Pacific-Basin Finance Journal Volume 46, Part A, December 2017, Pages 41–56

政策不确定性与股票溢价的新证据

作者：Xiao-Ming Li (Massey University, New Zealand)

摘要

考虑到中国股票市场是一个以有行为偏差的、风险追求的投机者为主导的市场，我们检验了中国的经济政策不确定性(EPU)会导致正的股权溢价这一假说。我们发现，EPU贝塔值越高的股票平均回报越高，并且EPU因子模拟投资组合获得了显著的异常回报。在控制宏观经济和股票市场的不确定性因素以及传统风险因素和公司特征之后，EPU因子可以在横截面上正向预测各种投资组合或股票的收益。我们的发现是对最近报道的美国负溢价证据的补充。

关键词：资产定价，股票溢价；政府政策不确定性；错误定价；中国

New evidence on economic policy uncertainty and equity premium

Xiao-Ming Li (Massey University, New Zealand)

ABSTRACT

Motivated by well-documented observations that the Chinese equity market is dominated by risk-seeking speculators with a behavioural bias, we test the hypothesis that China's economic policy uncertainty (EPU) commands a positive equity premium. We find stocks with higher EPU betas earn higher average returns, and the EPU factor-mimicking portfolio earns significant abnormal returns. Loadings on the EPU factor positively forecast the cross-section of returns on various sets of portfolios or stocks, controlling for macroeconomic and stock market uncertainty factors, conventional risk factors, and firm characteristics. Our findings are complimentary to the recently reported US evidence of a negative premium.

Keywords: Asset pricing, equity premium; Government policy uncertainty; Misvaluation; China

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X17302639

翻译：阙江静