我国A股市场尾部风险的宏观度量及其资产定价

The Macro-level Measurement of Tail Risk in Chinese A-Share Market and Asset Pricing

=使用混合横截面个股收益率数据，我们基于VaR（风险价值）概念度量了我国A股市场的尾部风险；而且，我们实证考察了该尾部风险与横截面股票预期收益率之间的关系。结果显示，我国A股市场的月度尾部风险具有时变性和一定的持续性；2007-2008年间尾部风险较高，2015年以来，尾部风险也较高；排序分析表明，基于个股尾部风险载荷（个股收益率对该尾部风险的敏感性）构造的十序位分组投资组合（持有一个月）的最高和最低组之间存在显著的正的平均收益率之差（年化收益率约为18％），剔除常见因子风险后仍然存在（年化收益率约为13％）；Fama-MacBeth回归分析也显示，个股的尾部风险载荷是显著影响其预期收益率的一个因素，个股尾部风险载荷越大，其预期收益率就越高。进一步构造尾部风险因子，我们发现，在基于个股尾部风险载荷或个股规模构造的十序位分组投资组合中，尾部风险因子都是显著的定价因子。而且，本文的尾部风险因子可以解释A股市场的规模异象。

using the pooled individual stock returns, we measure the tail risk of Chinese A-share market based on the VaR; and examine the relationship between individuals＇ tail risk and its expected return. We find that the A-share market＇s monthly tail risk is time-varying and persistent, the tail risk is higher from 2007 to 2008, and also higher since 2015; stocks are sorted into quintile portfolios based on their estimated tail risk loadings, then stocks in the highest tail risk loading quintile earn value-weighted average annual returns 18% higher than stocks in the lowest quintile, and about 13% after adjusting the risk faetors; individual stock＇s tail risk loading is a significant positive influence factor of the expected return, i.e., the higher the tail risk loading, the higher the expected return; what＇s more, we construct a tail risk factor, and find that the tail risk factor is significant in asset pricing model for the quintile stocks portfolios based on their tail risk loadings or size. We also find the tail risk factor can explain the size anomaly.