摘要
依据经典资产定价理论,风险暴露高的资产应该有高的预期收益。文章以中国股票市场A股作为研究对象,估计股票对于经济政策不确定性的风险暴露贝塔,却发现经济政策不确定性贝塔会产生显著的负向溢价。剖析其机理,发现当经济政策不确定性呈加剧趋势时,经济政策不确定性贝塔较高的股票其价格也呈上涨趋势。投资者出于不确定性规避,未来会减持经济政策不确定性贝塔较高的股票,从而使其产生较低的预期收益。尽管投资者往往利用经济政策进行套利,但经济政策不确定性贝塔的负向溢价并不能由套利风险解释。进一步研究发现,以经济政策不确定性贝塔构建定价因子,经济政策不确定性因子可以显著提高股票横截面收益的定价效率。文章研究表明,面对后疫情时代全球经济环境深刻变化的巨大挑战,加强宏观审慎框架下的政策连贯性和经济转型过程中的政策稳步调整,有助于维护金融市场稳定。
In order to deal with complex international situations and arduous domestic reform and development tasks,especially the serious impact of the COVID-19 epidemic,the Chinese government actively plays the macroeconomic regulation and control role of economic policies,and makes economic policy uncertainty constantly increasing.According to the classical asset pricing theory,assets with high risk exposure will demand high expected return,thus there should be a positive risk premium for economic policy uncertainty exposure.In this paper,we take A-share in the Chinese stock market as the research sample,and use the Beta coefficient of the regression of stock returns to economic policy uncertainty as the risk exposure of economic policy uncertainty.We find that economic policy uncertainty Beta can produce significant negative premium,and cannot be explained by other stock characteristics,industries and equity natures,which obviously goes against the asset pricing theory.By analyzing the mechanism,it is found that when economic policy uncertainty is increasing,the stock price with higher economic policy uncertainty Beta is also increasing.For the sake of uncertainty aversion,investors will reduce their holdings of these stocks in the future,so as to produce lower expected returns.However,there is no significant relationship between economic policy uncertainty Beta and expected returns for stocks with lower economic policy uncertainty Beta and when economic policy uncertainty is weakening.Therefore,the negative premium of economic policy uncertainty Beta is caused by the certainty effect of investors.Although investors always use the economic policy to carry out arbitrage transactions,which may produce arbitrage risks,the negative premium of economic policy uncertainty Beta is not caused by arbitrage risks.Furthermore,we construct the economic policy uncertainty factor,and find that the fivefactor model including FF3 factor,profitability factor and economic policy uncertainty factor has better pricing efficiency on cross-sectional stock returns in the Chinese stock market.We suggest that the economic policy has a"double-edged sword"effect,and high economic policy uncertainty will produce negative economic consequences.Facing the great challenge of profound changes in the global economic environment in the post epidemic era,strengthening the continuity,stability and sustainability of economic policies under the macro-prudential framework is conducive to maintaining the confidence of investors and the stability of the financial market.
作者
邢红卫
王汉瑛
Xing Hongwei;Wang Hanying(Institution of Management and Decision,Shanxi University,Shanxi Taiyuan 030006,China;Faculty of Business Administration,Shanxi University of Finance and Economics,Shanxi Taiyuan 030006,China)
出处
《上海财经大学学报（哲学社会科学版）》
CSSCI
北大核心
2021年第3期64-78,共15页
Journal of Shanghai University of Finance and Economics
基金
国家社会科学基金(19CGL023)
山西省软科学研究计划项目(2019041014-5)
