本文基于中国股票市场的数据，通过Fama-French三因素模型估计股票的特异性波动率，并采用GARCH、EGARCH、ARIMA等模型估计特异性波动率的预期值，利用Fama-MacBeth两步回归法和投资组合分析法对我国股票市场特异性波动率与横截面收益率的关系进行实证研究，探讨“特异性波动率之谜”是否存在。我们发现，在我国股票特异性波动率与横截面收益率也存在显著的负相关关系，但在控制了表征异质信念的换手率后，这种负相关关系消失了。进一步的研究表明，这种现象的产生主要是因为我国市场上存在着严格的卖空限制，在卖空限制和投资者异质性的共同作用下，资产价格会被高估从而降低未来的收益率，造成了我国市场上的特异性波动率之谜。

随着紧缩性宏观经济调控措施的不断出台，我国商业银行的货 币信贷投放行为受到抑制。在此背景下，商业银行转而加强与信托公司合作，规 避信贷规模管理。本文在分析近期信贷规模规避典型模式的基础上，探讨其对货 币政策调控的具体影响和未来挑战。最后提出政策建议认为，应强化对货币信贷 的统计分析，丰富货币政策工具，密切关注金融创新对货币政策的影响，充分考 虑微观主体对各种宏观调控政策的博弈，从而有的放矢地制定出科学的宏观调控 政策。

In this paper, we derive the corresponding implied VIX formulas under the locally riskneutral valuation relationship proposed by Duan (1995) when various forms of GARCH model are proposed for S&P 500 index. The empirical study shows that the GARCH implied VIX is consistently and significantly lower than the CBOE VIX for all kinds of GARCH model investigated. Moreover, the magnitude of the difference suggests that the GARCH option pricing model is not capable of capturing the variance premium, which indicates the incompleteness of the GARCH option pricing under the locally risk-neutral valuation relationship. The source of this kind of incompleteness is then theoretically analyzed. It is shown that the framework of GARCH option pricing model fails to incorporate the price of volatility risk or variance premium.

This paper mainly finds that there is return predictability across equity-link firms in China’s stock market. By grouping the shareholder firms according to the shocks translated from their equity-link firms, we construct long-short momentum strategy to capture abnormal return of 2.01% per month, which we call “equity-link momentum”. After an array of adjustments based on risky factors and firm characteristics, the excess returns are still significant. However, the significance of equity-link momentum returns are sensitive to various attention proxies, such as firm size, past performance, turn over and mutual funds’ joint holding measurement, which is consistent with the hypothesis of limited attention.

After the first index fund launched in 1999, the index fund market has been growing steadily in China. In this paper, we seek to measure and understand the tracking error of China based index funds. The results show that sample index funds exhibit an acceptable level of tracking error in general. Furthermore, by means of decomposition of tracking error variance we find that risk structure of sample funds keeps consistency with financial theory about indexing. While there is an exception such as Hua An MSCI China A share e.g., whole performance of the better run index funds suggests that indexing is practicable under China conditions.

We study the connection between the stock market and the labor market. When aggregate risk premiums are time-varying, predictive variables for market excess returns should forecast longhorizon growth in the marginal bene?t of hiring and thereby long-horizon aggregate employment growth. Consistent with this logic, we document that high values of the risk premiums forecast low payroll growth and increases in unemployment rate in the short run, but high payroll growth and decreases in unemployment rate in the long run. High values of lagged payroll growth and decreases in lagged unemployment rate also forecast low stock market excess returns.

This paper examines the impact of idiosyncratic risk on the cross-section of weekly stock returns from 1963 to 2006. I use an exponential GARCH model to forecast expected idiosyncratic volatility and employ a combination of the size e§ect, value premium, return momentum and short-term reversal to measure relative mispricing. I ?nd that stock returns monotonically increase in idiosyncratic risk for relatively undervalued stocks and monotonically decrease in idiosyncratic risk for relatively overvalued stocks. This phenomenon is robust to various subsamples and industries, and cannot be explained by risk factors or ?rm characteristics. Further, transaction costs, short-sale constraints and information uncertainty cannot account for the role of idiosyncratic risk. Overall, these ?ndings are consistent with the limits of arbitrage arguments and demonstrate the importance of idiosyncratic risk as an arbitrage cost.

The evidence on the relation between idiosyncratic risk and future market return is at odds with the theory in Merton (1987). We argue that this is because conventional idiosyncratic risk measures are too noisy that consequently camou?age the true pricing relation suggested by the theory in empirical tests. To reduce the noise, we employ a random portfolio approach to construct an alternative aggregate idiosyncratic risk measure. Due to a high correlation between the noise components of the conventional idiosyncratic risk measure and our portfolio idiosyncratic risk measure, we include both measures simultaneously in a predictive regression, in which the conventional idiosyncratic risk measure helps to further reduce the noise in our portfolio idiosyncratic risk measure. We ?nd that both variables are signi?cant and jointly predict returns on the market with an adjusted R2 of 2%. Our results are very robust to all conventional control variables, sample periods, the size deciles.

The evidence on the relation between idiosyncratic risk and future market return is at odds with the theory in Merton (1987). We argue that this is because conventional idiosyncratic risk measures are too noisy that consequently camou?age the true pricing relation suggested by the theory in empirical tests. To reduce the noise, we employ a random portfolio approach to construct an alternative aggregate idiosyncratic risk measure. Due to a high correlation between the noise components of the conventional idiosyncratic risk measure and our portfolio idiosyncratic risk measure, we include both measures simultaneously in a predictive regression, in which the conventional idiosyncratic risk measure helps to further reduce the noise in our portfolio idiosyncratic risk measure. We ?nd that both variables are signi?cant and jointly predict returns on the market with an adjusted R2 of 2%. Our results are very robust to all conventional control variables, sample periods, the size deciles

Volatility long memory is a stylized fact that has been documented for a long time. Existing literature have two ways to model volatility long memory: component volatility models and fractionally integrated volatility models. This paper develops a new fractionally integrated GARCH model, and investigates its performance by using the Standard and Poor’s 500 index returns and cross-sectional European option data. The fractionally integrated GARCH model signi?cantly outperforms the simple GARCH(1, 1) model by generating 37% less option pricing errors. With stronger volatility persistence, it also dominates a component volatility model, who has enjoyed a reputation for its outstanding option pricing performance, by generating 15% less option pricing errors. We also con?rm the fractionally integrated GARCH model’s robustness with the latest option prices. This paper indicates that capturing volatility persistence represents a very promising direction for future study.