5110 
3635依据经典资产定价理论，风险暴露高的资产应该有高的预期收益。文章以中国股票市场A股作为研究对象，估计股票对于经济政策不确定性的风险暴露贝塔，却发现经济政策不确定性贝塔会产生显著的负向溢价。剖析其机理，发现当经济政策不确定性呈加剧趋势时，经济政策不确定性贝塔较高的股票其价格也呈上涨趋势。投资者出于不确定性规避，未来会减持经济政策不确定性贝塔较高的股票，从而使其产生较低的预期收益。尽管投资者往往利用经济政策进行套利，但经济政策不确定性贝塔的负向溢价并不能由套利风险解释。进一步研究发现，以经济政策不确定性贝塔构建定价因子，经济政策不确定性因子可以显著提高股票横截面收益的定价效率。文章研究表明，面对后疫情时代全球经济环境深刻变化的巨大挑战，加强宏观审慎框架下的政策连贯性和经济转型过程中的政策稳步调整，有助于维护金融市场稳定。
经济政策不确定性贝塔溢价：基于确定效应的解释
摘要
参考文献
2 陈国进,张润泽,赵向琴. 经济政策不确定性与股票风险特征[J]. 管理科学学报,2018,(4). DOI:10.3969/j.issn.1007-9807.2018.04.004
5 雷立坤,余江,魏宇,等. 经济政策不确定性与我国股市波动率预测研究[J]. 管理科学学报,2018,(6). DOI:10.3969/j.issn.1007-9807.2018.06.003
6 李凤羽, 史永东. 经济政策不确定性与企业现金持有策略−基于中国经济政策不确定指数的实证研 究[J]. 管理科学学报,2016,(6). DOI:10.3969/j.issn.1007-9807.2016.06.010
9 Amihud Y. Illiquidity and stock returns: Cross-section and time-series effects[J]. The Journal of Financial Markets,2002,5(1):31–56. DOI:10.1016/S1386-4181(01)00024-6
10 Ang A, Hodrick R J, Xing Y H, et al. The cross-section of volatility and expected returns[J]. The Journal of Finance,2006,61(1):259–299. DOI:10.1111/j.1540-6261.2006.00836.x
11 Ang A, Hodrick R J, Xing Y H, et al. High idiosyncratic volatility and low returns: International and further U.S. evidence[J]. Journal of Financial Economics,2009,91(1):1–23. DOI:10.1016/j.jfineco.2007.12.005
13 Bachmann R, Elstner S, Sims E R. Uncertainty and economic activity: Evidence from business survey data[J]. American Economic Journal: Macroeconomics,2013,5(2):217–249. DOI:10.1257/mac.5.2.217
14 Baker S R, Bloom N, Davis S J. Measuring economic policy uncertainty[J]. The Quarterly Journal of Economics,2016,131(4):1593–1636. DOI:10.1093/qje/qjw024
15 Bali T G, Brown S J, Caglayan M O. Macroeconomic risk and hedge fund returns[J]. Journal of Financial Economics,2014,114(1):1–19. DOI:10.1016/j.jfineco.2014.06.008
16 Bali T G, Brown S J, Tang Y. Is economic uncertainty priced in the cross-section of stock returns?[J]. Journal of Financial Economics,2017,126(3):471–489. DOI:10.1016/j.jfineco.2017.09.005
17 Bali T G, Zhou H. Risk, uncertainty, and expected returns[J]. Journal of Financial and Quantitative Analysis,2016,51(3):707–735. DOI:10.1017/S0022109016000417
18 Bloom N. The impact of uncertainty shocks[J]. Econometrica,2009,77(3):623–685. DOI:10.3982/ECTA10927
19 Bloom N, Floetotto M, Jaimovich N, et al. Really uncertain business cycles[J]. Econometrica,2018,86(3):1031–1065. DOI:10.3982/ECTA6248
21 Carhart M M. On persistence in mutual fund performance[J]. The Journal of Finance,1997,52(1):57–82. DOI:10.1111/j.1540-6261.1997.tb03808.x
22 Drechsler I. Uncertainty, time-varying fear, and asset prices[J]. The Journal of Finance,2013,68(5):1843–1889. DOI:10.1111/jofi.12068
23 Fama E F, French K R. Common risk factors in the returns on stocks and bonds[J]. Journal of Financial Economics,1993,33(1):3–56. DOI:10.1016/j.jfineco.2014.10.010
24 Fama E F, French K R. A five-factor asset pricing model[J]. Journal of Financial Economics,2015,116:1–22. DOI:10.1016/0304-405X(93)90023-5
25 Gibbons M R, Ross S A, Shanken J. A test of the efficiency of a given portfolio[J]. Econometrica,1989,57(5):1121–1152. DOI:10.2307/1913625
27 Huang Y, Luk P. Measuring economic policy uncertainty in China[J]. China Economic Review,2020,59:101367. DOI:10.1016/j.chieco.2019.101367
28 Jurado K, Ludvigson S C, Ng S. Measuring uncertainty[J]. American Economic Review,2015,105(3):1177–1216. DOI:10.1257/aer.20131193
29 Kahneman D, Tversky A. On the interpretation of intuitive probability: A reply to Jonathan Cohen[J]. Cognition,1979,7(4):409–411. DOI:10.1016/0010-0277(79)90024-6
30 Kelly B, Pástor L, Veronesi P. The price of political uncertainty: Theory and evidence from the option market[J]. The Journal of Finance,2016,71(5):2417–2480. DOI:10.1111/jofi.12406
31 Liu L, Zhang T. Economic policy uncertainty and stock market volatility[J]. Finance Research Letters,2015,15:99–105. DOI:10.1016/j.frl.2015.08.009
32 Merton R C. An intertemporal capital asset pricing model[J]. Econometrica,1973,41(5):867–887. DOI:10.2307/1913811
33 Newey W K, West K D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix[J]. Econometrica,1987,55(3):703–708. DOI:10.2307/1913610
34 Ozturk E O, Sheng X S. Measuring global and country-specific uncertainty[J]. Journal of International Money and Finance,2018,88:276–295. DOI:10.1016/j.jimonfin.2017.07.014
35 Pástor L, Veronesi P. Uncertainty about government policy and stock prices[J]. The Journal of Finance,2012,67(4):1219–1264. DOI:10.1016/j.jfineco.2013.08.007
36 Pástor L, Veronesi P. Political uncertainty and risk premia[J]. Journal of Financial Economics,2013,110(3):520–545. DOI:10.1111/j.1540-6261.2012.01746.x
37 Schwert G W. Why does stock market volatility change over time?[J]. The Journal of Finance,1989,44(5):1115–1153. DOI:10.1111/j.1540-6261.1989.tb02647.x
38 Stambaugh R F, Yu J, Yuan Y. Arbitrage asymmetry and the idiosyncratic volatility puzzle[J]. The Journal of Finance,2015,70(5):1903–1948. DOI:10.1111/jofi.12286
39 Tan X F, Ma Y J. The impact of macroeconomic uncertainty on international commodity prices: Empirical analysis based on TVAR model[J]. China Finance Review International,2017,7(2):163–184. DOI:10.1108/CFRI-06-2016-0066
40 Wachter J A. Can time-varying risk of rare disasters explain aggregate stock market volatility?[J]. The Journal of Finance,2013,68(3):987–1035. DOI:10.1111/jofi.12018
引用本文
邢红卫, 王汉瑛. 经济政策不确定性贝塔溢价：基于确定效应的解释[J]. 上海财经大学学报, 2021, 23(3): 64-78.
导出参考文献，格式为：
