The Relationship between Implied Idiosyncratic Volatility and Stock Returns

[[abstract]]目前文獻尚未定論是否公司特有風險會影響未來的股票報酬，早期的研究是以歷史的實際波動估計預期的公司特有風險，然而，Diavatopoulos,DoranandPeterson(2008)證實了來自選擇權價格的隱含公司特有風險對於未來的公司特有風險有更良好的預測能力，故本研究參照其方法探討隱含公司特有風險與股票報酬之間的關係。實證結果發現期間的改變會影響隱含公司特有風險與預期報酬之間的關係，故兩者並非存在線性關係。此外，在2008年金融危機時期，隱含公司特有風險與股票報酬存在顯著的負向關係，表示危機事件所引發的波動對於股票報酬影響甚鉅。[[abstract]]Currentliteratureisinconclusiveastowhetheridiosyncraticriskinfluencesfuturestock.Earlierstudiesarebasedonhistoricalrealizedvolatilitytoestimateexpectedidiosyncraticvolatility.However,Diavatopoulos,DoranandPeterson(2008)foundthatimpliedidiosyncraticvolatilitiesfromoptionpriceshasstrongestrelationshipwithfutureidiosyncraticvolatilities.Inthisstudy,impliedidiosyncraticvolatilitiesonfirmswithtradedoptionsareusedtoexaminetherelationshipbetweenidiosyncraticvolatilityandstockreturns.Theempiricalresultsshowthatthisrelationshipcouldbeaffectedbythechangeofthestudyperiod,sothereisnolinearrelationshipbetweenidiosyncraticvolatilityandstockreturns.Inaddition,duringtheperiodofthefinancialcrisis,astrongnegativewasfoundbetweenimpliedidiosyncraticvolatilityandfuturereturns.Thisresultdemonstratesthatthevolatilitycausedbythecrisishasasignificanteffectonstockreturns