MANAGEMENT SCIENCE · VOL.61, NO. 1 ·JANUARY 2015

政府经济政策不确定性对资产定价的影响

作者：Jonathan Brogaard (University of Washington- Foster School of Business), Andrew Detzel (University of Washington- Foster School of Business)

摘要：通过采用Baker等人设计的新闻测算法 [Baker SR, Bloom N, Davis SJ (2013) Measuring economic policy uncertainty. Working paper, Stanford University, Stanford, CA]捕捉美国经济政策的不确定性（EPU），我们发现EPU能够正向预测对数超额市场收益率。一个EPU标准差的增加与三个月预期超额收益率增加1.5%（年化收益率增加6.1%）相关。此外，在Fama–French 25个规模–动量组合上使用EPU创新工具能够获得显著的负向风险溢价。在控制了对Carhart四因子、隐含和实际波动率的风险暴露后，在Fama–French 25个组合形成的规模和动量收益上，相比具有最大EPU β的组合，具有最小EPU β的组合表现更佳，较前者多出5.53%的年化收益率。这些结果都表明，EPU是股票市场上具有重要经济意义的风险因素。

关键词：融资；资产定价；政治不确定性；政府政策

The Asset-Pricing Implications of Government Economic Policy Uncertainty

Jonathan Brogaard (University of Washington- Foster School of Business), Andrew Detzel (University of Washington- Foster School of Business)

ABSTRACT

Using the news-based measure of Baker et al. [Baker SR, Bloom N, Davis SJ (2013) Measuring economic policy uncertainty. Working paper, Stanford University, Stanford, CA] to capture economic policy uncertainty (EPU) in the United States, we find that EPU positively forecasts log excess market returns. An increase of one standard deviation in EPU is associated with a 1.5% increase in forecasted three-month abnormal returns (6.1% annualized). Furthermore, innovations in EPU earn a significant negative risk premium in the Fama–French 25 size–momentum portfolios. Among the Fama–French 25 portfolios formed on size and momentum returns, the portfolio with the greatest EPU beta underperforms the portfolio with the lowest EPU beta by 5.53% per annum, controlling for exposure to the Carhart four factors as well as implied and realized volatility. These findings suggest that EPU is an economically important risk factor for equities.

Keywords: finance; asset pricing; political uncertainty; government policy

原文链接：http://xueshu.baidu.com/s?wd=paperuri%3A%28b09411f2b36e1e239ea2e9a997df11df%29&filter=sc_long_sign&tn=SE_xueshusource_2kduw22v&sc_vurl=http%3A%2F%2Fpapers.ssrn.com%2Fabstract%3D2075375&ie=utf-8&sc_us=3401365527974869863

翻译：景薇