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This paper introduces the market framing bias (MFB): a framing effect that affects the return-risk tradeoff under different frameworks of aggregate market losses and profits, which is measured by the absolute difference between betas in the rising and falling markets. The paper finds that the MFB can predict lower future stock return on the cross-section. Specifically, after controlling for various firm-specific characteristics, this predictive power of the FMB declines over time. Furthermore, the predictive power of the FMB is stable in the short term even after controlling for various pricing factors and firm-specific characteristics.本文提出市场框架偏差（market framing bias, MFB）：一种在整体市场盈亏的不同框架下对收益-风险权衡产生影响的框架效应，其测算方式为上涨市场与下跌市场中贝塔系数的绝对差值。本文发现，MFB可在横截面维度上预测未来较低的股票收益。具体而言，在控制了各类公司特质因素后，MFB的预测能力会随时间推移逐渐减弱。此外，即便在控制了各类定价因子与公司特质因素后，MFB的预测能力在短期内仍保持稳定。