摘要
本文基于2007—2023年沪深两市A股股票数据样本,采用投资组合分析和Fama-MacBeth横截面回归,研究管理者过度自信对股票特质波动率与期望收益相关关系的影响,结果表明,管理者存在过度自信的股票中,特质波动率与期望收益的负相关性显著增强,即管理者过度自信会加剧特质波动率之谜。考虑彩票型股票效应、采用不同管理者过度自信度量方式的检验均表明本文结果稳健成立。本文研究从管理者过度自信视角出发,为理解股票特质波动率与期望收益的相关关系提供了新的实证证据,加深了对特质波动率之谜形成机理的认识。
This paper investigates the impact of managerial overconfidence on the correlation between stock idiosyncratic volatility and expected returns based on a data sample of A-share stocks in Shanghai and Shen-zhen from 2007 to 2023 using portfolio analysis and Fama-MacBeth cross-sectional regression.The results show that the negative correlation between idiosyncratic volatility and expected returns is significantly stronger in stocks with managerial overconfidence,i.e.,managerial overconfidence exacerbates the idiosyn-cratic volatility puzzle.Testing that takes into account the lottery stock effect and uses different mea-sures of managerial overconfidence show that the results hold robustly.This study provides new empirical evidence for understanding the correlation between stock idiosyncratic volatility and expected returns from the perspective of managerial overconfidence,deepening the understanding of the mechanism of idiosyncratic volatility puzzle formation.
作者
胡婷
张云怡
HU Ting;ZHANG Yunyi(School of Finance,Hubei University of Economics,430205,Wuhan,Hubei,China)
出处
《特区经济》
2025年第6期139-142,共4页
Special Zone Economy
关键词
管理者过度自信
特质波动率
股票收益
Managerial Overconfidence
Idiosyncratic Volatility
Stock Returns
