中文摘要：

首先,基于CCAPM分析框架推导出股票预期超额收益变动与消费者宏观经济预期之间的关系;然后,以此为基础构建了包括消费者宏观经济预期因子在内的实证方程;最后,利用面板协整的DOLS估计方法进行了实证分析。结果表明,投资者的宏观经济预期变动对股票收益具有显著的正向影响,同时结合媒体的信息传播作用论证了投资者宏观经济预期变动对股票收益的影响。

英文摘要：

In this paper,firstly,the authors use the CCAPM＇s analysis framework of Robert Lucas and Lagerwall to derivate the relation between expect stock excess return＇s change and consumers＇ macro economy expect;secondly,they establish the equation of empirical study including consumers＇ macro economy expect factor based on the conclusion above;and the authors implement the empirical study by using panel cointegration method DOLS,the conclusion is that consumers＇ macro economy expect significantly and positively affect expect stock excess return＇s change.Combining with the role of media information dissemination,the authors demonstrates that the change of investors macroeconomic expectations have a contagious effect on stock returns.