宏观经济因素对我国A股市场股票收益率的影响研究——基于宏观多因子模型的应用

Study on the Impact of Macroeconomic Variables on the Stock Return of A-share Market in China——Based on the Application of Macroeconomic Multifactor Model

本文详细介绍了资产定价多因子理论和宏观多因子定价模型的理论,阐述了使用宏观因子作为解释变量在实证资产定价模型中的作用和地位,系统地梳理了使用宏观经济变量构造多因子定价模型中风险因子的方法,并概括了宏观多因子定价理论在业界的应用。同时,也为实证资产定价领域提出了未来该领域的研究方向。

This paper introduces the theory of multi-factor asset pricing theory and macro-multi-factor pricing model in detail, expounds the role and status of using macro-factor as explanatory variable in the empirical asset pricing model, systematically combs the methods of constructing risk factors in Multi-Factor Pricing Model Using macro-economic variables, and summarizes the application of macro-multi-factor pricing theory in the industry. At the same time, it also puts forward the future research direction in the field of empirical asset pricing.