【摘要】 本文采用同期贝塔法探究中国市场上方差风险溢酬和偏度风险溢酬对市场收益率的预测效果。针对Pyun (2019)的模型只考虑方差风险的缺陷及其在中国市场应用时效果不佳的问题，本文在其基础上引入偏度风险，通过模型建立市场预期收益率与方差风险溢酬和偏度风险溢酬之间的理论关系，并拓展原始的同期贝塔法。实证结果显示，在同期贝塔法框架下，比起只考虑方差风险或偏度风险，同时考虑这两种风险可以大大提高对市场收益率的预测效果。更多还原

【Abstract】 Using contemporaneous beta approach, we try to explore the prediction performance of variance risk premium(VRP) and skewness risk premium(SRP) for Chinese stock market return. In response to the shortcoming of Pyun(2019)’s model and its poor performance in China, we incorporate skewness risk to variance risk and derive a model to theoretically link expected market return with VRP and SRP. Empirical results show that under the framework of contemporaneous beta approach, incorporating both variance and skewness risk can greatly improve the prediction performance on market return, compared with incorporating only one of them.更多还原