JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS ·Vol. 51, No. 3, June 2016

风险、不确定性和预期收益

作者：Turan G. Bali (Georgetown University, McDonough School of Business), Hao Zhou (Tsinghua University, PBC School of Finance)

摘要：一个带有风险和不确定的资本资产定价模型意味着股票组合对于市场和不确定因子的时变暴露能够带来正的风险溢价。来自规模、账面价值市值比、动量以及行业投资组合的实证结果表明，带有市场和不确定因子的股票组合的条件协方差能够预测股票收益时间序列和横截面的变动。我们发现，如果以方差风险溢价（VRP）衡量的经济不确定性，相比于与VRP相关度很小的股票组合，与VRP高度相关的股票组合能够带来显著的年化8%的溢价收入。

Risk, Uncertainty, and Expected Returns

Turan G. Bali (Georgetown University, McDonough School of Business), Hao Zhou (Tsinghua University, PBC School of Finance)

ABSTRACT

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premia. The empirical results from the size, book-to-market, momentum, and industry portfolios indicate that the conditional covariances of equity portfolios with market and uncertainty predict the time-series and cross-sectional variation in stock returns. We find that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant annualized 8% premium relative to portfolios that are minimally correlated with VRP.

原文链接：https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/risk-uncertainty-and-expected-returns/01FBA8D271133EAB846678F4E7987E1A

翻译：傅亚平