Journal of Empirical Finance · VOLUME 29 · DECEMBER 2014

洞悉全球宏觀金融交互作用：風險因子波動的結構化來源和橫截面預期股票回報

作者：Dongcheol Kima (Università di Milano-Bicocca, Milano)

摘要：本文通過評估具體實證資産定價模型中被廣泛使用的風險因子（即，Fama-French規模和價值因子、Carhart動量因子、Pastor-Stambaugh流動性因子和Adrian-Etula-Muir杠杆因子）的經濟内涵和基于風險的解釋，以此豐富宏觀金融交互關系方面的研究。本文的研究為這些基于風險的解釋提供了強有力的支持，為規模、價值和動量因子的起因、持續性和方向提供了實證證據，同時為系統性因子的具體形式提供了新的洞見。

關鍵詞：宏觀金融交互作用；風險因子；規模、價值、動量，流動性、波動性和杠杆影響

Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns

Dongcheol Kima (Università di Milano-Bicocca, Milano)

ABSTRACT

This study contributes to the investigation of the macro-finance interface by assessing the economic content and risk-based interpretation of widely employed risk factors in the specification of empirical asset pricing models, i.e., Fama–French size and value, Carhart momentum, as well as the more recent Pastor–Stambaugh liquidity and Adrian–Etula–Muir leverage factors. Strong support for their risk-based interpretation, encompassing evidence on cause, persistence and direction of the size, value and momentum effects, and new insights on the specification of systematic risk, are provided.

Keywords: Macro-finance interface; Risk factors; Size, value, momentum, liquidity, volatility and leverage effects

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0927539814000619

翻譯：殷曼琳