Research On The Influence Of Idiosyncratic Risk On Stock Return From The Perspective Of Shell Value

Risk and return have always been the focus of financial theory research.The classic capital asset pricing model believes that volatility can be used to measure risk and there is a positive correlation between risk and return.With the emergence of various market anomalies,scholars have found that the company's idiosyncratic risk is different from the systematic risk,which cannot be measured directly from the pricing model,but through the residual measurement regressed from the pricing model.In 1987,Merton first proposed to measure the company's idiosyncratic risk with idiosyncratic volatility,and found a positive correlation between idiosyncratic risk and stock return.However,in 2006,Ang et al.Found that there was a negative correlation between the idiosyncratic volatility extracted from Fama-French Three-factor model and stock return,and put forward the "mystery of idiosyncratic volatility".Nowadays,domestic scholars still have a dispute about whether there is characteristic volatility in China's A-share market,so it is of practical significance to explore the relationship between characteristic risk and stock return rate of Shanghai A-share based on the perspective of shell resources.The paper selects all the stocks in A-share market of Shanghai Stock Exchange from 2015 to 2019 as samples,and constructs a multi factor model suitable for China's stock market by eliminating shell resource stocks.After the return of stock returns,the paper extracts the standard deviation of residual items to measure the special volatility.Finally,a regression model is established between the special volatility and the stock return.The circulation market value,the book to market value ratio,the market risk premium factor coefficient and the market value factor are added to the control variables to analyze their impact on the relationship between the stock return and the special risk.The results show that:(1)the most suitable model for Shanghai A-share market in the selected sample period is the four factor model,and the value factor included is calculated by the profit market price ratio instead of the book market value ratio;(2)After eliminating the pollution of shell resources,there is a significant positive correlation between the special volatility and the stock return in the A-share market of Shanghai Stock Exchange.Based on the perspective of shell resources,this paper constructs a multi factor model applicable to China's A-share market to explore the impact of idiosyncratic volatility on stock return,which can help investors to better allocate assets.It is instructive to the behavior of supervisors,who can further strengthen the control of market risk by strengthening information disclosure to reduce the company's idiosyncratic risk.