【摘要】 本文提出牛市风险这一概念，将其定义为牛市概率的变化，并探究其是否被定价.由于期权市场上的牛市价差组合反映投资者对未来牛市概率的风险中性预期，本文以该组合的短期收益率来度量牛市风险.这种度量方式属于隐含信息法，更符合风险的事前属性，可以避免用历史数据估计时存在的比索问题.在用中国的股票和期权数据进行实证时，发现在中国市场上牛市风险不能被传统的因子模型所解释.此外，个股对牛市风险的暴露，即牛市贝塔，与其未来的收益率之间存在显著且稳健的正向关系，表明牛市风险在横截面上被定价.更多还原

【Abstract】 This paper proposes the concept of bull market risk, i.e., the time variation in the probability of a future bull market state, and explores whether it is priced. Since a bull spread option portfolio reflects investors’ ex-ante expectations about future bull market risk-neutral probability, its short-term return is used to measure bull market risk. This measurement, which belongs to the implied information method, aligns more closedly with the ex-ante attributes of risk and can avoid the Peso problem by using historical data. Based on China’s stock and option market data, the paper finds that bull market risk cannot be explained by traditional factor models. What’s more, an individual stock’s exposure to bull market risk, which is defined as bull beta, has a significantly robustly positive relation with its future return, indicating that bull market risk is priced in the cross-section.更多还原