【本期主题】On the Pricing Role of Idiosyncratic Risk: The Dual-Predictor Regression Approach

Idiosyncratic risk is commonly used to test its pricing role. However, theory suggests that only the undiversified idiosyncratic risk component should matter. When such a component accounts for only a small portion of the variation in idiosyncratic risk but is economically important in pricing, the conventional test very likely fails to reject the null hypothesis that idiosyncratic risk does not matter due to low statistical power. We propose a simple regression-based method for the time-series test, which can substantially improve test power while sacrificing little in test size. Using our new approach, we provide robust evidence that strongly supports a significantly positive relation between aggregate undiversified idiosyncratic risk and future market excess returns. Extensive empirical test results show that the pricing effect is pervasive yet cannot be attributed to plausible sources of common risk factors, state variables, or microstructure effects. Alternative estimation results suggest that the priced component accounts for less than 15% of the time variation in aggregate idiosyncratic risk but contributes to more than one third of the time variation in the market risk premium.

【报告人】 阮军 厦门大学财务管理与会计研究院

【时 间】11月11日 上午10:00

【地 点】明德主楼0509室

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报告人简介：

阮军是厦门大学财务管理与会计研究院的财务金融学助理教授和院长助理，会计和财务创新试验中心主任，德克萨斯达拉斯商学院访问学者，曾在纽约州立大学-宾汉姆顿和奥克兰大学（美国密执根州）讲授金融学课程。他从北京航空航天大学获得工学学士学位，从纽约州立大学-宾汉姆顿获得MBA和金融学博士学位， 主要从事资本市场的实证研究，具体的研究领域有市场异象，异质风险，市场微结构，股价的波动成因，国债拍卖，新股发行等。目前，以第一和通讯作者身份在国际著名金融期刊Journal of Financial Research 和Journal of Financial Services Research发表了论文, 另有一篇论文在国际顶级金融期刊Journal of inancial

Economics的第三轮评审中。此外，阮军主持了两项国家自然科学基金面上项目。

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