关键词: 条件资产定价 , 风险因子 , 宏观经济状态

Abstract: To characterize the timevarying nature of asset pricing factors with macroeconomic conditions, this paper investigates how economic growth and inflation affect asset pricing models in Chinese market. We find that the asset pricing model conditional on macroeconomic conditions can significantly improve the explanatory power of the traditional CAPM model, and its pricing power is even better than that of the multifactor model. Further studies show that macroeconomic factors affect asset prices through two dimensions. First, most assets are more sensitive to market risks during the recession period, and their market betas are greater than those during recovery and overheating periods. Second, the mean and volatility of the marker betas of small market capitalization companies are greater than that of large companies, so small companies are riskier in the recession.

Key words: conditional asset pricing model  , risk factors , macroeconomic conditions