摘要
经济不确定性是影响投资机会集合的状态变量,本文基于中国股票市场检验了经济政策不确定性对资产定价的影响。利用基于新闻报道内容的关键词提取构造而成的指数衡量中国经济政策不确定性(CEPU),时间序列分析结果表明,CEPU微弱地提高了预期回报率、降低了当期回报。在投资组合的截面分析中,基于CEPU的多头一空头资产组合有负的风险溢价,而显著性有限,这一结果在控制一般的经济不确定性时稳健。因此本文认为虽然中国经济政策不确定性有正的风险溢价,但并没有充足的实证依据表明CEPU是中国股票市场的已定价风险因子。
Economic uncertainty is a state variable that affects investment opportunity sets.In this paper,impacts of economic policy uncertainty on asset pricing based on China stock markets are tested.Using news-based measure to capture Chinese economic policy uncertainty index(CEPU),the time-series analysis indicates CEPU weakly increases expected stock returns but decreases contemporaneous returns.In cross-section analysis concerning investment opportunity sets,the CEPU long-short portfolio bears negative risk premium yet the result is not significant.However,this result is robust when controlling general economic uncertainty.In all,this paper concludes Chinese economic policy uncertainty has positive risk premium but no strong evidence proves CEPU is a priced risk factor in China stock markets.
出处
《中国管理科学》
CSSCI
北大核心
2014年第S1期222-226,共5页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(71303264)
中央高校基本科研业务费专项资金资助(10000-3161137)
广东省自然科学基金资助项目(S2013040015332)
关键词
经济政策不确定性
资产定价
时间序列分析
截面分析
economic policy uncertainty
asset pricing
time-series analysis
cross-section analysis
