风险态度对收益率偏度的影响研究
本文关键词: 条件偏度 风险补偿 GARCHS 出处:《长沙理工大学》2014年硕士论文 论文类型:学位论文
【摘要】:收益率的偏态分布是反映金融资产价格的一个重要特征。诸多研究表明金融资产收益的分布往往偏离正态分布,呈现出负的偏度或正的偏度,负的偏度会使金融资产收益下降的可能性增加而增加风险(即偏度风险),正的偏度使金融资产收益上升的可能性增加。然而目前就资产组合优化中的约束条件与定价中的核过程仍然无法得到统一的认知,因为目前仍不十分清楚收益率分布偏度产生的原因,因而,收益率分布呈现偏度的原因也备受学者们重视。最初对收益率有偏分布的解释主要是从宏观角度上基于波动的非对称性,对其的主要解释是杠杆效应和波动的反馈效应,但该解释并没有得到实证研究结果的广泛支持。而随着行为金融理论的发展,更多的学者开始从微观角度着手对偏度的研究,主要体现在投资者的风险态度以及行为偏差等对收益偏度的影响。风险态度,描述了投资者在承担一定风险资产时所必须的补偿收益。标准金融理论以“理性人”为其基本假设条件,认为投资者在面临风险决策时会表现出从始至终的一致的风险态度。然而Kahneman和Tversky提出的前景理论从根本上动摇了这一想法,他们指出投资者面临风险决策时会受个人心理等非理性因素的影响,从而决策行为常常表现为非完全理性的,收益时为风险规避,损失时表现为风险寻求。此外,关于投资者风险态度特征,以往大多是以心理学实验、以个人交易账户数据的研究方法具有一定的局限性。因此,本文选取2013年国际股票交易所市值排名前10的综合指数,以投资者整体行为为对象,研究风险态度对收益率偏度的影响。然而投资者风险态度的也会受一些因素的影响,当前对其影响因素的研究也并不完善。本文在以往学者研究的时变风险补偿基础上,首先对投资者的风险态度进行全面的刻画,进一步考察投资者获得的损益对风险态度的影响,构建了GARCHC-M模型。然后,将资者的风险态度引入到GARCHS模型的偏度方差方程中,构建了GARCHCS-M模型,来研究其对收益率偏度的影响。结果表明:第一,投资者的风险态度受当期收益与损失的影响,随着当期收益的增大则风险规避程度也提高,当期损失的增大而风险规避程度也降低;第二,投资者的风险态度影响着金融资产收益率分布的偏度,如果市场上的投资者整体表现为风险规避,会降低收益率分布偏度,而若投资者整体表现为风险寻求,那么会增加收益率分布偏度。
[Abstract]:The skewness distribution of returns is an important feature of reflecting the price of financial assets. Many studies show that the distribution of returns of financial assets often deviates from the normal distribution, showing a negative bias or a positive bias. A negative bias increases the likelihood of falling returns on financial assets and increases risk (i.e. bias risk). The positive bias increases the possibility of increasing the return on financial assets. However, at present, the constraints in portfolio optimization and the nuclear process in pricing are still not recognized in a unified way. Because the reasons for the bias of the yield distribution are still not very clear at present, so. The reasons for the skewness of yield distribution are also paid attention to by scholars. At first, the explanation of the skewed distribution of return rate is mainly based on the asymmetry of volatility from the macro point of view. The main explanation is leverage effect and volatility feedback effect, but this explanation is not widely supported by empirical research results. But with the development of behavioral finance theory. More scholars begin to study the degree of bias from a micro perspective, mainly reflected in the risk attitude of investors and behavioral bias on the impact of income bias. Risk attitude. This paper describes the compensatory returns necessary for investors to undertake certain risky assets. The standard financial theory takes "rational person" as its basic hypothesis. It is believed that investors will show consistent risk attitude from beginning to end in the face of risk decision. However, the prospect theory put forward by Kahneman and Tversky has fundamentally shaken this idea. They point out that investors will be affected by irrational factors such as personal psychology when they are faced with risk decision-making, so decision-making behavior is often not completely rational, and return is risk aversion. In addition, the characteristics of risk attitude of investors are mostly psychological experiments, and the research method of personal trading account data has some limitations. This paper selects the international stock exchange market value in 2013 as the top 10 composite index, taking the overall behavior of investors as the object. To study the impact of risk attitude on yield bias. However, investors risk attitude will also be affected by some factors. On the basis of the previous scholars' research on time-varying risk compensation, this paper firstly describes the risk attitude of investors in a comprehensive way. Further investigate the impact of investors gain and loss on the risk attitude, construct the GARCHC-M model, and then introduce the risk attitude of the investor into the deviation variance equation of GARCHS model. GARCHCS-M model is constructed to study the impact of the yield bias. The results show that: first, the risk attitude of investors is affected by the current income and loss. With the increase of the income in the current period, the degree of risk aversion also increases, the loss of the current period increases and the degree of risk aversion decreases. Second, the risk attitude of investors affects the skewness of the distribution of the return on financial assets. If investors in the market as a whole act as risk aversion, it will reduce the skewness of the distribution of returns. But if the investor overall performance is the risk seeks, then will increase the yield distribution bias.
【学位授予单位】:长沙理工大学
【学位级别】:硕士
【学位授予年份】:2014
【分类号】:F831.51;F224
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