工业技术经济2025，Vol.44Issue(5)：133-142,10.DOI:10.3969/j.issn.1004-910X.2025.05.014
个股模糊的测度与定价研究
A Study on the Measurement and Pricing of Individual Stock Ambiguity
摘要
Abstract
The pricing efficiency of the stock market is a basic problem in the financial market,and the ambiguity of indi-vidual stocks plays an important role in the pricing efficiency of the financial market.Using the 5-minute high-frequency data of in-dividual stocks in China's A-share market from January 2005 to July 2023,this paper measures the monthly ambiguity of individual stocks and constructs an ambiguity pricing factor to study the pricing ability and pricing source of individual stocks ambiguity.The results show that:(1)In China's A-share market,individual stock ambiguity has the risk-independent pricing ability,which is mainly derived from the exposure of individual stocks on ambiguity factor.Besides,individual stocks ambiguity also has risk-inde-pendent pricing ability on the cross section,implying a significant"high ambiguity and low return"correlation among individual stocks or portfolios;(2)By decomposing the ambiguity of individual stocks into systematic ambiguity and idiosyncratic ambiguity,this paper also finds that the pricing ability of individual stocks ambiguity comes from systematic ambiguity,and the idiosyncratic ambiguity has no pricing ability.关键词
个股模糊/模糊度量/模糊定价/特质模糊/系统模糊/高频数据/股票市场/定价能力Key words
individual stock ambiguity/ambiguity measurement/ambiguity pricing/idiosyncratic ambiguity/system am-biguity/high frequency data/stock market/pricing power分类
管理科学引用本文复制引用
罗东东,冯科..个股模糊的测度与定价研究[J].工业技术经济,2025,44(5):133-142,10.
