基于效用成本风险异质性的消费资本资产定价模型
发布时间：2018-12-11 13:53
【摘要】：资产定价既是现代金融的核心,也是许多困惑之所在,其中最著名的就是股权溢价之谜和无风险利率之谜。本文对消费资本资产定价模型中的效用成本做了重新思考,引入"效用成本风险异质性"的概念,并将效用成本区分为"消费效用成本"和"风险效用成本"。在此基础上,本文提出了消费资本资产定价模型的新形式,并对股权溢价之谜和无风险利率之谜进行解释。
[Abstract]:Asset pricing is not only the core of modern finance, but also a lot of puzzles, the most famous of which are the riddle of equity premium and the riddle of risk-free interest rate. This paper reconsiders the utility cost in the pricing model of consumer capital assets, introduces the concept of "utility cost risk heterogeneity", and divides utility cost into "consumption utility cost" and "risk utility cost". On this basis, this paper puts forward a new form of pricing model of consumer capital assets, and explains the riddle of equity premium and risk-free interest rate.
【作者单位】： 中国人民大学财政金融学院;
【基金】：中国人民大学研究生科学研究基金项目“中国股权溢价之谜的探讨”(08XNH004)
【分类号】：F224;F830
本文编号：2372666
[Abstract]:Asset pricing is not only the core of modern finance, but also a lot of puzzles, the most famous of which are the riddle of equity premium and the riddle of risk-free interest rate. This paper reconsiders the utility cost in the pricing model of consumer capital assets, introduces the concept of "utility cost risk heterogeneity", and divides utility cost into "consumption utility cost" and "risk utility cost". On this basis, this paper puts forward a new form of pricing model of consumer capital assets, and explains the riddle of equity premium and risk-free interest rate.
【作者单位】： 中国人民大学财政金融学院;
【基金】：中国人民大学研究生科学研究基金项目“中国股权溢价之谜的探讨”(08XNH004)
【分类号】：F224;F830
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3 游家兴;;理性定价、选择偏差与消费资本资产定价谜团——来自中国证券市场的经验证据[J];经济科学;2005年06期
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