本文關(guān)鍵詞：基于分位數(shù)決策理論的資產(chǎn)定價(jià)研究　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股權(quán)收益率溢價(jià) 分位數(shù)決策理論 非對(duì)稱偏好 廣義矩估計(jì)

【摘要】：資產(chǎn)定價(jià)的核心是要把未來不確定或者確定的收益通過隨機(jī)折現(xiàn)因子(SDF)將其折現(xiàn)為現(xiàn)在的價(jià)格,基于消費(fèi)的資產(chǎn)定價(jià)(C-CAPM)就是用消費(fèi)的效用構(gòu)造出折現(xiàn)因子,而在標(biāo)準(zhǔn)的效用函數(shù)的設(shè)定下,C-CAPM不能解釋有關(guān)資產(chǎn)定價(jià)的“股權(quán)收益率溢價(jià)之謎”、“無風(fēng)險(xiǎn)收益率之謎”等問題。因此,一些學(xué)者從效用的設(shè)定上入手,假設(shè)人們對(duì)消費(fèi)的減少更為敏感,且敏感程度超過了邊際效用遞減帶來的程度,從而采用非對(duì)稱偏好的效用函數(shù),使定價(jià)模型與市場數(shù)據(jù)較為吻合。 本文也采用非對(duì)稱偏好的效用函數(shù),從一個(gè)簡單的方向上認(rèn)為人們直接關(guān)注消費(fèi)的下行風(fēng)險(xiǎn),即消費(fèi)者關(guān)注其效用的分布的某一個(gè)分位數(shù),則該分位數(shù)值可直接用于衡量消費(fèi)者對(duì)風(fēng)險(xiǎn)的厭惡程度,進(jìn)而得出分位數(shù)效用決策下的資產(chǎn)定價(jià)模型。 本文第二章提出并討論了分位數(shù)效用函數(shù)下的資產(chǎn)定價(jià)模型,并對(duì)模型的有效性與標(biāo)準(zhǔn)效用模型進(jìn)行了對(duì)比分析。 本文第三章分別利用美國消費(fèi)數(shù)據(jù)和資本市場數(shù)據(jù),采用與分位數(shù)回歸相結(jié)合的廣義矩估計(jì)方法,對(duì)模型的參數(shù)進(jìn)行了估算,進(jìn)而得到了較為合理的風(fēng)險(xiǎn)厭惡參數(shù)和跨期替代彈性參數(shù)值。由于中國的市場數(shù)據(jù)的時(shí)期較短,因此本文在增加假設(shè)條件的基礎(chǔ)上對(duì)模型進(jìn)行調(diào)整后,應(yīng)用中國的消費(fèi)數(shù)據(jù)和資本市場數(shù)據(jù),同樣采用分位數(shù)回歸和廣義矩估計(jì)相結(jié)合的方法進(jìn)行了參數(shù)估計(jì)。并發(fā)現(xiàn)國內(nèi)市場上,風(fēng)險(xiǎn)厭惡參數(shù)在不同的時(shí)間段有所變化,而EIS卻變化不大,以及不同類型的股權(quán)投資表現(xiàn)出了不同的風(fēng)險(xiǎn)厭惡參數(shù)和EIS參數(shù),對(duì)此,本文做了一定的分析解釋。 本文第四章將模型應(yīng)用于動(dòng)態(tài)調(diào)整中,從而在分位數(shù)效用決策框架下對(duì)風(fēng)險(xiǎn)溢價(jià)的逆周期性、無風(fēng)險(xiǎn)收益率的順周期性和風(fēng)險(xiǎn)溢價(jià)的可預(yù)測性做出解釋。
[Abstract]:The core of asset pricing is to discount future uncertain or determined returns into the current price through a random discount factor (SDF). C-CAPM-based asset pricing is to construct a discounted factor with the utility of consumption, and under the setting of standard utility function. C-CAPM can not explain the "riddle of equity return premium" and "riddle of risk-free rate of return" about asset pricing. Therefore, some scholars begin with the setting of utility. Assuming that people are more sensitive to the reduction of consumption and the sensitivity is greater than that brought about by diminishing marginal utility, the utility function of asymmetric preference is used to make the pricing model more consistent with the market data. This paper also uses the utility function of asymmetric preference, from a simple direction that people pay attention to the downward risk of consumption directly, that is, consumers pay attention to a certain quantile of its utility distribution. The quantile value can be directly used to measure the risk aversion of consumers, and then the asset pricing model under the quantile utility decision can be obtained. In the second chapter, the asset pricing model under the quantile utility function is proposed and discussed, and the validity of the model is compared with the standard utility model. In the third chapter, the parameters of the model are estimated by using the generalized moment estimation method combined with quantile regression, using the American consumption data and the capital market data, respectively. Then we get more reasonable risk aversion parameter and intertemporal substitution elasticity parameter. Because the period of market data in China is relatively short, this paper adjusts the model on the basis of adding hypothetical conditions. Using Chinese consumption data and capital market data, the method of quantile regression and generalized moment estimation is used to estimate the parameters, and it is found that in the domestic market. Risk aversion parameters change in different time periods, but EIS does not change much, and different types of equity investment show different risk aversion parameters and EIS parameters. This article has made the certain analysis explanation. In chapter 4th, the model is applied to dynamic adjustment to explain the counter-periodicity of risk premium, the procyclicality of risk-free rate of return and the predictability of risk premium under the framework of quantile utility decision.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F830.9

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