论文标题
选择正确的回报分布和多余的波动性难题
Choosing the Right Return Distribution and the Excess Volatility Puzzle
论文作者
论文摘要
行为金融的支持者已经确定了市场上的几个“难题”，这与理性财务理论不一致。这样的难题是“多余的拼图”。鉴于基本面的变化预计会改变股票价格，股票价格的变化太大了。在本文中，我们为理性财务背景下的过量波动性难题提供了解决方案。我们从经验上表明，由于跨时间的超额回报的波动率归因于市场效率低下是由于与历史收益的不当分配拟合所致。我们的结果表明，总超额回报的变化归因于拟合回报分布的尾巴的差异很差，并且该难题通过对返回数据采用更合适的分布而消失。我们在本文中提出的新分布更适合股票的历史回报分配，解释了市场中的过度波动，从而解释了波动性难题。未能使用适当的分布估算历史回报只是对波动性难题的存在的一种可能解释。但是，它在理性财务框架内提供了统计模型，在搜索挥发性拼图的解释时，可以在不依赖行为财务假设的情况下使用该模型。
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzle". Changes in equity prices are too large given changes in the fundamentals that are expected to change equity prices. In this paper, we offer a resolution to the excess volatility puzzle within the context of rational finance. We empirically show that market inefficiency attributable to the volatility of excess return across time is caused by fitting an improper distribution to the historical returns. Our results indicate that the variation of gross excess returns is attributable to poorly fitting the tail of the return distribution and that the puzzle disappears by employing a more appropriate distribution for the return data. The new distribution that we introduce in this paper that better fits the historical return distribution of stocks explains the excess volatility in the market and thereby explains the volatility puzzle. Failing to estimate the historical returns using the proper distribution is only one possible explanation for the existence of the volatility puzzle. However, it offers statistical models within the rational finance framework which can be used without relying on behavioral finance assumptions when searching for an explanation for the volatility puzzle.
