本文研究我国证券市场中特质性波动率是否具有信息含量。分析结果表明:我国证券市场的特质性波动率对未来净资产收益率和每股收益均有较好的预测作用,但对标准化的未预期盈余无预测作用。 This paper studies whether the characteristic volatility in China’s securities market has information content. The analysis results show that the volatility of the stock market in our country can predict the future return on net assets and earnings per share, but it has no predicting effect on the standardized unplanned surplus.