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

風險、不确定性和預期收益

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

摘要：一個帶有風險和不确定的資本資産定價模型意味着股票組合對于市場和不确定因子的時變暴露能夠帶來正的風險溢價。來自規模、賬面價值市值比、動量以及行業投資組合的實證結果表明，帶有市場和不确定因子的股票組合的條件協方差能夠預測股票收益時間序列和橫截面的變動。我們發現，如果以方差風險溢價（VRP）衡量的經濟不确定性，相比于與VRP相關度很小的股票組合，與VRP高度相關的股票組合能夠帶來顯著的年化8%的溢價收入。

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.

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

翻譯：傅亞平