마코프 국면전환 모형을 이용한 포트폴리오의 초과수익률과 고유변동성에 관한 연구

This paper examines whether idiosyncratic volatility can be an effective means to forecast the excess returns of the size and book to market ratio portfolio. This paper uses a two-state Markov switching model with time-varying transition probabilities to analysis on the relationship between idiosyncratic volatility and the excess returns. The idiosyncratic volatility is estimated from the EGARCH model, sampled daily during 1/3/2001 to 7/31/2014 period. And this study considers a model for each of the portfolios as a function of an intercept term and lagged values of the Certificate of Deposit (CD) rate, the default spread, the dividend yield, and the idiosyncratic volatility. According to the findings this study, idiosyncratic volatility might be useful in predicting the excess returns of the size and book to market ratio portfolio. Both CD rate and Dividend yield have a significant value. But default Spread is not the critical factor in explaining excess returns of portfolio. The overall results indicate that the excess returns of portfolio co-vary with economica variables. And the idiosyncratic volatility in explaining the time-series variation of size and value sorted portfolio returns.