基于财富效应的通胀幻觉与资产定价关系研究

发布时间：2018-06-13 10:14

本文选题：资产定价 + 财富效应　；参考：《复旦大学》2012年硕士论文

【摘要】：资产定价是金融学研究的核心任务之一。消费CAPM的模型将风险资产定价理论与经济学当中的一般均衡结合起来,但是“股权溢价之谜”的提出,对模型的解释力提出了挑战。从投资者偏好的角度来解释风险溢价,通过随机贴现因子将效用函数与风险溢价联系起来,成为了常用的研究方法。除了投资者本身的偏好之外,宏观经济因素对于风险资产价格也存在重要的影响,将宏观因素加入到微观主体的行为中,成为金融学研究的热点。本文在连续时间模型的基础上,将通胀幻觉加入到包含财富效应的投资者效用函数当中,得出在混淆真实消费和名义消费,以及真实财富和名义财富的效应下,投资者的消费和投资选择,并得到风险资产定价的随机贴现因子以及风险溢价。然后对于中美两国的股权溢价之谜进行实证分析,同时检验不同模型对于股权溢价之谜的解释能力。本文的主要内容包括以下几个方面： (1)从效用最大化的角度,投资者的当前真实消费会随着预期通胀的增加而增加,这是因为高预期通胀会使投资者预期自己的名义财富增速较快,由于混淆了真实财富和名义财富,投资者会误认为自己更加富有,从而增加当前的真实消费。 (2)建立一个包含消费、财富和通胀风险的三因素定价模型,风险溢价需要包含对于这三种风险因素的补偿,而这种补偿要求会随着投资者对于消费和财富的关注程度而增加。对于通胀风险,如果风险资产能够对通胀起到保值作用,投资者就会要求较低的风险溢价；而如果其无法对通胀起到保值作用,投资者就会要求较高的风险溢价。 (3)实证分析显示,中国股票市场的股权溢价之谜并没有美国市场明显,加入财富效应的定价模型对于美国市场和中国市场都具有一定的解释能力,而不考虑财富效应,只考虑通胀幻觉的模型对于中国市场的解释能力欠佳,因为在这种形式下找不到一个合适的通胀幻觉水平能够使相对风险厌恶水平达到合理的范围内,这一模型对美国市场存在一定的解释能力,而且解释力随着通胀幻觉程度的增加而逐渐增强。而本文建立的在财富层面加入通胀幻觉的模型则对中国的股权溢价之谜显示了很好的解释能力。
[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.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822.5;F832.51;F224

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