博士论文代写:特质风险股

博士论文代写:特质风险股

2009年,有人认为这些收益是基于即将到来的收益的信息,徐,d,姚,T。,2009)。最初的文件表明,特殊风险与意外的后续收益之间存在反向关系(同上)。此外,有人建议,这种风险也不同于先前所述的规模、动量和账面市值比等因素,除非涉及不那么老练的投资者(同上)。Jiang, Xu and Yao(2009)将AIMR公司得分纳入回归中来衡量企业的质量,这使得特质风险的预测能力变得无关紧要。此外,它们与Saryal(2009)的建立相矛盾,Saryal(2009)认为负预测能力存在于由特质风险因素中较高的负性组成的子样本中。进一步从行为角度研究了特质风险异常,证明了特质风险对后续收益的负面影响是由散户交易者(Han, B., Kumar, A.)带来的。,2008)。
他们发现,高特质风险股的零售交易比例相对较高,追求行为的波动性增加了当前价格,从而导致回报价值降低。这些结果得到了Tan和Henker(2008)的支持,他们建立了这种负相关关系,特别是在对零售交易员的回报和波动性特征的短期投机中普遍存在。Huang(2009)进一步证明Ang、Hodrick和Zhang在2006年的研究结果是由于高估了具有较高特质风险的股票的价值。他们确定,这类股票的低回报率在分析师覆盖率较低的公司中普遍存在。相反,有人认为卖空限制同样重要(Doran, J。和Peterson, D。,2007)。Linter阐述了横截面回归中与特殊波动相关的正系数。另一方面,Lehmann还发现,在考虑全样本周期的情况下,对于特殊波动,正系数也具有统计学意义。

博士论文代写:特质风险股

In 2009, it was argued that these returns were based on the information about the impending earnings (Jiang, G.J., Xu, D. and Yao, T., 2009). Initial documentation suggests an inverse relationship between the idiosyncratic risks and the unexpected subsequent earnings (ibid.). Additionally, it was suggested that this risk is also different from the factors of size, momentum and book to market described previously with exception when a less sophisticated investor might be concerned (ibid.). Jiang, Xu and Yao(2009) employed the AIMR corporate score into the regression to measure firm’s quality, which made the predictive power of the idiosyncratic risks irrelevant. Furthermore, they were in contradiction with the establishment from Saryal (2009) that the negative predictive power exists in a subsample consisting of higher negatives in the idiosyncratic risks factors. The idiosyncratic risks anomaly was further researched from the behavioral perspective, providing evidences that the negative effects of the idiosyncratic risks on the subsequent returns is brought about by the retail traders (Han, B. and Kumar, A., 2008).
They revealed that the fraction of retail trading in the high idiosyncratic risk stocks is comparatively high and the volatility pursuing behavior increased the current price thereby resulting in a lower return value. These results were supported by Tan and Henker (2008), who established that this negative relationship is prevalent particularly in short term speculation of returns and volatility features of the retail traders. Huang (2009) furthered this by evidencing that the results documented by Ang, Hodrick and Zhang in 2006 were caused by overvaluing the stocks with higher idiosyncratic risks. They established that the low returns on such stocks were prevalent in the firms with lower analyst coverage. Contrarily, it was argued that short sale constraints were equally important (Doran, J., Jiang, D. and Peterson, D., 2007).Linter stated about the positive coefficient associated with the idiosyncratic volatility that is present in case of cross-sectional regressions. On the other hand, Lehmann also found the statistical significance about the positive coefficient while considering full sample period in case of idiosyncratic volatility.