Real‐Time Risk Pricing Over the Business Cycle: Some Evidence for the UK
利用实时宏观经济数据集，在套利定价理论框架下评估不同版本经济数据对英国股票收益的影响，发现只有实时测量的未预期通胀和经济不确定性能影响预期股票收益，且这种影响仅在商业周期的特定阶段存在。
Abstract: The fully‐revised data typically utilized in empirical research do not reflect the true information available to financial market participants at the time of their decision‐making. This paper uses a new real‐time macroeconomic dataset to appraise the relative importance of different vintages of data on economic variables as determinants of UK stock returns using the framework of Arbitrage Pricing Theory. We find that two factors influence expected stock returns, namely unanticipated inflation and economic uncertainty, but only when measured in real‐time. Moreover, their pricing influence is only present during phases of the business cycle when their associated risks are at their most prevalent.