Asset prices are commonly believed to react sensitively to economic news. Daily experience seems to support the view that individual asset prices are influenced by a wide variety of unanticipated events and that some events have a more pervasive effect on asset prices than do others. Consistent with the ability of investors to diversify, modern financial theory has focused on pervasive, or “systematic,” influences as the likely source of investment risk. ^(1){ }^{1} The general conclusion of theory is that an additional component of long-run return is required and obtained whenever a particular asset is influenced by systematic economic news and that no extra reward can be earned by (needlessly) bearing diversifiable risk. 一般認為資產價格對經濟新聞反應敏感。日常經驗似乎支持這樣的觀點：個別資產價格會受到各式各樣未預期事件的影響，而且有些事件對資產價格的影響比其他事件更為普遍。與投資者分散投資的能力相一致，現代金融理論側重於普遍性或「系統性」影響，將其視為投資風險的可能來源。 ^(1){ }^{1} 理論的一般結論是，每當特定資產受到系統性經濟消息的影響時，就需要並獲得長期報酬的額外部分，而（不必要地）承擔可分散的風險，就無法獲得額外的報酬。
This paper tests whether innovations in macroeconomic variables are risks that are rewarded in the stock market. Financial theory suggests that the following macroeconomic variables should systematically affect stock market returns: the spread between long and short interest rates, expected and unexpected inflation, industrial production, and the spread between high- and lowgrade bonds. We find that these sources of risk are significantly priced. Furthermore, neither the market portfolio nor aggregate consumption are priced separately. We also find that oil price risk is not separately rewarded in the stock market. 本論文測試宏觀經濟變數的創新是否是股票市場報酬的風險。金融理論認為，下列宏觀經濟變數應該會系統性地影響股票市場的報酬：長短期利率的差異、預期與意外的通貨膨脹、工業生產，以及高等級與低等級債券的差異。我們發現這些風險來源都被大幅定價。此外，市場組合和總體消費都沒有被單獨定價。我們還發現，石油價格風險在股票市場中沒有被單獨報酬。
The theory has been silent, however, about which events are likely to influence all assets. A rather embarrassing gap exists between the theoretically exclusive importance of systematic “state variables” and our complete ignorance of their identity. The comovements of asset prices suggest the presence of underlying exogenous influences, but we have not yet determined which economic variables, if any, are responsible. 然而，這套理論對於哪些事件可能會影響所有資產卻隻字不提。理論上系統性「狀態變數」的重要性是不容置疑的，但我們卻完全不知道這些變數的身分，這兩者之間存在著令人尷尬的差距。資產價格的連動性顯示了潛在的外在影響因素，但我們尚未確定是哪些經濟變數（如果有的話）造成的。
Our paper is an exploration of this identification terrain. In Section II, we employ a simple theoretical guide to help choose likely candidates for pervasive state variables. In Section III we introduce the data and explain the techniques used to measure unanticipated movements in the proposed state variables. Section IV investigates whether exposure to systematic state variables explains expected returns. As specific alternatives to the pricing influence of the state variables identified by our simple theoretical model, Section IV considers the value- and the equally weighted market indices, an index of real consumption, and an index of oil prices. Each of these is found to be unimportant for pricing when compared with the identified economic state variables. Section V briefly summarizes our findings and suggests some directions for future research. 我們的論文是對這個識別領域的探索。在第二節中，我們使用簡單的理論指導來幫助選擇可能的候選普遍狀態變數。在第三節中，我們將介紹資料，並解釋用來衡量所建議的狀態變數的非預期變動的技術。第四節將探討系統性狀態變數的風險是否能解釋預期報酬率。第 IV 節考慮了價值指數、等權市場指數、實際消費指數和油價指數，作為我們簡單理論模型 所識別的狀態變數對定價影響的特定替代方案。我們發現，與已識別的經濟狀態變數相比，這些變數對於定價都不重要。第五節簡要總結我們的發現，並提出一些未來研究的方向。
II. Theory II.理論
No satisfactory theory would argue that the relation between financial markets and the macroeconomy is entirely in one direction. However, stock prices are usually considered as responding to external forces (even though they may have a feedback on the other variables). It is apparent that all economic variables are endogenous in some ultimate sense. Only natural forces, such as supernovas, earthquakes, and the like, are truly exogenous to the world economy, but to base an assetpricing model on these systematic physical factors is well beyond our current abilities. Our present goal is merely to model equity returns as functions of macro variables and nonequity asset returns. Hence this paper will take the stock market as endogenous, relative to other markets. 任何令人滿意的理論都不會認為金融市場與宏觀經濟之間的關係完全是單向的。然而，股票價格通常被認為是對外力的回應（儘管它們可能對其他變數有反饋作用）。很明顯，所有的經濟變數在某種終極意義上都是內生的。只有自然力量，例如超新星、地震等，才是世界經濟真正的外生因素，但要根據這些系統性的物理因素來建立資產定價模型，遠遠超出了我們目前的能力範圍。我們目前的目標只是將股票報酬率建模為宏觀變數和非股票資產報酬率的函數。因此，相對於其他市場，本文將把股票市場視為內生市場。
By the diversification argument that is implicit in capital market theory, only general economic state variables will influence the pricing of large stock market aggregates. Any systematic variables that affect the economy’s pricing operator or that influence dividends would also influence stock market returns. Additionally, any variables that are necessary to complete the description of the state of nature will also be part of the description of the systematic risk factors. An example of such a variable would be one that has no direct influence on current cash flows but that does describe the changing investment opportunity set. 根據資本市場理論所隱含的分散化論點，只有一般的經濟狀態變數會影響大型股票市場總體的定價。任何影響經濟定價運算或影響股利的系統變數也會影響股票市場的回報。此外，任何完成自然狀態描述所需的變數，也會成為系統風險因素描述的一部分。這類變數的一個例子是，對目前現金流量沒有直接影響，但卻能描述不斷變化的投資機會集。
V. Conclusion V.結論
This paper has explored a set of economic state variables as systematic influences on stock market returns and has examined their influence on asset pricing. From the perspective of efficient-market theory and rational expectations intertemporal asset-pricing theory (see Cox et al. 1985), asset prices should depend on their exposures to the state variables that describe the economy. (This conclusion is consistent with the asset-pricing theories of Merton [1973], Cox et al. [1985], or the APT [Ross 1976].) 本文探討了一系列經濟狀態變數對股票市場回報的系統性影響，並研究了這些變數對資產定價 的影響。從有效市場理論和理性預期跨期資產定價理論 (見 Cox 等 1985) 的觀點來看，資產價格應該取決於其對描述經濟的狀態變數的暴露程度。(這個結論與 Merton [1973]、Cox 等人 [1985] 或 APT [Ross 1976] 的資產定價理論一致）。
In Part II of this paper we used simple arguments to choose a set of economic state variables that, a priori, were candidates as sources of systematic asset risk. Several of these economic variables were found to be significant in explaining expected stock returns, most notably, industrial production, changes in the risk premium, twists in the yield curve, and, somewhat more weakly, measures of unanticipated inflation and changes in expected inflation during periods when these variables were highly volatile. We do not claim, of course, that we have exhaustively characterized the set of influential macro variables, but the set that was chosen performed well against several other potential pricing variables. Perhaps the most striking result is that even though a stock market index, such as the value-weighted New York Stock Exchange index, explains a significant portion of the time-series variability of stock returns, it has an insignificant influence on pricing (i.e., on expected returns) when compared against the economic state variables. We also examined the influence on pricing of exposure to innovations in real per capita consumption. These results are quite disappointing to consumption-based asset-pricing theories; the consumption variable was never significant. Finally, we examined the impact of an index of oil price changes on asset pricing and found no overall effect. 在本文的第二部分，我們使用簡單的論據來選擇一組經濟狀態變數，這些變數先驗地可作為系統性資產風險的來源。在這些經濟變數中，有幾個變數被發現在解釋預期股票回報方面有顯著的作用，其中最顯著的是工業生產、風險溢價的變化、收益曲線的曲折，以及在這些變數高度波動期間，對未預期通貨膨脹和預期通貨膨脹變化的測量，其作用略微弱一些。當然，我們並沒有聲稱我們已經窮盡了所有有影響力的宏觀變數，但是我們選擇的這組變數在與其他幾個潛在定價變數的比較中表現良好。或許最引人注目的結果是，即使股票市場指數（如價值加權的紐約證券交易所指數）解釋了股票回報時間序列變化的很大一部分，但與經濟狀態變量相比，它對定價（即預期回報）的影響並不顯著。我們也檢視了實際人均消費創新對定價的影響。這些結果讓以消費為基礎的資產定價理論相當失望；消費變數從來都不顯著。最後，我們檢視了石油價格變動指數對資產定價的影響，發現整體上沒有影響。
Our conclusion is that stock returns are exposed to systematic economic news, that they are priced in accordance with their exposures, and that the news can be measured as innovations in state variables whose identification can be accomplished through simple and intuitive financial theory. 我們的結論是，股票回報會受到系統性經濟新聞的影響，股票回報會依據其受影響程度來定價，而新聞可以量度為狀態變數的創新，其識別可以透過簡單直覺的金融理論來完成。
References 參考資料
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The authors are grateful to their respective universities, to the Center for Research in Security Prices, to the National Science Foundation for research support, and to Ceajer Chan for computational assistance. The comments of Bradford Cornell, Eugene Fama, Pierre Hillion, Richard Sweeney, and Arthur Warga were most helpful, as were the comments of participants in workshops at Claremont Graduate School, Stanford University, the University of Toronto, the University of California, Irvine, the University of Alberta, the University of Chicago, and unknown referees. The University of British Columbia provided a stimulating research environment where part of the first revision was written during August 1984. 作者感謝他們各自的大學、安全價格研究中心 (Center for Research in Security Prices)、國家科學基金會 (National Science Foundation) 的研究支援，以及 Ceajer Chan 的計算協助。Bradford Cornell、Eugene Fama、Pierre Hillion、Richard Sweeney 和 Arthur Warga 的意見，以及 Claremont Graduate School、Stanford University、University of Toronto、University of California、Irvine、University of Alberta、University of Chicago 研討會參加者和未知審稿人的意見，都對本文大有幫助。英屬哥倫比亞大學提供了一個令人振奮的研究環境，1984 年 8 月在此撰寫了第一次修訂的部分內容。
For example, the APT (Ross 1976) and the models of Merton (1973) and Cox, Ingersoll, and Ross (1985) are consistent with this view. 例如，APT (Ross 1976) 和 Merton (1973) 及 Cox、Ingersoll 和 Ross (1985) 的模型都符合這個觀點。