5221 
3825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
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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.
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