论文标题
流动性成本，特质波动和预期的股票收益
Liquidity Costs, Idiosyncratic Volatility and Expected Stock Returns
论文作者
论文摘要
本文将流动性视为预期特质波动率（IV）与预期股票回报之间正相关的解释。流动性成本可能会通过出价式反弹和其他微结构引起的噪声来影响股票收益，这将影响IV的估计。我们使用一种新颖的方法（由Weaver，1991开发）来消除微观结构的影响，从基于股票的收盘收益，然后估算IV。我们表明，价值加权投资组合中的IV有溢价，但是在纠正微观结构偏差回报率后，这种溢价较低。我们进一步表明，这种溢价是由纠正微观结构噪声回报后一个月的流动性驱动的。价格同样加权投资组合产生的定价表明，IV在控制流动性成本之前或之后都不预测回报。这些发现在控制了常见的危险因素之后以及基于IV和流动性分析双重分组组合后是可靠的。
This paper considers liquidity as an explanation for the positive association between expected idiosyncratic volatility (IV) and expected stock returns. Liquidity costs may affect the stock returns, through bid-ask bounce and other microstructure-induced noise, which will affect the estimation of IV. We use a novel method (developed by Weaver, 1991) to eliminate microstructure influences from stock closing price-based returns and then estimate IV. We show that there is a premium for IV in value-weighted portfolios, but this premium is less strong after correcting returns for microstructure bias. We further show that this premium is driven by liquidity in the prior month after correcting returns for microstructure noise. The pricing results from equally-weighted portfolios indicate that IV does not predict returns either before or after controlling for liquidity costs. These findings are robust after controlling for common risk factors as well as analysing double-sorted portfolios based on IV and liquidity.
