REVIEW OF FINANCE · VOL. 20, ISSUE. 3 ·MAY 2016

资产增长与异质收益波动率

作者：Zhongzhi Song

摘要：文章研究了公司资产增长和股票收益异质波动率的实证关系，公司的异质收益波动率与他们滞后的资产增长率呈现V型的关系：相比有着适度增长率的公司，有极端（过高或过低）的增长率的公司往往有更高的波动率。在时间序列上，有着更高的资产增长率的公司间会有更高的异质收益波动率。不仅如此，这种高资产增长率在时间序列上对平均的异质收益波动率有最强的预测能力，例如现金流波动率和成长期权。这些发现表明了在研究截面的收益波动性时非线性因素的重要性，并且为截面和时间序列研究提供了重要的新解释。

关键词：资产增长，投资摩擦，异质收益波动率

Asset Growth and Idiosyncratic Return Volatility

Zhongzhi Song

ABSTRACT

This article studies the empirical relationship between firms’ asset growth and idiosyncratic stock return volatility. In the cross-section, firms’ idiosyncratic return volatility is V-shaped with respect to their lagged asset growth rates: the volatility is higher for firms with extreme (either high or low) asset growth rates than for firms with moderate growth rates. In the time series, a higher dispersion across firms in asset growth rates predicts a higher average idiosyncratic return volatility. Moreover, the dispersion in asset growth rates has the strongest time series predictive power among alternative explanations of the average idiosyncratic return volatility, such as cash flow volatility and growth options. These findings indicate the importance of nonlinearity in studying the cross-sectional return volatility and provide a new explanation of the idiosyncratic return volatility that is significant in both the cross-section and the time series.

Keywords: Asset growth, Investment frictions, Idiosyncratic return volatility

摘要链接：

http://rof.oxfordjournals.org/content/20/3/1235.abstract

翻译：金明