本文關(guān)鍵詞： 條件偏度 風(fēng)險(xiǎn)補(bǔ)償 GARCHS　出處：《長(zhǎng)沙理工大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：收益率的偏態(tài)分布是反映金融資產(chǎn)價(jià)格的一個(gè)重要特征。諸多研究表明金融資產(chǎn)收益的分布往往偏離正態(tài)分布,呈現(xiàn)出負(fù)的偏度或正的偏度,負(fù)的偏度會(huì)使金融資產(chǎn)收益下降的可能性增加而增加風(fēng)險(xiǎn)(即偏度風(fēng)險(xiǎn)),正的偏度使金融資產(chǎn)收益上升的可能性增加。然而目前就資產(chǎn)組合優(yōu)化中的約束條件與定價(jià)中的核過程仍然無法得到統(tǒng)一的認(rèn)知,因?yàn)槟壳叭圆皇智宄找媛史植计犬a(chǎn)生的原因,因而,收益率分布呈現(xiàn)偏度的原因也備受學(xué)者們重視。最初對(duì)收益率有偏分布的解釋主要是從宏觀角度上基于波動(dòng)的非對(duì)稱性,對(duì)其的主要解釋是杠桿效應(yīng)和波動(dòng)的反饋效應(yīng),但該解釋并沒有得到實(shí)證研究結(jié)果的廣泛支持。而隨著行為金融理論的發(fā)展,更多的學(xué)者開始從微觀角度著手對(duì)偏度的研究,主要體現(xiàn)在投資者的風(fēng)險(xiǎn)態(tài)度以及行為偏差等對(duì)收益偏度的影響。風(fēng)險(xiǎn)態(tài)度,描述了投資者在承擔(dān)一定風(fēng)險(xiǎn)資產(chǎn)時(shí)所必須的補(bǔ)償收益。標(biāo)準(zhǔn)金融理論以“理性人”為其基本假設(shè)條件,認(rèn)為投資者在面臨風(fēng)險(xiǎn)決策時(shí)會(huì)表現(xiàn)出從始至終的一致的風(fēng)險(xiǎn)態(tài)度。然而Kahneman和Tversky提出的前景理論從根本上動(dòng)搖了這一想法,他們指出投資者面臨風(fēng)險(xiǎn)決策時(shí)會(huì)受個(gè)人心理等非理性因素的影響,從而決策行為常常表現(xiàn)為非完全理性的,收益時(shí)為風(fēng)險(xiǎn)規(guī)避,損失時(shí)表現(xiàn)為風(fēng)險(xiǎn)尋求。此外,關(guān)于投資者風(fēng)險(xiǎn)態(tài)度特征,以往大多是以心理學(xué)實(shí)驗(yàn)、以個(gè)人交易賬戶數(shù)據(jù)的研究方法具有一定的局限性。因此,本文選取2013年國(guó)際股票交易所市值排名前10的綜合指數(shù),以投資者整體行為為對(duì)象,研究風(fēng)險(xiǎn)態(tài)度對(duì)收益率偏度的影響。然而投資者風(fēng)險(xiǎn)態(tài)度的也會(huì)受一些因素的影響,當(dāng)前對(duì)其影響因素的研究也并不完善。本文在以往學(xué)者研究的時(shí)變風(fēng)險(xiǎn)補(bǔ)償基礎(chǔ)上,首先對(duì)投資者的風(fēng)險(xiǎn)態(tài)度進(jìn)行全面的刻畫,進(jìn)一步考察投資者獲得的損益對(duì)風(fēng)險(xiǎn)態(tài)度的影響,構(gòu)建了GARCHC-M模型。然后,將資者的風(fēng)險(xiǎn)態(tài)度引入到GARCHS模型的偏度方差方程中,構(gòu)建了GARCHCS-M模型,來研究其對(duì)收益率偏度的影響。結(jié)果表明：第一,投資者的風(fēng)險(xiǎn)態(tài)度受當(dāng)期收益與損失的影響,隨著當(dāng)期收益的增大則風(fēng)險(xiǎn)規(guī)避程度也提高,當(dāng)期損失的增大而風(fēng)險(xiǎn)規(guī)避程度也降低；第二,投資者的風(fēng)險(xiǎn)態(tài)度影響著金融資產(chǎn)收益率分布的偏度,如果市場(chǎng)上的投資者整體表現(xiàn)為風(fēng)險(xiǎn)規(guī)避,會(huì)降低收益率分布偏度,而若投資者整體表現(xiàn)為風(fēng)險(xiǎn)尋求,那么會(huì)增加收益率分布偏度。
[Abstract]:The skewness distribution of returns is an important feature of reflecting the price of financial assets. Many studies show that the distribution of returns of financial assets often deviates from the normal distribution, showing a negative bias or a positive bias. A negative bias increases the likelihood of falling returns on financial assets and increases risk (i.e. bias risk). The positive bias increases the possibility of increasing the return on financial assets. However, at present, the constraints in portfolio optimization and the nuclear process in pricing are still not recognized in a unified way. Because the reasons for the bias of the yield distribution are still not very clear at present, so. The reasons for the skewness of yield distribution are also paid attention to by scholars. At first, the explanation of the skewed distribution of return rate is mainly based on the asymmetry of volatility from the macro point of view. The main explanation is leverage effect and volatility feedback effect, but this explanation is not widely supported by empirical research results. But with the development of behavioral finance theory. More scholars begin to study the degree of bias from a micro perspective, mainly reflected in the risk attitude of investors and behavioral bias on the impact of income bias. Risk attitude. This paper describes the compensatory returns necessary for investors to undertake certain risky assets. The standard financial theory takes "rational person" as its basic hypothesis. It is believed that investors will show consistent risk attitude from beginning to end in the face of risk decision. However, the prospect theory put forward by Kahneman and Tversky has fundamentally shaken this idea. They point out that investors will be affected by irrational factors such as personal psychology when they are faced with risk decision-making, so decision-making behavior is often not completely rational, and return is risk aversion. In addition, the characteristics of risk attitude of investors are mostly psychological experiments, and the research method of personal trading account data has some limitations. This paper selects the international stock exchange market value in 2013 as the top 10 composite index, taking the overall behavior of investors as the object. To study the impact of risk attitude on yield bias. However, investors risk attitude will also be affected by some factors. On the basis of the previous scholars' research on time-varying risk compensation, this paper firstly describes the risk attitude of investors in a comprehensive way. Further investigate the impact of investors gain and loss on the risk attitude, construct the GARCHC-M model, and then introduce the risk attitude of the investor into the deviation variance equation of GARCHS model. GARCHCS-M model is constructed to study the impact of the yield bias. The results show that: first, the risk attitude of investors is affected by the current income and loss. With the increase of the income in the current period, the degree of risk aversion also increases, the loss of the current period increases and the degree of risk aversion decreases. Second, the risk attitude of investors affects the skewness of the distribution of the return on financial assets. If investors in the market as a whole act as risk aversion, it will reduce the skewness of the distribution of returns. But if the investor overall performance is the risk seeks, then will increase the yield distribution bias.
【學(xué)位授予單位】：長(zhǎng)沙理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F831.51;F224

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