股票投资者收益的波动性

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-09-01 DOI:10.1016/j.finmar.2024.100927

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引用次数: 0

摘要

股票投资者收益的波动性不仅取决于其所持股票的波动性，还取决于其所持股票的时变资本敞口。利用美国和国际股票市场的个股、股票投资组合和指数，我们提供了全面的证据，表明在几乎所有的规格中，投资者回报的波动性始终高于股票回报的相应波动性。波动率差异的相对幅度从 10%到 75%不等，随着投资期限的增加而增加。造成这种差异的主要原因是投资者 "逃离波动 "的倾向，即在高波动期后撤出股票资本。

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The volatility of stock investor returns

The volatility of stock investor returns depends not only on the volatility of the stocks they hold but also on their time-varying capital exposure to these holdings. Using individual stocks, portfolios of stocks, and indexes across U.S. and international stock markets, we provide comprehensive evidence that the volatility of investor returns is consistently higher than the corresponding volatility of stock returns across nearly all specifications. The relative magnitude of the volatility differential ranges from 10% to 75%, increasing with investment horizon. This discrepancy is driven primarily by investors’ propensity to "flee volatility," withdrawing equity capital following periods of high volatility.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.