我国A股市场的模糊性溢价——基于日内高频数据的分析

doi:10.16381/j.cnki.issn1003-207x.2020.0317

Abstract

Abstract: Embedding the ambiguity uncertainty into the Choquet expected utility model, and using uncertainty model framework proposed by Izhakian(2020), the uncertainty expectational utility model with ambiguity uncertainty is established using the ambiguity averse function and perceived probability, and the measure of ambiguity of risky market is obtained and the uncertainty premium is decomposed into risk premium and ambiguity premium. The evidence from the high frequency data in Chinese stock market are done. This is the first work to check the ambiguity premium in the A-share market of China.

Key words: ambiguity measurement; ambiguity premium; risk premium; ambiguity preference

CLC Number:

F830.9

HU Zhi-jun,LING Ai-fan,YANG Chao. The Ambiguity Premium in China’s A-shares Market——The Analysis from Intra-day High Frequency Data[J]. Chinese Journal of Management Science, 2022, 30(1): 42-53.

References

［1］ Merton R C. An intertemporal capital asset pricing model［J］.Econometrica, 1973, 41(5): 867-887.
［2］ Campbell J Y, Hentschel L. No news is good news: An asymmetric model of changing volatility in stock returns［J］. Journal of Financial Economics, 1992, 31(3): 281-318.
［3］ Nelson D B. Conditional heteroskedasticity in asset returns: A new approach ［J］. Econometrica, 1991,59(2): 347-70.
［4］ Goyal A, Santa-Clara P. Idiosyncratic risk matters!［J］. Journal of Finance, 2003,58(3):975-1007.
［5］ Ghysels E, Santa-Clara P, Valkanov R. There is a risk-return trade-off after all ［J］. Journal of Financial Economics, 2005,76(3):509-548.
［6］ Welch I, Goyal A. A comprehensive look at the empirical performance of equity premium prediction［J］. Review of Financial Studies, 2008,21(4):1455-1508.
［7］ Izhakian Y. A theoretical foundation of ambiguity measurement［J］.Journal of Economic Theory, 2020,187, 105001.
［8］ Kahneman D, Tversky A. Prospect theory: An analysis of decision under risk［J］.Econometrica, 1979,47(2):263-291.
［9］ Schmeidler D. Subjective probability and expected utility without additivity［J］. Econometrica,1989,57(3):571-587.
［10］ Ellsberg D. Risk, ambiguity, and the savage axioms［J］. Quarterly Journal of Economics, 1961,75(4): 643-669.
［11］ Gilboa I, Schmeidler D. Maxmin expected utility with non-unique prior［J］. Journal of Mathematical Economics, 1989,18(2):141-153.
［12］ Hansen L P, Sargent T J. Robustness［M］. Princeton university press, Princeton, NJ, 2008.
［13］ Klibanoff P, Marinacci M, Mukerji S. A smooth model of decision making under ambiguity［J］.Econometrica,2005,73(6): 1849-1892.
［14］ Epstein L G, Wang Tan. Intertemporal asset pricing under knightian uncertainty［J］. Econometrica, 1994,62(3):283-322.
［15］ Chen Zengjing, Epstein L G. Ambiguity, risk, and asset returns in continuous time［J］. Econometrica, 2002,70(4):1403-1443.
［16］ Ju Nengjiu, Miao Jianjun. Ambiguity, learning, and asset returns［J］. Econometrica, 2012,80(2):559-591.
［17］ Brenner M, Izhakian Y. Asset pricing and ambiguity: empirical evidence［J］. Journal of Financial Economics, 2018,130(3): 503-531.
［18］ Anderson E W， Ghysels E, JuergensJ L. The impact of risk and uncertainty on expected returns［J］. Journal of Financial Economics, 2009,94(2):233-263.
［19］ Lee D H， Min B K， Kim T S. Dispersion of beliefs, ambiguity, and the cross-section of stock returns［J］.Journal of Empirical Finance, 2019, 50:43-56.
［20］ Williams C D. Asymmetric responses to earnings news: a case for ambiguity［J］. Accounting Review, 2015, 90(2):785-817.
［21］ Cao H H, Wang Tan, Zhang H H. Model uncertainty, limited market participation, and asset prices［J］. Review of Financial Studies. 2005,18(4):1219-1251.
［22］ Epstein L G, Ji Shaolin. Ambiguous volatility and asset pricing in continuous time［J］. Review of Financial Studies, 2013, 26(7):1740-1786.
［23］郑振龙,汤文玉. 波动率风险及风险价格——来自中国A股市场的证据［J］.金融研究,2011,4:143-157.Zheng Zhenlong,Tang Wenyu. Volatility risk and the risky price——evidence from China’s A-share market［J］.Journal of Financial Research,2011,4:143-157.
［24］王茵田,朱英姿. 中国股票市场风险溢价研究［J］.金融研究, 2011,7:152-166.Wang Yintian,Zhu Yingzi. Research on the risk premium of China's stock market［J］. Journal of Financial Research,2011,7:152-166.
［25］严武,熊航,凌爱凡. 公募基金年末业绩追逐与风险调整行为研究［J］.财贸经济,2016,9: 81-96.YanWu, Xiong Hang, Ling Aifan. Year-end performance pursuit and risk adjustment of mutual funds［J］. Finance & Trade Economics,2016,9: 81-96.
［26］陈国进,晁江锋,武晓利.罕见灾难风险和中国宏观经济波动［J］.经济研究,2014,49(8):54-66.Chen Guojin, Chao Jiangfeng, Wu Xiaoli. Raredisaster risk and the macroeconomic fluctuation in China［J］.Economic Research Journal,2014,49(8):54-66.
［27］严伟祥,张维,牛华伟. 金融风险动态相关与风险溢出异质性研究［J］. 财贸经济,2017,38(10): 67-81.Yan Weixiang,Zhang Wei,Niu Huawei. A study on the dynamic correlation of financial risk and heterogeneity of risk spillover［J］. Finance & Trade Economics,2017,38(10): 67-81.
［28］黄卓,邱晗, 沈艳,等. 测量中国的金融不确定性——基于大数据的方法［J］.金融研究,2018,11:30-46.Huang Zhuo, Qiu Han, Shen Yan, et al. Measuring China’s financial uncertainty: A method based on a large dataset［J］. Journal of Financial Research,2018,11:30-46.
［29］陈国进,丁杰,赵向琴. “好”的不确定性、“坏”的不确定性与股票市场定价［J］. 金融研究, 2019,7:174-190.Chen Guojin, Ding Jie, Zhao Xiangqin. “Good” uncertainty, “bad” uncertainty, and stock market pricing: high-frequency data in the Chinese stock market［J］. Journal of Financial Research, 2019,7:174-190.
［30］高金窑. 奈特不确定性与非流动资产定价:理论与实证［J］. 经济研究, 2013,48(10):82-97.Gao Jinyao. Illiquid asset pricing under knightian uncertainty: theory and evidence［J］. Economic Research Journal,2013,48(10):82-97.
［31］徐元栋. 投资者的奈特不确定性情绪与股市巨幅波动［J］.系统工程学报, 2015,30(6):736-745.Xu Yuandong. Knightian uncertainty emotion of investors and the huge fluctuations of stock market［J］.Journal of Systems Engineering,2015,30(6):736-745.
［32］郭荣怡,张顺明,纪晨.暧昧环境下的不对称信息更新与资产定价研究［J］.系统工程理论与实践,2018,38(7):1633-1655.Guo Rongyi,Zhang Shunming,Ji Chen. Studies on asymmetric information updating and asset pricing in ambiguous economy［J］. Systems Engineering——Theory & Practice,2018, 38(7):1633-1655.
［33］何俊勇,张顺明. 在相关系数暧昧环境下的市场微观结构研究［J］.中国管理科学,2018,26(4):139-154.He Junyong,Zhang Shunming. Market microstructure under ambiguity of correlation［J］. Chinese Journal of Management Science,2018,26(4):139-154.
［34］ Scholes M, Williams J. Estimating betas from nonsynchronous data［J］. Journal of Financial Economics, 1977,5(3): 309-327.
［35］ Newey W K, West K D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix［J］. Econometrica, 1987, 55(3):703-708.

[1]	Yinhong Yao, Xiaoxu Wang, Wei Chen, Zhensong Chen. Extreme Risk Spillover among Global Stock Markets Based on Transformer-LSTM Quantile Regression [J]. Chinese Journal of Management Science, 2025, 33(8): 1-13.
[2]	Weiping Wu, Yu Lin, Chengneng Jin, Zhenpeng Tang. Constrained Optimal Risk Sensitive Execution Problem with Stochastic Market Depth [J]. Chinese Journal of Management Science, 2025, 33(8): 14-25.
[3]	Jun Tian, Zanqiang Dong, Yali Li. Research on Financing Strategy of Advance Payment Supply Chain [J]. Chinese Journal of Management Science, 2025, 33(7): 272-283.
[4]	Ke Yang, Xin Liu, Fengping Tian. Cross-Market Contagion of Stock Market's Extreme Risks between China and Other Major Emerging Market Countries [J]. Chinese Journal of Management Science, 2025, 33(7): 44-53.
[5]	Zisheng Ouyang, Xuewei Zhou. Systemic Risk Backtesting and Connectedness of Chinese Financial Institutions: Evidence from MES and ΔCoVaR [J]. Chinese Journal of Management Science, 2025, 33(6): 14-26.
[6]	Genxiang Shen, Zefeng Zhou. Quasi Score-driven Conditional Heteroskedastic Autoregressive Range Model and It's Empirical Study [J]. Chinese Journal of Management Science, 2025, 33(5): 34-44.
[7]	Haoyuan Feng, Jie Wu, Anqi Yu, Kun Guo. Will Leveraged Trading Increase the Liquidity of the Stock Market? Empirical Analysis Based on Individual Stocks of Micro-Level [J]. Chinese Journal of Management Science, 2025, 33(4): 1-11.
[8]	Haixiang Yao, Qiuyu Liu, Xiaoguang Yang. Strengthening or Weakening: Systemic Risk Spillovers between Diversified Financial in Dustries and Traditional Financial Industries [J]. Chinese Journal of Management Science, 2025, 33(3): 1-12.
[9]	Gangjin Wang, Xinyu Ma, Chi Xie. Measuring Interconnectedness of Global Foreign Exchange Markets Using Tail Risk Spillover Network [J]. Chinese Journal of Management Science, 2025, 33(3): 13-23.
[10]	Shuai Xu, Shuai Shao, Xianjie He. How Forward-looking Statements in Earnings Communication Conference Affect Analysts Forecast Accuracy? ——Falsehood or Foretell [J]. Chinese Journal of Management Science, 2025, 33(3): 34-44.
[11]	Qingwen Sun, Yu Jin, Limei Zheng, Zihan Sun. Measurement Model and Identification Method of Return on Equity Manipulation: Empirical Research Based on the Data of Chinese A-share Listed Companies [J]. Chinese Journal of Management Science, 2025, 33(2): 1-15.
[12]	Yuzhen Hu, Jianxia Liu. Container Liner Disruption Recovery Based on Redundancy Elimination Time-band Network [J]. Chinese Journal of Management Science, 2025, 33(2): 118-130.
[13]	Mengdi Ma, Shuo Li, Yutao Wang. A Study on Chinese Analyst Reports Validity: Specific Information and Limited Investor Attention [J]. Chinese Journal of Management Science, 2025, 33(2): 38-49.
[14]	Shijia Song, Fei Tian, Handong Li. VaR Prediction Model Based on Time-varying Extremum Method and Its Application [J]. Chinese Journal of Management Science, 2025, 33(2): 61-70.
[15]	Xingyi Li, Zhongfei Li, Qiqian Li, Yujun Liu, Wenjin Tang. A Review of Research on Asset Return Prediction Based on Machine Learning [J]. Chinese Journal of Management Science, 2025, 33(1): 311-322.

The Ambiguity Premium in China’s A-shares Market——The Analysis from Intra-day High Frequency Data

PDF (PC)

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 15

Metrics

Comments

Recommended 0