熊熊^*， 李冉

（  天津大学管理与经济学部，天津 300072；  ）

摘要： 本文采用上证A股市场2001年1月2日至2015年12月31日期间所有上市交易的股票的日数据，综合使用CAPM模型以及Fama-French三因子模型采用滚动窗口的方式对特质波动率进行提取，并通过比较排序的方式研究特质波动率与股票收益之间的关系。通过实证研究发现：中国A股市场中的股票特质波动率与其在接下来5个交易日的收益率之间呈现负相关的关系，且CAPM模型以及Fama-French三因子模型都证实了这种负向关系。
关键词： 特质波动率；股票预期收益；CAPM模型；Fama-French三因子模型

Xiong Xiong^*， Li Ran

（  College of Management and Economics,Tianjin University,Tianjin 300072；  ）

Abstract： We chose the Shanghai A-share market data from January 2, 2001 to December 31, 2015, using the CAPM model and Fama-French three factor model to extract the idiosyncratic volatility, and take the rolling window to calculate residual of two regression models, then take the variance of the residuals as idiosyncratic volatility, finally compare idiosyncratic volatility and the expected return to verify the relationship. The empirical research found that: the stock idiosyncratic volatility in the Chinese A-share market has negative correlation with the expected rate of return in the next 5 trading days, and different extractions of idiosyncratic volatility is not the cause of idiosyncratic volatility puzzle. The results of this study complement the existing literature and verify the idiosyncratic volatility puzzle based on the particularity of the Chinese stock market.
Keywords： Idiosyncratic volatility; Expected return; CAPM model; Fama-French three factor model

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