资产系统性风险跨期时变的内生性:由理论证明到实证检验

发布时间：2019-07-19 06:06

【摘要】：由Sharpe给出的资本资产定价模型(CAPM)刻画了资产收益与系统性风险之间的关系,并采用Beta系数对资产系统性风险进行测度。但是,CAPM本身是一个单期模型,没有讨论系统性风险的跨期性质。经过对资产系统性风险跨期时变存在性的理论证明,并基于中国、美国、英国、日本证券市场数据对理论研究的结果进行实证检验,可以发现:市场中投资者的主体选择偏好构成了资产系统性风险跨期时变的内生性原因,而宏观经济因素变化只是资产系统性风险跨期时变的间接影响因素。通过对资产系统性风险跨期时变内生性原因的经济学解释,证明了CAPM在实际应用过程中存在理论缺欠。
[Abstract]:The capital asset pricing model (CAPM) given by Sharpe describes the relationship between asset return and systemic risk, and measures the systematic risk of assets by using Beta coefficient. However, CAPM itself is a single-phase model, which does not discuss the cross-temporal nature of systemic risk. Through the theoretical proof of the existence of intertemporal variation of asset systemic risk, and based on the empirical test of the results of theoretical research based on the data of securities markets in China, the United States, the United Kingdom and Japan, it can be found that the main choice preference of investors in the market constitutes the endophytic cause of cross-temporal time-varying asset systemic risk, while the change of macroeconomic factors is only an indirect factor affecting the intertemporal variation of asset systemic risk. Through the economic explanation of the intertemporal time-varying endophytic causes of systemic risk of assets, it is proved that there is a theoretical deficiency in the process of practical application of CAPM.
【作者单位】：吉林大学数量经济研究中心;中央财经大学统计学院;东北师范大学商学院;
【基金】：2010年国家自然科学基金项目(71073067)“跨期条件下Beta系数时变对资产定价的影响机理研究”和2011年国家自然科学青年基金(71101157“跨期条件下资产定价主流偏差时变机理”阶段性成果 2011年教育部人文社会科学重点研究基地重大项目(11JJD790010)、教育部青年基金项目(10YJC790220) 吉林大学杰出青年基金项目(2011JQ002)
【分类号】：F224;F831.51

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