本文致力于探讨宏观信息对股票收益的定量研究。对于宏观信息 与股票收益的关系，国外学者做过大量的实证检验，并开发出了一套 完备的回归分析 模型和检验方法。本文借鉴列国外学者成熟的研究方 法，并在此基础上，根据中国证券市场的实际情况进行了相应的调整， 在变量筛选和转换，参数的设置上进行改进，以求研 究成果更加符合 中国的国情。 本文对宏观变量数据集的处理方法，借鉴了乔治亚·科纳和罗伯 特·克莱茨（1985）的研究成果《收益衡量中的无套利定价原则：一种 新的分析 方式》。沿用乔治亚·科纳和罗伯特·克莱茨（1985）设计的 无套利定价原则，本文对宏观数据集进行了无套利定价原则下的回归 分析，并且通过方差分析的方法，对股票收益 构成进行分解，对比引 入宏观变量前后的股票收益构成。研究结果发现，引入宏观变量并没 有对股票收益构成产生实质性的影响。本文同样对股票的超额收益进 行了回归分析， 采用的方式和股票总收益的研究方式相同，研究结果 也和上述实验相似。 研究结果显示，引入宏观变量的回归分析模型，对比与无宏观变 量的回归分析模型，并没有在股票收益 的构成分解中产生显著性的影 响。研究的这一结果有两种可能的解释，首先是本文对于变量的估计 与转换存在误差，导致对于变量的回归分析结果无法完全反映实际的 宏观情况 。另一种可能的解释是，中国股票收益与本文中选取的宏观 变量并无显著的相关性，如果宏观变量确实对股票收益产生影响，那 么则有可能具有显著影响的变量并为被纳入本文 中。 关键词：宏观经济与股票收益，收益分解，股票收益预测 MACROECONOMIC VARIABLES AND COMPONENT OF CHINESE STOCK RETURN ABSTRACT This paper is devoted to the research method of quantitative research on the impact of macro information on stock returns. For the relationship between macro information and stock returns, foreign scholars have done a lot of empirical tests and developed a complete set of empirical test methods. The relevant macro-data were screened and transformed according to the actual situation of China's macro-variables. In order to achieve more research results in line with China's national conditions. In this paper, we use the research results of Gregory Connor and Robert Korajczyk (1985) for reference in dealing with macro-variable panel set, the principle of no-arbitrage pricing in income measurement: a new analysis method. Based on the no-arbitrage pricing principle designed by Gregory Connor and Robert Korajczyk (1985), the regression analysis of macro-data panel set is carried out in order to meet the hypotheses of the model and the corresponding test criteria. This paper also carries on the regression analysis to the excess return of the stock, and adopts the same research method as the stock return. The results show that there is no significant correlation between China's macro data variables and China's stock return. There are two possible explanations for this result. First, we have errors in estimating and transforming variables, which leads to inaccurate regression analysis of variables. Secondly, another possibility is that there is no significant correlation between stock returns and the macro variables selected in this paper. In order to confirm this conclusion, more scholars with academic experience and academic strength are needed to conduct relevant research 和 analysis. We also hope that the prediction of stock returns can be better applied in future fundamental analysis. KEY WORDS: macroeconomy and stock return, Return decomposition, Stock return predictability 目 录 前 言 ...................................................................................................................................................... 1 第一 章 绪论........................................................................................................................................... 2 1.1 研究 背景与意义 ......................................................................................................................... 2 1.1.1 研究背景 ......................................................................................................................... 2 1.1.2 研究意义 ......................................................................................................................... 2 1.2 研究方法与论文框架 ................................................................................................................. 3 1.2.1研究内容 .......................................................................................................................... 3 1.2.2研究方法 .......................................................................................................................... 3 1.2.3 论文结构 ......................................................................................................................... 4 第二章 相关概念与文献综述 ............................................................................................................... 6 2.1 相关概念 .................................................................................................................................... 6 2.1.1 现金流 ............................................................................................................................. 6 2.1.2 折现率 ............................................................................................................................. 6 2.1.3 股利增长率 ..................................................................................................................... 7 2.1.4 股利价格比率和股利收益率 ......................................................................................... 7 2.2 文献综述 .................................................................................................................................... 7 2.2.1股票预期收益的研 究现状 .............................................................................................. 7 2.2.2 资产定价模型研究现状介绍 ......................................................................................... 8 2.2.3 股票超额收益的影响因素 ............................................................................................. 9 2.2.4 国内学者研究综述 .......................................................................... 错误!未定义书签。 第三章 理论概述 ................................................................................................................................. 11 3.1 收益分解模型 .......................................................................................................................... 11 3.2 VAR模型 ............................................................................................................................... 12 第四章 宏观经济变量与公共 因素估计 ............................................................................................. 14 4.1 宏观经济变量 .......................................................................................................................... 14 4.2 宏观经济数据处理与转换 ...................................................................................................... 14 4.3 宏观经济公共因素估计 .......................................................................................................... 14 第五章 股票市场收益和宏观变量 ..................................................................................................... 19 5.1 研究方法 .................................................................................................................................. 19 5.1.1 股票收益 ....................................................................................................................... 19 5.1.2 方差分析 ....................................................................................................................... 20 5.2 VAR估计 .................................................................................................................................. 23 5.3 方差分析 ............................................................................................................