本文選題：長期風險模型　切入點：股權溢價之謎　出處：《廈門大學》2014年碩士論文

【摘要】：三十多年來在金融經濟領域中取得的輝煌成就之一便是基于消費的資本資產定價模型(CCAPM)。但是被寄予厚望的CCAPM卻無法解釋金融市場中經典的三大未解之謎,如“股權溢價之謎”、“無風險利率之謎”和“股權波動性之謎”。長期風險模型(BansalYaron (2004))是基于要解決三大未解之謎而提出的,而模型的實證結果可以合理、完美地詮釋三大謎。但是長期風險模型是否真的可以正確合理地模擬現(xiàn)實世界,至今仍存在很大的爭議。本文嘗試用仿真動差函數法(EMSM)來檢驗長期風險模型是否合理。長期風險模型最為核心的模型設定是假設存在一個不可觀測的很小的關于長期消費的風險因子xt,并假設它分別與消費增長、分紅增長的關系是存在含殘差項的線性方程。故本文在假設不可觀測變量xt存在的基礎上,用EMSM來檢驗它與消費的增長、分紅的增長關系是否顯著,并進一步檢驗長期風險模型的關鍵方程的內部設定是否合理。
[Abstract]:One of the brilliant achievements in the financial and economic field over the past three decades has been the consumption-based capital asset pricing model (CCAPM). But the CCAPM, which has high hopes, cannot explain the three classic unsolved mysteries in financial markets. For example, "the riddle of equity premium", "the riddle of risk-free interest rate" and "the mystery of equity volatility". The long-term risk model Bansal Yaron / 2004 is based on solving three unsolved riddles, and the empirical results of the model are reasonable. A perfect interpretation of the three mysteries. But can long-term risk models really simulate the real world correctly and reasonably? There is still a lot of controversy. This paper attempts to use the EMSM method to test whether the long-term risk model is reasonable. The core of the long-term risk model is to assume that there is an unobservable and small model. The risk factor for long-term consumption, xt, and assuming that it is separately associated with consumption growth, The relationship between dividend increase and consumption growth is linear equation with residuals. Therefore, on the basis of supposing the existence of non-observable variable xt, this paper uses EMSM to test the relationship between the increase of dividend and consumption, and whether the increase of dividend is significant or not. Furthermore, the internal setting of the key equation of long-term risk model is proved to be reasonable.
【學位授予單位】：廈門大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F830.91

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相關期刊論文 前2條

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本文編號：1672465