管理者過(guò)度自信、特質(zhì)波動(dòng)率與股票收益

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中圖分類號(hào)：F832.5 文獻(xiàn)標(biāo)識(shí)碼：A 文章編號(hào)：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

標(biāo)準(zhǔn)資產(chǎn)定價(jià)理論指出，投資者將充分分散其投資組合，因此，只有系統(tǒng)性風(fēng)險(xiǎn)能獲得相應(yīng)的收益補(bǔ)償，非系統(tǒng)性風(fēng)險(xiǎn)（即特質(zhì)風(fēng)險(xiǎn)）與期望收益不相關(guān)。（剩余8742字）