An Empirical Research Of Relationship Between Historical Volatility And Stock Return Of Small And Medium-Sized Board Stock Market

Asset pricing is one of the core issues in modern financial field,and the riskreturn relationship of financial assets has always been the research direction of financial risk management field.Based on Tanuj and Mark(2013),the method of combination by building the volatility and the regression model,study the history of our country small and medium-sized plate stock market volatility and stock return,can prove that small and medium-sized board market by comparing the individual stocks volatility to pick stocks,stocks will be selected to build a portfolio,and join different control variables,in order to control the influence of different factors,further investment strategies are given to obtain stable high yield.Similarly,this paper focuses on whether corporate performance will be an influential factor in the relationship between historical volatility and yield in the stock market of small and medium-sized board.This article chose 11 years from 2006 to 2016 the stock market of small and medium-sized board market related data of 237 stocks with "12/1" and "12/12" investment strategy(observation period of 12 months,the holding period 1 months and 12 months,respectively)and build different portfolio,monthly and annual model is established,the stock the relationship between the historical volatility and yield.By examining the correlation between stock historical volatility,stock return rate and corporate performance,the following conclusions can be drawn:(1)by examining the influencing factors that affect the monthly return rate of stock portfolios in the monthly model,it is found that the volatility factor will have a significant impact on the monthly return rate of stock portfolios.In China's small and medium-sized board market,the low-volatility portfolio will have higher yields than the high-volatility portfolio,which is worth investors' attention.In the case of good corporate performance,corporate performance has a positive reversing effect on the relationship between stock historical volatility and return rate,that is,corporate performance does affect the relationship between stock historical volatility and return rate.(2)by introducing agent performance index,build different annual model,from different angles on the volatility of stock returns,stock history and the relationship between the corporate performance is analyzed,found that low volatility of the stock has a better performance,higher total assets ebit margin),one possible explanation is that the small and medium-sized board market in our country,the combination of volatility is low,its share price is smooth,is reflected in the management layer on the surface will also is a kind of steady state of operation,then the relative to other share price ups and downs of the company are more likely to create a good performance.At the same time,it is found that the stock returns are higher in the case of low volatility,and the company performance will affect the relationship between the historical volatility and the return rate of the stock.During the sample period(from 2006 to 2016),stocks with low historical volatility in China's small and medium-sized board market have higher returns in the future.One possible explanation is that stocks with low volatility have better corporate performance.The conclusion based on the research results has important investment significance and enlightenment.You can try to build a portfolio with low volatility and good corporate performance to obtain higher returns.In addition,the research conclusion of this paper further indicates that China's stock market is still an immature market,the capital market is inefficient,and the regulatory layer needs to pay attention to investor education.The innovation of this paper mainly lies in enriching existing research ideas and linking corporate performance with the relationship between stock historical volatility and return rate.By establishing a regression model based on monthly data and annual data,this paper studies the relationship between historical volatility and return rate of small and medium-sized board stock market,and introduces the financial index of corporate performance to study the impact of corporate performance on the relationship between historical volatility and return rate of stock.Compared with similar literatures,this paper selected empirical methods,such as fixed impact model regression,Logit regression,quantile regression,etc.