A Literature Review on the Impact of Macroeconomic Expectations on Equity Risk Premium
DOI:
https://doi.org/10.54097/p68szh73Keywords:
Macroeconomic Expectations, Equity Risk Premium, Asset Pricing, Textual Analysis, Large Language Models.Abstract
This paper systematically reviews domestic and foreign literature on the correlation between macroeconomic expectations and equity risk premium, sorting out their definitions, measurement methods, transmission channels, heterogeneous characteristics and cutting-edge research. Macroeconomic expectations affect equity risk premium through three major channels: corporate earnings, discount rate, as well as uncertainty and risk appetite, while research conclusions diverge due to different measurement approaches and market environments. The measurement tools of core variables have evolved from traditional surveys and macro proxies to text mining and large language models. Current studies are limited by inconsistent measurement criteria, insufficient identification of transmission mechanisms and shallow application of artificial intelligence. Future research shall promote integrated and standardized indicators, refine channel identification, conduct localized analysis based on China’s capital market, and deepen the application of large language models in asset pricing, so as to provide theoretical support for market investment, policy expectation management and financial stability.
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