货币政策的不确定性是否会导致中国股市出现风险溢价？

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

International Review of Finance Pub Date : 2021-07-01 DOI:10.1111/irfi.12356

Lei Lin, Jing Tan, Wenzhen Liu

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引用次数: 1

摘要

本文研究了货币政策不确定性(MPU)在中国股市股票收益横截面中的定价含义。我们的研究结果表明，多空组合即做多MPU创新风险最低的股票和做空MPU创新风险最高的股票的年化收益约为6%。偏态、特殊波动性、规模和账面市值比效应不能解释高(低)暴露于MPU创新的股票的低(高)平均回报。此外，在Fama-MacBeth回归中，MPU创新的风险溢价显著为负。这些结果表明，投资者倾向于MPU的早期解决。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Does monetary policy uncertainty command a risk premium in the Chinese stock market?

We examine the pricing implications of monetary policy uncertainty (MPU) in the cross-section of stock returns in the Chinese stock market. Our results show that the long-short portfolio that is long stocks with the lowest exposures to innovations in MPU and short stocks with the highest exposures to innovations in MPU earns about 6% annualized alpha. The coskewness, idiosyncratic volatility, size, and book-to-market effects cannot account for the low (high) average returns earned by stocks with high (low) exposures to innovations in MPU. Furthermore, the exposure to innovations in MPU commands a significantly negative risk premium in the Fama-MacBeth regressions. These results indicate that investors have preferences for the early resolution of MPU.

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来源期刊

International Review of Finance BUSINESS, FINANCE-

CiteScore

3.30

自引率

5.90%

发文量

期刊介绍： The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.