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本文基于Kelly和Jiang(2014)的方法,实证测度了我国A股市场1997—2014年间的月度极端风险水平;在此基础上,我们考察了个股极端风险载荷与其预期收益率之间的关系,并考察了股票市场极端风险对经济基本面的影响。结果显示,我国股票市场极端风险具有时变性和持续性,但其持续性远低于美国;个股的极端风险载荷是显著影响其预期收益率的一个因素,横截面个股极端风险载荷越大,其预期收益率就越高;基于极端风险载荷构造的十序位分组投资组合(持有一个月)的最高和最低组之间存在显著的平均收益率之差(年化收益率约为16%),剔除风险后仍然存在(年化收益率约为13%);而且,股票市场极端风险变化的正向冲击显著地负面影响未来实体经济的效率。
Based on the method of Kelly and Jiang (2014), this paper empirically measures the monthly extreme risk level of A-share market in China from 1997 to 2014. On this basis, we examine the relationship between the extreme risk load of individual stock and its expected return rate. Examines the impact of extreme risks in the stock market on economic fundamentals. The results show that the extreme risk in China’s stock market is time-varying and persistent, but its persistence is much lower than that in the United States. The extreme risk load of stocks is a factor that significantly affects the expected rate of return. The greater the extreme risk load of cross-section stocks, The higher the expected rate of return; the difference between the highest and lowest rates of the top-to-bottom group (based on the extreme risk load construct) of the ten-place grouping portfolio (one month holding) is the difference (about 16% annualized yield) , Which still exists after the risk is eliminated (annualized return rate is about 13%). Moreover, the positive impact of the extreme risk changes in the stock market significantly negatively affects the efficiency of the real economy in the future.