中国金融市场高阶矩风险溢价与收益预测研究

风险与收益的关系一直是金融研究的热点。自现代投资组合理论提出以来，人们通过均值方差模型发现资产价格的一阶矩与二阶矩可以较好地刻画收益与风险的关系，并对此进行了广泛且深入的研究。但该模型是建立在资产价格呈正态分布的理想假设之下。考虑到实际资产价格分布更接近于非对称的偏态分布和尖峰厚尾分布，二阶矩和三阶矩的非对称性结构以及四阶矩均包含了额外的资产价格信息。学者们自此在二阶矩的基础上，对更高阶矩维度的风险与收益进行研究。

传统金融学理论认为风险信息对资产收益具有一定程度的预测能力。学者们通过股票市场历史价格信息估计已实现高阶矩风险，并对未来收益进行预测，取得了良好效果。随着期权市场发展成熟，人们逐渐开始关注期权价格所包含的隐含信息。因为基于期权价格的隐含信息具有前瞻性，可以有效预测未来资产收益，所以学者们尝试通过期权市场价格信息估计隐含高阶矩风险，并研究其与未来收益的关系。随着金融市场进一步发展，人们意识到跨市场风险信息与跨资产价格之间的关系，基于已实现信息和隐含信息构造的风险溢价可以更好地预测资产未来收益。已有研究表明新兴市场高阶矩风险与收益的关系与发达市场模式相比具有异质性，因此本文拟对此进行探讨。

中国资本市场伴随经济腾飞发展迅速，但是多层次资本市场的发展及研究并不均衡。其中，中国股票市场相对起步较早，而中国金融衍生品市场则起步较晚。虽然近年来期权市场交易量快速增长、产品数量日益丰富，但是期权价格发现的功能与投资者资产定价的能力尚不成熟，相关风险收益模式研究较少，尤其鲜有跨股票和期权市场高阶矩风险信息研究。因此，正确识别和研究中国市场高阶矩风险溢价的影响，对于推动估值定价的科学性和有效性以及防范化解系统性金融风险均有着重要意义。

本文基于中国金融市场，以高阶矩风险溢价为主题，分析其信息特征，研究其与资产未来收益的关系。本文以中国首只金融期权上证50ETF期权为研究对象，以其现货日内高频数据和期权日频数据为样本，分析梳理文献综述和理论支撑，采用无模型方法估计已实现高阶矩和隐含高阶矩，依据高阶矩风险线性模型假设，通过已实现高阶矩和隐含高阶矩之差构造高阶矩风险溢价，进行累积收益预测及影响因素分析。

首先，本文以波动率风险溢价为研究的切入点。比较研究了不同已实现波动率和隐含波动率的计算模型，分别采用原始或对数收益和日频或高频数据以及中国波动率指数等不同形式检验了中国市场波动率风险溢价的存在性。研究发现，不同于美国市场，中国市场波动率风险溢价与收益具有正相关性，存在不同于传统金融理论的异象。

其次，本文基于二阶矩风险的非对称结构对方差风险溢价进行分解，研究其收益预测能力的差异。根据资产价格的正负收益将方差分为好坏半方差。构造总方差风险溢价及其好坏方差风险溢价分解项。研究发现好坏方差风险溢价分解项的联合预测能力要显著优于总方差风险溢价单独收益预测能力。而且好坏方差分解项对未来收益的风险载荷呈显著非对称性结构，方向相反大小不等。

再次，本文从二阶矩扩展到三阶矩和四阶矩对高阶矩风险进行综合研究。分别采用无模型方法估计已实现偏度峰度和隐含偏度峰度，并构造偏度和峰度风险溢价。通过多元回归模型研究发现高阶矩风险溢价均可以显著正向预测资产未来收益。偏度风险溢价与月内累积收益具有稳定且显著正相关性。峰度风险溢价短期收益预测能力稍弱，但随时间发展逐渐增强。此外，各高阶矩风险溢价的联合收益预测能力最强。

最后，本文研究时变性高阶矩风险溢价的影响因素。从内部分析，基于各高阶矩风险的包含回归实证发现方差和偏度和峰度风险溢价之间存在显著相互影响，具有共同风险源但亦有特异性风险。从外部分析，通过多元线性回归实证发现宏观经济不确定性和以北上资金以及ESG新闻情绪为代理变量的投资者情绪对于中国金融市场高阶矩风险溢价具有显著影响。

综合来看，本文将理论分析与实证研究相结合，基于新兴市场的特点梳理并构建了高阶矩风险溢价研究框架，丰富了高阶矩风险溢价对于资产收益的预测模型，拓展了高阶矩风险溢价非对称性结构研究，揭示了时变高阶矩风险溢价的影响因素，并从传统金融学和行为金融学维度解释了中国金融市场高阶矩风险溢价收益预测异象，对市场管理者和投资者具有一定启示参考意义。

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