投资机会变动与风险收益关系实证研究

应用跨期资本资产定价模型研究股市投资机会变动时的风险收益关系和跨期风险对冲策略。以25个规模-账面市值比组合以及扩展组合作为检验资产,以经济、情绪和市场指标作为状态变量反映投资机会,以DCC-MVGARCH方法估计的资产超额收益与市场超额收益的条件协方差衡量市场风险,以DCC-MVGARCH方法估计的资产超额收益与状态变量新息的条件协方差衡量跨期风险,应用面板回归方法检验资产超额收益与风险的关系。研究结果表明,在单状态变量中,货币供应增长率、房地产投资增长率、宏观经济景气指数、规模溢价等新息降低,投资机会出现不利变动,与这些新息负相关的资产能对冲投资机会的不利变动;存贷差增长率、利率、股市波动等新息增加时,投资机会出现不利变动,与这些新息正相关的资产能对冲投资机会的不利变动;各模型具有良好的解释能力,其中规模溢价、股市波动和货币供应的解释能力较高。还对多状态变量进行检验、比较,并提供了相应投资策略。

Empirical Study on Time-Varying Investment Opportunity and Risk-return Tradeoff

On the basis of Intertemporal Capital Asset Pricing Model(ICAPM),this study investigate risk-return tradeoff and hedging strategies of intertemporal risk,when the investment opportunities are time varying.Applying panel regression to explore the risk-return tradeoff in Chinese stock market,test assets include 25 size and book-to-market portfolios and extended portfolios;take a series of state variables(economic、sentimental or market indicators) to reflect the investment opportunities;market risks are measured as conditional covariances between asset excess returns and market excess returns,intertemporal risks are measured as conditional covariances between asset excess returns and innovations in state variable,those covariances are estimated by DCC-MVGARCH.The results show: when state variable is single,the innovations of those state variables decrease lead to adverse changes in investment opportunities,such as generalized money supply growth rate,real estate investment growth rate,macro-economic climate index,size premium,assets which negatively correlate with those innovations can hedge against unfavorable shift in investment opportunities;the innovations of those state variables increase lead to adverse changes in investment opportunities,such as growth rate of difference between financial institutions deposit and loan,shanghai interbank offered rate,stock market volatility,assets which positively correlate with those innovations can hedge against unfavorable shift in investment opportunities;each model has good explanation power,SMB,Volatility or Rm2 has higher explanation;Moreover,ICAPM consist of several state variables are tested and the investment strategies to hedge intertemporal risks are proposed.