经济风险的前瞻性测度与收益率预测

The economic measure of riskiness,forward-looking information and predictability of return rate

如何准确地测度风险是投资者面临的现实问题,也是金融学研究领域的重要理论问题,以往基于历史信息的风险测度往往缺少前瞻性,导致相关风险管理手段在投资实践中表现不佳.本文运用现金流复制法提取上证50ETF期权价格中的前瞻信息,测算诺奖得主Aumann等人提出的经济风险指标,以提高风险测度的前瞻性和准确性,并基于此对未来收益率进行预测.实证结果发现:①我国期权市场隐含股票市场未来的风险信息,从期权价格中提取的隐含经济风险指标承担与美国恐慌指数VIX类似的功能,即市场走强时风险值下降,而当市场走弱时风险值上升;②样本内检验发现隐含经济风险包含标的资产收益率的前四阶矩信息,进而可以预测标的资产未来收益率,且二者呈显著负相关关系;③样本外预测表明隐含经济风险对收益率的预测能力显著优于历史平均收益率,也优于“向后看”的经济风险指标,基于隐含经济风险构建的资产配置策略可以获得更优的投资收益.本文的研究结论具有重要的政策启示和实际价值.

How to accurately forecast risk is a practical problem faced by investors and an important theoretical issue in the field of financial research.In the past,risk measurement using historical data often lacked foresight,leading to poor practical performance of risk management tools.In order to improve the foresight and accuracy of risk forecast,this paper employs the cashflow replication method to extract implied economic risk(IER)that is proposed by Nobel laureate Aumann and others from the SSE 50ETF option prices,and predicts future returns based on IER.It is found that:①Chinese options market implies the future risk of the stock market,and the IER assumes a similar function to the fear index VIX in America,that is,the IER decreases when the market is strong,and vice versa.②The in-sample tests show that the IER can negatively predict the future return of the underlying asset significantly since it contains the risk-neutral moment information of the return rate.③The forecast tests indicate that the IER delivers statistically significant out-of-sample R^(2) relative to the historical average return and the“backward-looking”economic risk indices,therefore asset allocation strategies with IER can get economically significant gains than competitive predictors.The conclusions of this paper have important policy meaning and practical implications.