We use a stock's returns on days when important macroeconomic news is released to form a hedge portfolio, which is long (short) in stocks which have a sensitive (insensitive) reaction to the surprise component of the macroeconomic news. This macroeconomic hedge portfolio (MHP) earns a risk premium of about 5% p.a. over time and a similar premium when used as a risk factor in an asset pricing model. This premium can be interpreted as a cost of an insurance against unexpected changes in an investor's marginal utility. We show that risk premiums associated with the MHP are estimated with a higher precision than traditional macroeconomic tracking portfolios. Furthermore, when the MHP is present in a common factor model, risk factors like high minus low lose much of their ability to explain the cross section of stock returns.

中文翻译：

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宏观经济对冲投资组合和股票收益的横截面

当重要的宏观经济新闻发布时，我们使用股票的收益来形成对冲投资组合，该组合是对宏观经济新闻的意外部分具有敏感（不敏感）反应的股票的多头（空头）。这种宏观经济对冲投资组合（MHP）随时间推移每年可获得约5％的风险溢价，当用作资产定价模型中的风险因素时，也具有相近的溢价。该溢价可以解释为针对投资者的边际效用发生意外变化的保险费用。我们表明，与MHP相关的风险溢价的估算精度要高于传统的宏观经济跟踪投资组合。此外，当MHP存在于一个公共因子模型中时，诸如高减低之类的风险因子就失去了许多解释股票收益横截面的能力。