THE REVIEW OF ASSET PRICING STUDIES·VOL. 6, NO. 1 · June 2016

宏观分歧与横截面股票收益

作者：Frank Weikai Li (Hong Kong University of Science and Technology)

摘要：本文考察了宏观层面分歧对横截面股票收益的影响。使用“专业预测”数据库调查中的预测分歧度方法衡量宏观分歧，我发现具有高宏观β值的股票相较具有低宏观β值的股票获得较低的未来收益并且伴随着相对较高的宏观分歧状态。包含宏观因素的股票收益与宏观分歧之间的负相关性是显著的，这种关系对于很大一部分的宏观经济因素都是存在的，研究因而表明与具有较低宏观β值的股票股相比，高宏观β值股票由于对总体分歧的敏感程度较高而被高估。

关键词：宏观水平，横截面，资产定价

Macro Disagreement and the Cross-Section of Stock Returns

Frank Weikai Li (Hong Kong University of Science and Technology)

ABSTRACT

This paper examines the effects of macro-level disagreement on the cross-section of stock returns. Using forecast dispersion measures from the Survey of Professional Forecasters database as proxies for macro disagreement, I find that high macro beta stocks earn lower future returns relative to low macro beta stocks following high macro disagreement states. This negative relation between returns for macro factors and macro disagreement is robust and exists for a large set of macroeconomic factors, suggesting that high macro beta stocks are overvalued compared with low macro beta stocks due to their greater sensitivity to aggregate disagreement.

Keywords: macro level, cross section, asset pricing

原文链接：https://academic.oup.com/raps/article/6/1/1/2606922/Macro-Disagreement-and-the-Cross-Section-of-Stock

翻译：景薇