考虑经济不确定性、消费与经济周期的股票市场资产定价

Asset Pricing in the Stock Market Considering Uncertainty in the Real Economy, Consumption, and Economic Cycle in the Real Economy

摘要: 通过对2005年5月份到2022年4月份中国股票市场数据进行实证分析，检验了五因素分析方法在中国股票市场各阶段的运用情况。其主要的结果是：1) 在整个样本下，规模、账面市值比、盈利能力因子的定价能力是十分明显的，但存在投资风格因子冗余的情况；2) Carhart四因子在按宏观经济变量风险敞口分组的单一组合下具有较强的对A股市场的解释能力；而在多空组合下五因子模型表现更好；3) 可以根据宏观经济变量下的β构建合适的多空投资组合从而获得相对安全的投资回报。

Abstract: This article examines the application of the five-factor model in different periods of China’s stock market, using A-share listed companies from May 2005 to April 2022 as samples. The main con-clusions are as follows: 1) Under the entire sample, the pricing power of size, book-to-market ratio, and profitability factor is very obvious, but there is redundancy of investment style factors; 2) Carhart’s four factors have strong explanatory power for the A-share market under a single com-bination grouped by macroeconomic variable risk exposure; the five-factor model performs better under long and short combinations; 3) Based on macroeconomic variables β, we can build an ap-propriate long short portfolio to achieve a relatively safe return on investment.