Dissertation > Excellent graduate degree dissertation topics show

Study on the Idiosyncratic Volatility and Expected Return:Evidence from China’s Stock Markets

Author: ShiMingMing
Tutor: LiuDeHong
School: Beijing Jiaotong University
Course: Finance
Keywords: Idiosyncratic volatility Expected return Heterogeneous beliefs Short selling mechanism Margin
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 187
Quote: 1
Read: Download Dissertation

Abstract


Academia debate about the relationship between idiosyncratic risk and income. Classic Capital Asset Pricing Model, the investor can build a diversified portfolio to offset the risk of company characteristics, qualities that portfolio risk and expected return is irrelevant. In the reality of the investment process, investors are subject to transaction costs, asymmetric information, economic status, occupation, education level of the limitations of a variety of reasons, it is impossible to hold a fully diversified portfolio, investors assumed the company characteristics the risk corresponding excess return to compensate for that idiosyncratic risk and expected return are positively correlated. However, recent empirical studies have shown a negative correlation between idiosyncratic volatility and expected return on behalf of the company idiosyncratic risk relationship, this phenomenon is called \Far no theory can perfect interpretation between idiosyncratic volatility and expected return on stocks was negative phenomenon. The standard deviation of the residuals of the paper uses the Fama-French three-factor model to measure the characteristics of the stock volatility, portfolio analysis of two-dimensional packet analysis and Fama-Macbeth two-step regression to test our in before and after the introduction of margin trading The stock market exists trait volatility mystery. In this paper, the empirical research found that: 1) before and after the introduction of margin trading, China's stock market, there are idiosyncratic volatility and expected income was negatively related to the phenomenon, and this phenomenon is not by the size of the company, the carrying amount of the market value of the ratio of liquidity to assist skewness, transaction costs, the momentum effect to explain; 2) turnover may partly explain this phenomenon, turnover metrics heterogeneous beliefs, so this article from the point of view of the heterogeneous beliefs characteristics volatility mystery \In addition, after the introduction of margin trading, that our country in the case of not strictly short selling restrictions, the stock market still exists trait volatility mystery phenomenon given threshold for margin trading, investors high, the size and scope of the underlying securities margin is small, the economic environment facing China's stock market is not conducive to trading and other aspects to give an explanation, not really that far short selling of bad release its power, so in financing China persists after the release of the short selling trait volatility mystery.

Related Dissertations

  1. Margin of China's securities market stock trading,F832.51
  2. Southwestern margin of the Ordos Basin, Late Ordovician outcrop sequence stratigraphy,P618.13
  3. Research on Exhibition Trade Center Land Collection Compensation of Guangzhou,F301
  4. Research on Legal System of Margin Guarantee in China,D922.28
  5. Emotion on idiosyncratic risk and expected returns Relations,F224
  6. The the PID parameter three-dimensional stable domain with typical nonlinear components,TP273
  7. Empirical Research on the Puzzle of Idiosyncratic Volatility: China Evidence,F224
  8. Continuous Research of the Donghua Basic Block,TS941.17
  9. On the Translation of Vulgarisms in Shui Hu Zhuan from A Cross-Cultural Perspective,I046
  10. Margin trading behavior legal predicament and resolve the Path of,F832.51
  11. Research on Face Recognition Based on Improved Maximum Margin Criterion,TP391.41
  12. Continuous-time Mean-variance Portfolio Selection with Margin Requirements,F830.91
  13. The Research of the Shorting Mechanism Influence on the IPO Under-pricing,F224
  14. The Empirical Study on the Determinants of Net Interest Margin in the Chinese Banking System,F832.2
  15. Ratio Models for the Lowest Solvency Margin of China Non-life Insurance Companies,F224
  16. Southern Power Grid voltage static , transient , and the whole process of analysis,TM712
  17. The Translation Strategies of Cultural Factors: Comparative Study of Two English Versions of Shuihuzhuan,I046
  18. An Analysis of Negative Words in Outlaws of the Marsh,I207.412
  19. Design and Application of Some Novel Lag-Lead Compensators,TP13
  20. Research on Digital Watermarking for Vector Geo-spatial Data Based on DFT,TP309.7
  21. Research on the Margin Trading & Short-selling Transaction of the Securities Companies in China,F832.51

CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
© 2012 www.DissertationTopic.Net  Mobile