宏观经济周期下中国股市基本面因子的风险溢价变化研究

Research on Risk Premium Changes of Fundamental Factors in China’s Stock Market under the Macroeconomic Cycle

基于我国2005—2021年所有非金融A股上市公司数据,通过构建因子模拟组合得到主要基本面因子的风险溢价,并利用合成指数法和Bry-Boschan法对2006年7月至2022年12月的宏观经济周期进行划分,重点分析不同经济状态下基本面因子风险溢价的均值和显著性变化。研究发现:(1)我国宏观经济周期整体呈现“扩张期短、收缩期长”的特征;(2)基本面因子的风险溢价显著水平存在较大差异;(3)宏观经济扩张或收缩会对部分基本面因子的风险溢价造成明显影响;(4)在国内股票市场通过基本面因子筛选构建量化投资组合可以获得超额收益,而减少组合头寸调整频度与幅度,有利于实现长期盈利。

Based on the data of all non-financial A-share listed companies in China from 2005 to 2021,the risk premiums of major fundamental factors are obtained by constructing factor simulation portfolios,and the macroeconomic cycle from July 2006 to December 2022 is divided by using the composite index method and the Bry-Boschan method,focusing on analyzing the mean and significance changes of the risk premium of fundamental factors in different economic conditions.The study finds that:(1)China’s macroeconomic cycle as a whole presents the characteristics of“short expansion period and long contraction period”;(2)there are large differences in the significant level of the risk premium of fundamental factors;(3)macroeconomic expansion or contraction does have a significant impact on the risk premium of certain fundamental factors;(4)the excess return can be obtained by constructing a quantitative portfolio through fundamental factor screening in the domestic stock market,while reducing the frequency and range of portfolio position adjustment is conducive to achieving long-term profits.