Macrofundamental shocks are widely recognized as an important source of stock market volatili-ty.However,there is a relative lack of research exploring their impact on stock excess returns in the Chinese market from the perspective of macroeconomic uncertainty.This paper utilizes multi-indicator data on China's macroeconomics and finance to construct an index of China's macroeconomic uncertainty from 2002 to 2022.It examines the impact of the uncertainty on the excess returns of A-share stocks.The empirical results show a significant negative premium for macroeconomic uncertainty exposure,i.e.,stocks with negativemacroeco-nomic uncertainty betas have higher future excess returns.However,this premium varies for stocks of differ-ent equity nature,size,and industry,and is more pronounced in periods of economic downturn relative to periods of economic upturn,highlighting the heterogeneity and state-dependence of the macroeconomic un-certainty premium.This research has theoretical and practical value for understanding the impact of macro-economic uncertainty on the stock market and constructing corresponding asset portfolios to cope with macro uncertainty shocks.
macroeconomic uncertaintystock returnsuncertainty premiumexcessive rate of returnportfolio
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万方数据
