本文選題：資產(chǎn)定價 + 財富效應(yīng)�。� 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：資產(chǎn)定價是金融學(xué)研究的核心任務(wù)之一。消費(fèi)CAPM的模型將風(fēng)險資產(chǎn)定價理論與經(jīng)濟(jì)學(xué)當(dāng)中的一般均衡結(jié)合起來,但是“股權(quán)溢價之謎”的提出,對模型的解釋力提出了挑戰(zhàn)。從投資者偏好的角度來解釋風(fēng)險溢價,通過隨機(jī)貼現(xiàn)因子將效用函數(shù)與風(fēng)險溢價聯(lián)系起來,成為了常用的研究方法。 除了投資者本身的偏好之外,宏觀經(jīng)濟(jì)因素對于風(fēng)險資產(chǎn)價格也存在重要的影響,將宏觀因素加入到微觀主體的行為中,成為金融學(xué)研究的熱點(diǎn)。 本文在連續(xù)時間模型的基礎(chǔ)上,將通脹幻覺加入到包含財富效應(yīng)的投資者效用函數(shù)當(dāng)中,得出在混淆真實(shí)消費(fèi)和名義消費(fèi),以及真實(shí)財富和名義財富的效應(yīng)下,投資者的消費(fèi)和投資選擇,并得到風(fēng)險資產(chǎn)定價的隨機(jī)貼現(xiàn)因子以及風(fēng)險溢價。然后對于中美兩國的股權(quán)溢價之謎進(jìn)行實(shí)證分析,同時檢驗(yàn)不同模型對于股權(quán)溢價之謎的解釋能力。 本文的主要內(nèi)容包括以下幾個方面： (1)從效用最大化的角度,投資者的當(dāng)前真實(shí)消費(fèi)會隨著預(yù)期通脹的增加而增加,這是因?yàn)楦哳A(yù)期通脹會使投資者預(yù)期自己的名義財富增速較快,由于混淆了真實(shí)財富和名義財富,投資者會誤認(rèn)為自己更加富有,從而增加當(dāng)前的真實(shí)消費(fèi)。 (2)建立一個包含消費(fèi)、財富和通脹風(fēng)險的三因素定價模型,風(fēng)險溢價需要包含對于這三種風(fēng)險因素的補(bǔ)償,而這種補(bǔ)償要求會隨著投資者對于消費(fèi)和財富的關(guān)注程度而增加。對于通脹風(fēng)險,如果風(fēng)險資產(chǎn)能夠?qū)ν浧鸬奖Ｖ底饔?投資者就會要求較低的風(fēng)險溢價；而如果其無法對通脹起到保值作用,投資者就會要求較高的風(fēng)險溢價。 (3)實(shí)證分析顯示,中國股票市場的股權(quán)溢價之謎并沒有美國市場明顯,加入財富效應(yīng)的定價模型對于美國市場和中國市場都具有一定的解釋能力,而不考慮財富效應(yīng),只考慮通脹幻覺的模型對于中國市場的解釋能力欠佳,因?yàn)樵谶@種形式下找不到一個合適的通脹幻覺水平能夠使相對風(fēng)險厭惡水平達(dá)到合理的范圍內(nèi),這一模型對美國市場存在一定的解釋能力,而且解釋力隨著通脹幻覺程度的增加而逐漸增強(qiáng)。而本文建立的在財富層面加入通脹幻覺的模型則對中國的股權(quán)溢價之謎顯示了很好的解釋能力。
[Abstract]:Asset pricing is one of the core tasks of finance research. The model of consumption CAPM combines the theory of risk asset pricing with the general equilibrium in economics, but the introduction of "the puzzle of equity premium" challenges the explanatory power of the model. To explain the risk premium from the angle of investor preference, the utility function and the risk premium are linked by the stochastic discount factor, which has become a common research method. In addition to the preferences of investors, macroeconomic factors also have an important impact on the price of risky assets. Adding macro-factors to the behavior of micro-subjects has become a hot research topic in finance. On the basis of continuous time model, this paper adds inflation hallucination to the utility function of investors including wealth effect, and obtains the effect of confusing real consumption with nominal consumption, and real wealth with nominal wealth. Investors' choice of consumption and investment, and the risk premium as well as the random discount factor of risk asset pricing. Then the paper makes an empirical analysis of the riddle of equity premium between China and the United States, and tests the ability of different models to explain the riddle of equity premium. The main contents of this paper are as follows: 1) from the perspective of maximizing utility, the current real consumption of investors will increase with the increase of expected inflation. This is because high expectations of inflation will make investors expect their nominal wealth to grow faster, and by confusing real and nominal wealth, investors will mistakenly think they are richer. To increase current real consumption.) to establish a three-factor pricing model that includes consumption, wealth and inflation risk, the risk premium needs to include compensation for these three risk factors. Such compensation demands will increase as investors pay more attention to consumption and wealth. When it comes to inflation risk, investors demand a lower risk premium if the risk asset can hold the value of inflation; if the risk asset does not hold the value of inflation, Investors will demand a higher risk premium. (3) empirical analysis shows that the mystery of equity premium in China's stock market is not as obvious as that in the United States. The pricing model with wealth effect has a certain explanatory power for both the American market and the Chinese market, but not the wealth effect, but the inflation hallucination model is not good at explaining the Chinese market. Because it is impossible to find a suitable level of inflation hallucination in this form that can bring the relative risk aversion to a reasonable range, the model has a certain capacity to explain the American market. And the explanatory power increases gradually as inflation hallucinations increase. The model of inflation hallucination at the wealth level shows a good explanation for the mystery of equity premium in China.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F822.5;F832.51;F224

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