高风险有高收益吗

Do Higher Risk Earn Higher Return?

市场风险异象是指CAPM中的beta值与超额收益率负相关的情况。本文的理论模型得到了斜率随异质信念和投资者情绪变化的证券市场线,可解释市场风险异象。该模型表明,异质信念加剧使悲观投资者退出高beta股票,乐观投资者推升泡沫,造成beta值与超额收益率负相关的市场风险异象,而投资者情绪将进一步加剧异象。该理论在实证分析中得到了验证,中国股市的市场风险异象可以被异质信念和投资者情绪解释,出现"高风险低收益"的特征;政策不确定性和宏观经济不确定性是使市场异质信念加剧的重要因素;现行的两融制度不足以化解异质信念的影响。以上结论扩展并完善了CAPM模型,重构了风险与收益的关系,也对投资实务有一定参考价值。

Market risk anomaly is the situation that market beta negatively correlated with expected excess return. In our theoretical model, we introduce disagreement and investors sentiment into CAPM and derive a time-varying market security line that explains the anomaly. The model implies that when disagreement is intensified, permissive investors sold high beta stocks. Optimistic investors aggravate price bubble and result in lower expected return. In the empirical study, we find that the market risk anomaly in Chinese stock market can be explained by disagreement and investors sentiment. Policy uncertainty and macro-economy uncertainty can influence disagreement. The current shortsale institution can' t mitigate these phenomena. Our conclusions extended the traditional CAPM and useful for investment practice.