Journal of Empirical Finance · VOLUME 29 · DECEMBER 2014

洞悉全球宏观金融交互作用：风险因子波动的结构化来源和横截面预期股票回报

作者：Dongcheol Kima (Università di Milano-Bicocca, Milano)

摘要：本文通过评估具体实证资产定价模型中被广泛使用的风险因子（即，Fama-French规模和价值因子、Carhart动量因子、Pastor-Stambaugh流动性因子和Adrian-Etula-Muir杠杆因子）的经济内涵和基于风险的解释，以此丰富宏观金融交互关系方面的研究。本文的研究为这些基于风险的解释提供了强有力的支持，为规模、价值和动量因子的起因、持续性和方向提供了实证证据，同时为系统性因子的具体形式提供了新的洞见。

关键词：宏观金融交互作用；风险因子；规模、价值、动量，流动性、波动性和杠杆影响

Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns

Dongcheol Kima (Università di Milano-Bicocca, Milano)

ABSTRACT

This study contributes to the investigation of the macro-finance interface by assessing the economic content and risk-based interpretation of widely employed risk factors in the specification of empirical asset pricing models, i.e., Fama–French size and value, Carhart momentum, as well as the more recent Pastor–Stambaugh liquidity and Adrian–Etula–Muir leverage factors. Strong support for their risk-based interpretation, encompassing evidence on cause, persistence and direction of the size, value and momentum effects, and new insights on the specification of systematic risk, are provided.

Keywords: Macro-finance interface; Risk factors; Size, value, momentum, liquidity, volatility and leverage effects

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539814000619

翻译：殷曼琳