风险感知因子及其在中国市场的定价能力  

Risk Perception Factor and Its Pricing in Chinese Stock Market

作　　者：谢忠华 朱宏泉[1,3] 林治宇 XIE Zhonghua;ZHU Hongquan;LIN Zhiyu(School of Economics and Management,Southwest Jiaotong University,Chengdu 610031,China;Sichuan Branch,TaiPing Life Insurance Company Limited,Chengdu 610095,China;Sichuan Key Laboratory of Service Science and Innovation,Chengdu 610031,China)

机构地区：[1]西南交通大学经济管理学院,成都610031 [2]太平人寿保险有限公司四川分公司,成都610095 [3]服务科学与创新四川省重点实验室,成都610031

出　　处：《计量经济学报》2025年第1期241-266,共26页China Journal of Econometrics

基　　金：国家自然科学基金(72073109,91746109)。

摘　　要：本文在Liu et al.(2019)三因子基础上引入风险感知因子(FRP)构建中国股票市场的四因子模型(记为RPM4模型).结果表明,对比现有模型的定价因子,风险感知因子在样本期内能获得显著溢价,且因子的波动率、夏普比率、最大回测等指标均具有明显优势.风险感知因子的最大平方夏普比率最高,具有显著的增量信息,能够有效地捕捉市场、规模和价值等因子外的有效信息.进一步检验表明, RPM4模型蕴含了更丰富的信息,在对股票组合收益率的解释上具有绝对优势,在截面回归R^(2)对比检验中表现出色,是Fama and French (1993)三因子、Liu et al.(2019)三因子和四因子模型的有效补充.This study proposes a new risk perception factor(FRP)and adds it to Liu et al's(2019)three-factor model to form a four-factor model(henceforth RPM4 model)for the Chinese stock market.The results show that the FRP's volatility,Sharpe ratio,and maximum drawdown have significant advantages over the factors of popular asset pricing models.Further testing reveals that the RPM4 model contains more information and has a clear advantage in explaining stock portfolio returns,and performs well in the R^(2) comparison tests for cross-sectional regressions.The RPM4 model is a useful complement to the Fama and French(1993)three-factor model,as well as Liu et al's(2019)three-and four-factor models.

关 键 词：风险感知 因子模型 市场异象 最大平方夏普比率 信息增量 

分 类 号：F83[经济管理—金融学]