本文關(guān)鍵詞：一個(gè)帶有災(zāi)難性風(fēng)險(xiǎn)的長期風(fēng)險(xiǎn)模型　出處：《廈門大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 長期風(fēng)險(xiǎn) 災(zāi)難性風(fēng)險(xiǎn) 股權(quán)溢價(jià)

【摘要】：股權(quán)溢價(jià)之謎是當(dāng)前金融和經(jīng)濟(jì)領(lǐng)域中最重要的謎團(tuán)之一,在過去的20多年里,嘗試解決這個(gè)謎團(tuán)已經(jīng)成為金融和經(jīng)濟(jì)領(lǐng)域里一個(gè)主要的研究動(dòng)力。找到一個(gè)既能夠解釋股權(quán)溢價(jià)之謎,且其背后隱含的經(jīng)濟(jì)學(xué)關(guān)系又與現(xiàn)實(shí)不沖突的資產(chǎn)定價(jià)模型成為了眾多金融經(jīng)濟(jì)學(xué)家的追求。 長期風(fēng)險(xiǎn)模型和災(zāi)難性風(fēng)險(xiǎn)模型是解決股權(quán)溢價(jià)之謎的眾多努力和嘗試之中表現(xiàn)較為突出的兩類模型。Banal, Kiku and Yaron (2010)首次提出了把長期風(fēng)險(xiǎn)和災(zāi)難性風(fēng)險(xiǎn)結(jié)合在一起解決股權(quán)溢價(jià)之謎的想法。本文主要的工作就是進(jìn)一步發(fā)展和改進(jìn)Banal, Kiku and Yaron (2010)的模型。在兩方面對他們的模型進(jìn)行了改進(jìn)：1.與他們直接假設(shè)災(zāi)難性風(fēng)險(xiǎn)大小服從指數(shù)分布不同,我們假設(shè)災(zāi)難性風(fēng)險(xiǎn)大小服從基于22個(gè)國家近一百多年的消費(fèi)數(shù)據(jù)擬合得到的冪律分布。2.與他們假設(shè)期望增長率上的跳躍和消費(fèi)波動(dòng)率上的跳躍是獨(dú)立的不同,我們假設(shè)兩者成平方關(guān)系。在此基礎(chǔ)上,我們建立了本文的帶有災(zāi)難性風(fēng)險(xiǎn)的長期風(fēng)險(xiǎn)模型。 本文首先在理論上求解了帶有災(zāi)難性風(fēng)險(xiǎn)的長期風(fēng)險(xiǎn)模型,得到了股權(quán)溢價(jià)的解析表達(dá)式。根據(jù)解析表達(dá)式,股權(quán)溢價(jià)由四部分構(gòu)成：短期風(fēng)險(xiǎn)溢價(jià)、長期風(fēng)險(xiǎn)溢價(jià)、波動(dòng)性溢價(jià)和災(zāi)難性風(fēng)險(xiǎn)溢價(jià),且災(zāi)難性風(fēng)險(xiǎn)溢價(jià)通過災(zāi)難性風(fēng)險(xiǎn)的均值、方差、偏度和峰度對股權(quán)溢價(jià)起作用。其次,對模型進(jìn)行了校準(zhǔn)并與最新的長期風(fēng)險(xiǎn)模型進(jìn)行了比較,發(fā)現(xiàn)本文的模型可以完美的解釋股權(quán)溢價(jià)之謎,好于長期風(fēng)險(xiǎn)模型的表現(xiàn)。最后,對模型進(jìn)行了實(shí)證評價(jià)。本文的模型無論在價(jià)格股利比例預(yù)測消費(fèi)增長率、股利增長率和超額回報(bào)率方面,還是在價(jià)格股利比例預(yù)測消費(fèi)波動(dòng)性和超額回報(bào)率波動(dòng)性方面都與現(xiàn)實(shí)相吻合。
[Abstract]:The equity premium puzzle is one of the most important mysteries of the current financial and economic world, in the past 20 years or so. Trying to solve this mystery has become a major research engine in the financial and economic fields. Find a mystery that can explain the equity premium. And the underlying economic relationship and the reality of the asset pricing model has become the pursuit of many financial economists. Long-term risk model and catastrophic risk model are two kinds of models. Kiku and Yaron 2010). The idea of combining long-term risk and catastrophic risk to solve the problem of equity premium is put forward for the first time. The main work of this paper is to further develop and improve Banal. Kiku and Yaron / 2010. Improved their model in two ways: 1. Different from their direct assumption that catastrophic risk is exponentially distributed. We assume that the power law distribution derived from the fitting of consumption data from 22 countries over 100 years is independent from their assumption that the jump in expected growth rate and the jump in consumption volatility are independent of the expected growth rate and the consumption volatility jump. Different. We assume that the two are square. On this basis, we establish a long-term risk model with catastrophic risk. In this paper, the long-term risk model with catastrophic risk is solved theoretically, and the analytical expression of equity premium is obtained. According to the analytical expression, equity premium is composed of four parts: short-term risk premium. Long-term risk premium, volatility premium and catastrophic risk premium, and catastrophic risk premium affects equity premium through the mean, variance, skewness and kurtosis of catastrophic risk. The model is calibrated and compared with the latest long-term risk model. It is found that the model in this paper can explain the riddle of equity premium perfectly, which is better than the performance of long-term risk model. Finally. Empirical evaluation of the model. This model in price dividend ratio forecast consumption growth rate, dividend growth rate and excess return. The price dividend ratio forecast consumption volatility and excess return volatility are in line with the reality.
【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F830.91

【共引文獻(xiàn)】

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相關(guān)碩士學(xué)位論文 前5條

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2 李?yuàn)W蕾;中國居民消費(fèi)不平等研究[D];西南財(cái)經(jīng)大學(xué);2013年

3 張雅娟;基于耐用消費(fèi)品的長期風(fēng)險(xiǎn)模型：來自外匯市場的證據(jù)[D];廈門大學(xué);2014年

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本文編號：1425289