文理论上的边际贡献,同时本文也对中国股市交易类异象的解释提供了一个分析框架。

关键词(KeyWords)： 特质波动率;前景理论;套利;异象

Abstract:

Keywords:

基金项目(Foundation):

作者(Author): 张兵

DOI: 10.16513/j.cnki.cje.20210309.002

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