1048 ( ) 13 (1987) Balietal.(2005) Rol (1977) Rol (RolCritique) FamaandFrench (1993) Cahart(1997) Amihud (2002) Pol- letand Wilson (2010) Poletand Wil

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1 ( ) ChinaEconomicQuarterly Vol.13No.3 April2014 * Poletand Wilson (2010) ; ; ( ) Frenchetal. (1987) GARCH Campbel * ; ; ; ; zlzheng@ xmu.edu.cn ( ) ( ) ( ) ( )

2 1048 ( ) 13 (1987) Balietal.(2005) Rol (1977) Rol (RolCritique) FamaandFrench (1993) Cahart(1997) Amihud (2002) Pol- letand Wilson (2010) Poletand Wilson (2010) CampbelandViceira (2002) Poletand Wilson (2010) ( ) 1 Campebel(1987) Avramov (2002) ; ( ) ( )T+1 ( ) T+0 ) ; Poletand Wilson (2010) ;

3 Poletand Wilson (2010) Poletand Wilson (2010) Polet Wilson Poletand Wilson (2010) Poletand Wilson (2010) Poletand Wilson (2010) CampbelandViceira (2002) E t [R it+1 ]-R f t σ2 it γσimt. (1) R it+1 R f t+1 i σ 2 it i γ σimt i i ( ) σimt CAPM p R p E t [R p t+1]-r f t+1 + σ2 pt 2 γ (w p tvar t (R p t+1) + (1-w p v)cov t (R p t+1r ut+1 )). (2)

4 1050 ( ) 13 w p t p R ut+1 Poletand Wilson (2010) 1 p (N ) (M ) p w st w bt w st+w bt=1 R st+1 = irit+1 N β st = (R Covt it+1r mt+1) Var t (R mt+1 ). (3) R st+1 lim σ 2 st=ρ - stσ - 2 st σ st 2 ρ -st σ - 2 st N R bt+1 = jr jt+1 M β bt = (R Covt jt+1r mt+1) Var t (R mt+1 ). (4) R bt+1 lim σ 2 bt=ρ - btσ - 2 bt σ bt 2 ρ -bt σ - 2 bt 2 M 2 R mt+1 σ 2 mt; ε - szt+1 θstσ szt; 2 εit+1 (1-θst)σ 2 szt R mt+1 σ 2 mt; ε - bzt+1 θbtσ bzt; 2 εjt+1 (1-θbt)σ 2 bzt R mt+1 ( ) R mt+1 ε - szt+1 (ε - bzt+1) εit+1 R sit+1 =β strmt+1 +ε- szt+1 +εit+1. (5) R bj t+1 =β btrmt+1 +ε- bzt+1 +εjt+1. (6) 3 2 Poletand Wilson(2010) Cochrane(2005)

5 R st+1 =β strmt+1 +ε- szt+1. (7) R bt+1 =β btrmt+1 +ε- bzt+1. (8) w stβ st+w btβ bt A t Cov t (R st+1 R bt+1 )=β st β btσ2 mt. (9) R p t+1 = A tr mt+1 +w stε - szt+1 +w btε - bzt+1. (10) σ 2 pt = w 2 stσ 2 st +w 2 btσ 2 bt +2w stw btβ st β btσ 2 mt. (11) (2) R p t+1 R ut+1 R mt+1=w p tr p t+1+ (1-w p t)r ut+1 (10) R ut+1 = 1-w pta t R mt+1 - w ptw st ε - szt+1 - w ptw bt ε - bzt+1. (12) 1-w p t 1-w p t 1-w p t r p t+1 R ut+1 Cov t (R p t+1r ut+1 )= ( 1-w p ta t ) σ 2 mt - w ptw 2 stθst σ 2 szt - w ptw 2 btθbt 1-w p t 1-w p t σbzt. 2 1-w p t (13) (2) Var t (R p t+1) Cov t (R p t+1r ut+1 ) (11) (13) σ 2 szt σ 2 bzt σ 2 mt Poletand Wilson (2010) 4 σ - 2 st = Va t (R sit+1 )=β 2 stσ 2 mt +σ 2 szt. σ 2 szt ρ - stσ - 2 st = Cov t (R sit+1 R sj t+1)=β 2 stσ 2 mt +θstσ szt. 2 σ 2 szt = 1- ρ - st σ ( 1-θs t) - 2 st σ 2 mt = ρ- st -θst σ ( 1-θs t ) - 2 st. (14) β st σ - 2 bt = Va t (R bit+1 )=β 2 btσ 2 mt +σ 2 bzt σ - 2 bt ρ - btσ - 2 bt = Cov t (R bit+1 R bj t+1)=β 2 btσ 2 mt +θbtσ bzt. 2 σ 2 bzt = 1- ρ - bt σ ( 1-θb t) - 2 bt t 2 mt = ρ- bt -θbt σ ( 1-θb t ) - 2 bt. (15) β 2 bt 3 4 Poletand Wilson(2010)

6 1052 ( ) 13 (14) (15) (11) (13) (2) E t [R p t+1]-r f t+1 w stγ = (1-θst) - w2 st stσ ( ) - 2 w btγ β st 2 ρ- st + (1-θbt) β bt - w2 bt ( ) - wstγθst (1-θst) σ - 2 st - wbtγθbt β st (1-θbt) σ - 2 bt -w stw bt β bt 2 ρ- btσ - 2 bt 槡 - ρ st ρ -b tσ - stσ - bt ρ sbt. β st=β s β bt=β b θst=θsθbt =θb w st=w s w bt=w b - (E ( ρ st)e (σ - 2 st )E ( ρ -bt)e (σ - 2 bt )E ( ρ sbt)) E t [R p t+1]-r f t+1 μ+αρ - st +βρ - bt +γσ - 2 st +φα - 2 bt +θρ sbt. μ α β γ φ θ w st=1 w bt=0 p Poletand Wilson (2010) Poletand Wilson (2010) ( )

7 Poletand Wilson (2010) ( ) ST A (1) ; (2) 14 (3) ; ( ) Poletand Wilson (2010) ; ; 5 1. ; ; SAC t 5 [-11] [0 ] [- + ] Fisher

8 1054 ( ) 13 SAV t SAV t = 1 N t N t σ^2it i=1 N t 1 SAC t = N t (N t -1) i=1 j i ρ ij t. σ^2it i t ρ ijt i j t N t t BAC t BAV t 2. R st R bt (1) (2) (3) R p t=w sr st+ (1-w s )R bt w s 1/2 6 (4) SBC t 3. (1) Vassalou (2003) GDP GDP GDP GNI t (2) Chenaeal. (1986) Brennanetal. (2004) UI t=i t-ei t I t EI t I t CPI EI t I t AR (2) 6

9 UCPI t (3) 10 1 Harvey (1989) 30% 5% FamaandFrench (1989) Harvey (1991) QXYC t 4. R f t ( ) X t R st+1 -R f t+1 =α0 +α1sac T +εt R st+1 -R f t+1 =β 0 + β 0SAVt +εt R st+1 -R f t+1 =ω0 +ω1sac t +ω2sav t +εt R st+1 -R f t+1 =μ 0 + μ 1SACt + μ 2SAVt + μ3xt +εt. R p t+1 -R f t+1 =α0 +α1sac t +α2sav t +εt R p t+1 -R f t+1 =β 0 + β 1BACt + β 2BAVt +εt R p t+1 -R f t+1 =ω0 +ω1sac t +ω2sav t +ω3bac t +ω4bav t +εt R p t+1 -R f t+1 =γ0 +γ1sac t +γ2sav t +γ3bac t +γ4bav t +γ4sbc t +εt R p t+1 -R f t+1 =μ 0 + μ 1SACt + μ 2SAVt + μ 3BACt + μ 4BACt + μ 5SBCt. +μ 6Xt +εt.

10 1056 ( ) 13 ( ) ADF 7 1% 1 2 (1) (2) (3) ; ; 1 Rs SAC SAV SV UCPI GNI QXYC (7.07) (7.84) (0.03) (0.01) (7.14) (7.89) (0.16) (5.76) (6.05) (0.27) (8.61) (9.81) (2.20) (0.06) Rs (0.12) (0.07) (0.04) 0.08 SAC (0.21) (0.05) SAV (0.23) (0.05) SV (0.20) (0.06) UCPI (0.36) (0.02) GNI (0.11) QXYC

11 Rp SAC SAV SV BAC BAV BV SBC (7.07) (7.84) 0.02 (9.35) (12.0) (0.04) (7.14) (7.89) 0.01 (9.44) (12.1) (0.03) (5.76) (6.05) 0.23 (6.63) (8.77) 0.39 (0.14) 0.17 (8.61) (9.81) (0.12) (12.0) (14.3) (0.53) (0.06) (0.01) Rp 1.00 (0.12) (0.01) (0.01) (0.04) SAC (0.05) (0.13) 0.06 SAV (0.00) (0.11) (0.05) SVAR (0.03) (0.11) (0.08) BAC (0.21) BAV (0.12) UCPI GNI QXYC (1) (2) ( ) Ljung-BoxQ ; AR (p) ; AR (p) Q 8 ; AR (p) 9 ; 10 AR (p) 8 9 AR(p) SBC AR(2) (BAV) AR(2) AR(1) 10 R

12 1058 ( ) 13 ( ) RSAC t =α0 +α1rsav t +εt. RSAC t RSAV t AR LSAC t ( ) ARCH LM White ; Newey-West % 6.5% Poletand Wilson (2010) C LSAC RSAV RUCPI [0.052] [0.028] [0.029] [0.065] *** *** *** [-2.719] [-2.721] [-2.68] [1.02] [1.05] [1.03] [-0.02]

13 ( ) RGNI RQXYC [0.34] [1.05] Adj-R t ; * ** *** 10% 5% 1% ; % 6.2% ; 3 4 (T+1 ) C [-0.04] [-0.93] [-0.80] [-0.79] [-0.86]

14 1060 ( ) 13 ( ) (T+1 ) LSAC RSAV RBAC RBAV RSBC RUCPI RGNI RQXYC *** ** ** ** [-2.64] [-2.30] [-2.29] [-2.34] [1.06] [0.33] [0.32] [0.17] *** ** ** ** [3.02] [2.40] [2.33] [2.62] ** ** ** ** [-2.44] [-2.45] [-2.43] [-2.44] [-0.03] [0.33] [0.12] [0.04] * [1.64] Adj-R t ; * ** *** 10% 5% 1% 2 ; 10.3% 6.2% ; ;

15 ; 12.3% 3 ; 3 ; 4 5 ( ) 0.5 w s =0.6w b =0.4;w s =0.7w b =0.3 w s =0.8w b =0.2;w s =0.9w b = Poletand Wilson (2010) (1) (2) Poletand Wilson (2010) 11

16 1062 ( ) 13 (3) (4) (5) (6) [1] AmihudY. IliquidityandStockReturnsCross-SectionandTime-SeriesEfects Journalof Financial Market [2] AvramovD. StockReturnPredictabilityand ModelUncertainty Journalof FinancialEco- nomics [3] BaliT.CakiciN.X.Yanetal. DoesIdiosyncraticRiskRealy Mater Journalof Fi- nance [4] BrennanM.A.WangandY.Xia. EstimationandTestofASimple ModelofIntertemporal CapitalAssetPricing TheJournalof Finance [5] CampbelJ. StockReturnsandtheTermStructure Journalof FinancialEconomics [6] CampbelJ.ViceiraL.Strategic Asset Alocation.OxfordUniversityPress2002. [7] CarhartM. OnPersistencein MutualFundPerformance Journalof Financial [8] ChenN.F.R.RolandS.A.Ross. EconomicForcesandtheStock Market Journalof Business [9] ChordiaT.R.RolandA.Subrahmanyam. MarketLiquidityandTradingActivity The Journalof Finance [10]FersonandHarveyC.R. TheVariationofEconomicRiskpremiums TheJournalof Po- liticaleconomy [11]FamaE.F.and K.R.French. BusinessConditionsandExpected ReturnsonStocksand Bonds Journalof FinancialEconomics [12]FamaE.F.andK.R.French. CommonRiskFactorsintheReturnsonStocksandBonds Journalof FinancialEconomics

17 [13]FrenchK.andSchwertG. StambaughR.ExpectedStockReturnsandVolatility Jour- nalof FinancialEconomics [14]GlostenL.JagannathanR.andRunkleD. OntheRelationbetweentheExpectedValue andthevolatilityofthe NominalExcessReturnonStocks Journalof Finance [15]HarveyC. TheSpecificationofConditionalExpectation Journalof EmpiricalFinance [16]HarveyC.R.andA. Siddique.AutoregressiveConditionalSkewness Journalof Finan- cialand Quantitative Analysis [17]KalbergJ.andP.Pasquarielo. Time-Seriesand Cross-SectionalExcessComovementin StockIndexes Journalof EmpiricalFinance [18]MertonR. AnIntertemporalCapitalAssetPricing Model Econometrica [19]PindyckR.S.andJ.J.Rotemberg. TheComovementofStockPrices The Quarterly Jour- nalof Economics [20]PastorL.andR.F.Stambaugh. LiquidityRiskandExpectedStockReturns Journalof PoliticalEconomy [21]PoletJ.and M.Wilson AverageCorrelationandStock MarketReturns Journalof Finan- cialeconomics [22]RolR. A CritiqueoftheAssetPricingTheory stestsparti Journalof FinancialEco- nomics [23]VassalouM. NewsRelatedtoFutureGDPGrowthasARiskFactorinEquityReturns Jour- nalof FinancialEconomics [24]ZhengZ. InformationContentofFinancialAssetPricesA NewPerspectonFinancialStudy Economists (inChinese) [25]ZhengZ. TheImpliedInformationofFinancialAssetsPricesGoalsApproachesandApplica- tions EconomicsInfomation (inChinese) AverageCorrelationandSystematicRisk Evidencefrom ChineseMarket ZHENLONG ZHENG * YANGSHU LIU (Xiamen University) WEINING WANG (IndustrialBank CO.LTD.) Abstract ThisarticleextendsthejobinPoletand Wilson (2010).Byelaboratingtheir modelwederivedeepinsightintorelationshipbetweenriskpremiumandaveragecorrelation * Corresponding AuthorDepartmentofFinanceXiamen UniversityXiamen361005China;Tel ; zlzheng@xmu.edu.cn.

18 1064 ( ) 13 ofdiferentsub-markets.inempiricalstudywefindthatinchinatheaveragecorrelationof bothstockmarketandbondmarketcontainusefulinformationrepresentingsystematicrisk whilethevariationofthestock marketdoesnot.thecorrelationbetweenstocksandbonds howeverisnotpricedsignificantly.anothersurprisingfindingisthattheinvestorsinchi- nesestockmarketareriskseekingwhilethoseonthechinesebond marketareriskaver- sion. JELClasification G12G11G14

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