统计研究 ›› 2020, Vol. 37 ›› Issue (12): 75-90.doi: 10.19343/j.cnki.11-1302/c.2020.12.006

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上证50ETF隐含高阶矩风险对股票收益的预测研究

王琳玉 倪中新 郭婧   

  • 出版日期:2020-12-25 发布日期:2020-12-25

Research on the Predictability of Stock Returns with Implied Higher-moment Risks of SSE 50ETF

Wang Linyu Ni Zhongxin Guo Jing   

  • Online:2020-12-25 Published:2020-12-25

摘要: 高阶矩是刻画资产收益涨跌非对称和“尖峰厚尾”现象中不可忽略的系统性风险。本文基于我国上证50ETF期权数据采用无模型方法估计隐含波动率、隐含偏度和隐含峰度,通过自回归滑动平均模型提取期权隐含高阶矩新息(Innovations),将它们作为高阶矩风险的度量,探讨其对股票收益的预测作用。研究表明:①在控制换手率和股息率等变量后,隐含波动率对于上证50指数和市场未来4周的超额收益有显著负向的预测作用;②隐含偏度新息越低,上证50指数和市场的超额收益越高,这种预测能力在未来1周和未来4周均显著,但随着时间的推移,隐含偏度新息的预测能力逐渐下降;③隐含偏度风险对于我国股市横截面收益也有显著的解释能力,投资组合在隐含偏度风险因子上的风险暴露越大即因子载荷值越大,则未来的收益会越低;④隐含峰度新息总体上与股票收益负相关。

关键词: 期权隐含高阶矩, 股票收益, 预测, 定价因子

Abstract: Higher order moments are the non-ignorable systemic risk to depict the asymmetry between the rise and fall of assets’ returns and “leptokurtosis and fat-tail” characteristics. Based on China’s Shanghai 50ETF option data, this paper estimates implied volatility, implied skewness and implied kurtosis with modelfree method and then extracts innovations of higher order moments with ARMA. Using the higher-moment innovations to measure the higher-moment risks and further explore the predictive ability of these risk variables. The research results indicate that: 1) Implied volatility has significant predictive ability for four-week ahead excess returns of SSE 50 index and market after controlling turnover and dividend yield; 2) The smaller the value of innovation in implied skewness, the higher the excess returns of SSE 50 index and market. Its predictive ability is significant in the following 1 week and 4 weeks, but the predictive ability of implied skewness innovation will become less significant as time passes. 3) The implied skewness risk also has a significant ability to explain the cross-section returns, and the stocks with higher exposure to innovation in skewness exhibit lower risk compensation. 4) Generally, implied kurtosis risk is negatively correlated with stock returns.

Key words: Option-implied Higher Moment, Stock Returns, Predictability, Pricing Factor