The claim by Liu and Matthies (LM) that their macro news risk factor (NI) prices 51 portfolios (associated with four different portfolio groups) is not appropriate. In fact, their single-factor model is successful only in explaining the momentum deciles, while producing strongly negative performance for the remaining groups. The pricing performance is more doubtful in the case of the alternative news factor (HNI), as the respective risk price is not identified. LM's conclusions stem from a combination of questionable empirical choices and misinterpretation of their results. Moreover, the NI model cannot explain prominent capital asset pricing model anomalies not considered in their study.

中文翻译：

---

长期风险真的有定价吗？重温刘和马蒂斯 (2022)


Liu 和 Matthies (LM) 声称他们的宏观新闻风险因子 (NI) 对 51 个投资组合（与四个不同的投资组合组相关）进行定价，这一说法并不恰当。事实上，他们的单因素模型仅成功地解释了动量十分位数，同时对其余群体产生了强烈的负面影响。在另类新闻因素（HNI）的情况下，定价表现更值得怀疑，因为相应的风险价格尚未确定。 LM 的结论源于可疑的经验选择和对其结果的误解的结合。此外，NI 模型无法解释其研究中未考虑的突出资本资产定价模型异常现象。