Blau Benjamin M, Whitby Ryan J
Department of Economics and Finance, Jon M. Huntsman School of Business, Utah State University, Logan, Utah, United States of America.
PLoS One. 2017 Nov 30;12(11):e0188517. doi: 10.1371/journal.pone.0188517. eCollection 2017.
One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics.
金融经济学的一个基础观点是，理性投资者会对风险（波动性）更高的股票进行折价，这将导致风险与未来回报之间呈现正相关关系。然而，在确定波动性与未来回报如何关联时，实证证据并不一致。在本文中，我们使用一种基于区间的波动性度量方法来检验这种关系，该方法在理论、数值和实证方面均优于其他波动性度量方法。在各种测试中，我们发现基于区间的波动性与预期股票回报呈负相关。这些结果在时间序列多因素模型以及横截面测试中都很稳健。我们的研究结果为有关风险与回报关系方向的争论做出了贡献，并证实了低波动性异象的存在，即低波动性股票表现优于高波动性股票这一异常发现。在其他测试中，我们发现与基于区间的波动性相关的较低回报是由具有类似彩票特征的股票驱动的。
