寻找跨资产定价的共振系数：如何择时股债对冲效率

1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints of the Report - Since 2025, the stock - bond relationship has shifted from a significant "seesaw" to "desensitization." The "seesaw" in the first half of 2025 was due to risk - asset price comparison and valuation re - pricing, while the weakening of the linkage in the second half was a natural result of the bond market returning to range - bound trading under low - interest - rate constraints [5][8]. - The change in the stock - bond correlation intensity significantly affects the hedging efficiency of stock - bond portfolios. The absolute value of the stock - bond correlation varies in line with the dividend yield trend. When the dividend yield is rising or at a high level, the stock - bond linkage is stronger [5][9]. - The current weak - correlation "desensitized" state of stocks and bonds is likely to continue, and there is no basis for the stock - bond linkage intensity to strengthen trendily in the next six months. The portfolio construction of fixed - income plus and multi - asset portfolios should reduce the single - dependence on "stock - bond hedging" [5][38]. 3. Summary According to the Directory 3.1. Determine the Association Direction: DDM as the Common Starting Point for Stock - Bond Pricing - Historically, the stock - bond relationship has mostly shown a "seesaw" pattern, but with different driving logics in different periods. From the DDM pricing model perspective, both stocks and bonds are discounted assets, and their relationship evolution depends on whether the price fluctuations are driven by the numerator (earnings expectations) or the denominator (discount rate) [10][13]. - When the numerator (earnings expectations) is dominant, the stock - bond correlation is usually low and unstable. When the denominator (discount rate) is dominant, the stock - bond linkage is more obvious, and the direction of the linkage depends on the marginal dominant factor of the denominator [13][14]. - In 2025, the actual market performance deviated from the theoretical "stock - bond double - bull" pattern. The bond market lacked core drivers, while the equity market had a structural bull market with resonance between the numerator and the denominator [15][17]. 3.2. Resonance Coefficient of Cross - Asset Pricing: Risk Premium Determines the Association Intensity 3.2.1. Stock - Bond Linkage Intensity Varies with Risk Premium - The absolute value of the stock - bond correlation changes in line with the dividend yield trend. When the dividend yield is high, the stock - bond linkage is stronger; when it is low, the relationship tends to be weakly correlated. This pattern is also valid when using real interest rates instead of nominal interest rates, indicating its robustness [23][27]. - Grouping trading days by the rolling quantiles of the Wande All - A dividend yield shows that in the high - dividend - yield group, the stock - bond linkage is tighter, while in the low - dividend - yield group, the relationship is more weakly correlated. This difference has become more obvious in recent years [26]. 3.2.2. Theoretical Explanation Based on Consumption Asset Pricing - From the perspective of consumption asset pricing, the stock - bond linkage strength measures the "resonance amplitude" of the two assets to the same set of macro and risk shocks. Risk premium acts as a "resonance coefficient," and higher risk aversion leads to a larger "resonance amplitude" of stocks and bonds to common shocks [31]. - Using ERP as a proxy for risk premium also shows a similar pattern, but dividend yield is preferred to reduce endogeneity concerns [31]. 3.2.3. Further Decomposition of the Dividend Yield Signal: Cycles and Consumption are More Critical - Decomposing the risk premium into five sectors of the CITIC Style Index shows that the dividend yields of each sector generally resonate with the stock - bond linkage strength. The dividend yields of the cycle and consumption sectors have a higher frequency of resonance with the stock - bond linkage strength and may have certain forward - looking signals [35]. - The dividend yields of the finance and stable sectors may deviate from the stock - bond linkage strength in some periods because they have a certain substitution relationship with bonds and carry mixed information [37]. 3.3. Weak Correlation May Continue: How to Respond to Asset Allocation? - The current weak - correlation "desensitized" state of stocks and bonds is likely to continue, as the risk premium is falling, and the bond market is in a range - bound trading under low - interest - rate constraints [38]. - The stock - bond - commodity adjustment since January 30, 2026, is considered a short - term adjustment. The real trigger for the increase in the linkage intensity is the upward trend of the risk premium [41]. - For fixed - income plus and multi - asset portfolios, the weak stock - bond correlation means low hedging efficiency. Portfolio construction should reduce the single - dependence on "stock - bond hedging" and focus on duration structure, curve allocation, and variety diversification [42].