研究

“鸣石的成立是建立在严谨的理论基础以及领先的A股市场研究之上的。我们相信,将最适合的金融学原理与最前沿的人工智能相结合,是在未来中国资本市场取得成功的关键。而坚守这一理念,也正是鸣石能够在量化领域与众不同,并打开成功之门的钥匙。”——袁宇,创始人与策略负责人

鸣石坚持学院派的投研风格,投研团队有50余名投研人员,涵盖数学、统计学、物理学、金融学、计算机等专业背景。

套利不对称性与异质波动率之谜
01 October 2015
Robert F. Stambaugh, 余剑锋, 和袁宇

对于许多股票投资者来说,买入比做空更容易。将这种套利不对称性与以异质波动率(IVOL)为代表的套利风险相结合,解释了IVOL与平均收益之间的负相关关系。IVOL-收益关系在定价过高的股票中为负,而在定价过低的股票中为正,其错误定价是由11个收益率异象组合决定的。与套利不对称性一致的是,定价过高的股票之间的负相关性更强,特别是对于不太容易做空的股票,因此整体的IVOL-收益关系是负的。进一步支持我们的解释的是,较高的投资者情绪弱化了低估股票之间的正相关关系,并特别强化了高估股票之间的负相关关系。

Buying is easier than shorting for many equity investors. Combining this arbitrage asymmetry with the arbitrage risk represented by idiosyncratic volatility (IVOL) explains the negative relation between IVOL and average return. The IVOL-return relation is negative among overpriced stocks but positive among underpriced stocks, with mispricing determined by combining 11 return anomalies. Consistent with arbitrage asymmetry, the negative relation among overpriced stocks is stronger, especially for stocks less easily shorted, so the overall IVOL-return relation is negative. Further supporting our explanation, high investor sentiment weakens the positive relation among underpriced stocks and, especially, strengthens the negative relation among overpriced stocks.