关于中国股票市场模糊性、风险与风险资产收益率的实证研究

An Empirical Study on the Ambiguity,Risk and Excess Return of China's Stock Market

我们采用Brenner and Izhakian(2018)基于期望效用模型(EUUP)构建的实证模糊性指标,分析了上证综指代表的中国股票市场中风险、模糊性和股市收益率的关系。研究发现,基于月度数据,模糊性在中国股市中被定价,并且其对于风险资产收益率的解释效果远优于风险。市场模糊性溢价水平和市场有利概率有密切关系,实证结果和已有行为研究的发现以及理论预期相符。中国股市的有利概率临界概率点约为45%,略低于美国股市,表明中国投资者对模糊性更加担忧,要求的模糊性溢价更高。依据对实证数据的进一步分析,我们发现EUUP构建的模糊性测度面临两个潜在问题,并对其进行了讨论和提出了建议。同时发现本文模糊性指标和中国经济政策不确定性指标存在正相关关系,但与具体政策领域的不确定性指标不具有相关关系。

Following the work by Brenner and Izhakian(2018),we empirically construct and measure ambiguity based on Expected Utility with Uncertain Probabilities(EUUP)theory.As another key pattern of uncertainty,we study its relation with classical risk and stock return on Chinese stock market.We find that based on monthly data,ambiguity is priced and performs much better than risk accounting for excess return,especially when interacting with probabilities of favored return as prior behavior researches have shown.The empirical results are consistent with behavior studies and theoretical results.The ambiguity premium is positive(negative)when the probabilities of favored return is greater(lower)than 0.45,which is lower than the counterpart in American stock market.It implies that Chinese investors are more ambiguity averse and require higher ambiguity premium.We find two potential problems for EUUP theory and the ambiguity measure,and make our discussions and suggestions for the issues raised.We find that the ambiguity measure is positively correlated with economic policy uncertainty measure,while ambiguity measure is not correlated with policy-specific indices.