摘要
宏观基本面冲击作为股票市场波动的重要原因被广泛认可,但从宏观经济不确定性视角探讨其对中国市场股票超额收益率影响的研究却相对缺乏。利用中国宏观经济和金融的多指标数据,构建2002—2022年中国宏观经济不确定性指数,考察其对A股超额收益率的影响。研究发现宏观经济不确定性暴露的负向溢价显著存在,即具有负的宏观经济不确定性贝塔股票的未来超额收益率更高;不过这种溢价在不同股权性质、规模和行业的股票中存在差异,并且相对于经济上行时期,经济下行时期的宏观不确定性贝塔(beta)溢价更为显著,凸显其异质性和状态依赖性。本研究对于理解宏观经济不确定性对股票市场的影响以及构建相应的资产组合来应对宏观不确定性冲击具有一定的理论意义和现实价值。
Macrofundamental shocks are widely recognized as an important source of stock market volatility.However,there is a relative lack of research exploring their impact on stock excess returns in the Chinese market from the perspective of macroeconomic uncertainty.This paper utilizes multi-indicator data on China's macroeconomics and finance to construct an index of China's macroeconomic uncertainty from 2002 to 2022.It examines the impact of the uncertainty on the excess returns of A-share stocks.The empirical results show a significant negative premium for macroeconomic uncertainty exposure,i.e.,stocks with negativemacroeconomic uncertainty betas have higher future excess returns.However,this premium varies for stocks of different equity nature,size,and industry,and is more pronounced in periods of economic downturn relative to periods of economic upturn,highlighting the heterogeneity and state-dependence of the macroeconomic uncertainty premium.This research has theoretical and practical value for understanding the impact of macroeconomic uncertainty on the stock market and constructing corresponding asset portfolios to cope with macro uncertainty shocks.
作者
戈盈凡
GE Ying-fan(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China)
出处
《广东财经大学学报》
CSSCI
北大核心
2024年第2期11-28,共18页
Journal of Guangdong University of Finance & Economics
基金
国家社会科学基金重大项目(22&ZD067)。
关键词
经济不确定性
股票收益
不确定性溢价
超额收益率
资产组合
macroeconomic uncertainty
stock returns
uncertainty premium
excessive rate of return
portfolio
