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

摘要： 为刻画资产定价因子随宏观经济状态时变性，本文通过经济增长和通货膨胀两个指标定义经济状态，建立宏观经济状态下的条件资产定价模型。研究发现在中国资本市场上此模型能够显著改进CAPM模型的效力，其定价效力甚至优于多因子模型。进一步研究表明，宏观经济通过两个维度影响资产价格：第一，多数资产在衰退时期对市场风险更敏感，其代表市场因子的贝塔系数大于复苏与过热阶段；第二，小市值公司的贝塔系数均值及波动性大于大公司，在经济衰退时承担更高的风险收益。

关键词: 条件资产定价 , 风险因子 , 宏观经济状态