中文摘要：

本文基于Kelly和Jiang（2014）的方法，实证测度了我国A股市场1997～2014年间的月度极端风险水平；在此基础上，我们考察了个股极端风险载荷与其预期收益率之间的关系，并考察了股票市场极端风险对经济基本面的影响。结果显示，我国股票市场极端风险具有时变性和持续性，但其持续性远低于美国；个股的极端风险载荷是显著影响其预期收益率的一个因素，横截面个股极端风险载荷越大，其预期收益率就越高；基于极端风险载荷构造的十序位分组投资组合（持有一个月）的最高和最低组之间存在显著的平均收益率之差（年化收益率约为16%），剔除风险后仍然存在（年化收益率约为13％）；而且，股票市场极端风险变化的正向冲击显著地负面影响未来实体经济的效率。

英文摘要：

We estimate the A-share stock market＇s disaster risk from 1997 to 2014 using the method of the Kelly and Jiang（2014）. Then we examine the relationship between the individual stock＇s disaster risk loading and its expected return, and analyze the impact of disaster risk＇s shock on the economic fundamentals. Our results show that, the Chinese stock market＇s disaster risk is time-varying and persistent, but less persistent than USA＇s; and individual stock＇s disaster risk loading is a significant influence factor of the expected return, i. e. , the higher the disaster risk loading, the higher the expected return; stocks are sorted into quintile portfolios based on their es timated disaster risk loadings, then stocks in the highest tail risk loading quintile earn value-wei ted average annual returns 16% higher than stocks in the lowest quintile, and about 13% after gh ad justing the risk factors; and the unexpected shock of the stock market＇s disaster risk significantly influences the future economic efficiency