管理者过度自信、特质波动率与股票收益

打开文本图片集

中图分类号：F832.5 文献标识码：A 文章编号：1004-0714（2025）06-0139-04

Managerial Overconfidence，ldiosyncraticVolatility，andStockReturns

HUTing，ZHANGYunyi （SchoolofFinance，HubeiUniversityofEconomics，43o2o5，Wuhan，Hubei，China）

Abstract：This paper investigates theimpact of managerial overconfidence on the correlation between stock idiosyncraticvolatilityand expectedreturns based onadata sampleofA-share stocks in Shanghai and Shenzhen from 2007 to 2023 usingiportfolio analysis and Fama-MacBeth cross-sectional regression.The results show that thenegative correlationbetween idiosyncratic volatility and expected returns is significantly strongerinstockswithmanagerial overconfidence，i.e.，managerialoverconfidenceexacerbatestheidiosyncratic volatility puzzle.Testingthatitakesintoiaccount ithe lottery stock effectand usesdifferent measuresof managerial overconfidence showthattheresults holdrobustly.This study provides new empirical evidence for understanding the correlation between stock idiosyncratic volatility and expected returns from theperspectiveofmanagerial overconfidence，deepening the understandingof the mechanismofidiosyncratic volatilitypuzzleformation.

Keywords：Managerial Overconfidence;Idiosyncratic Volatility;Stock Returns

一、研究概述

标准资产定价理论指出，投资者将充分分散其投资组合，因此，只有系统性风险能获得相应的收益补偿，非系统性风险（即特质风险）与期望收益不相关。（剩余8742字）