基于财富的随机贴现因子资产定价模型研究

发布时间：2018-03-23 19:05

本文选题：财富　切入点：随机贴现因子　出处：《云南师范大学》2017年硕士论文

【摘要】：资产价格运行规律难于把握的特点,吸引了越来越多的研究人员投入这一热点领域,研究成果汗牛充栋。受这些研究激励,本文尝试在资产定价方面作点工作,首先系统论述了随机贴现因子的产生、发展及在资产定价中的地位变迁等。其次在效用函数中引入财富,研究了基于财富的随机贴现因子资产定价模型。再次采用财富幂效用函数,推导出基于财富的随机贴现因子资产价格的显示表达式。最后,采用中国资本市场2002年1月—2015年12月间的月度消费和财富数据对模型进行实证研究;用Hansen判别方法,得出不同参数前提下的随机贴现因子数值并与财富进行线性关系分析,结果显示财富与随机贴现因子间存在线性关系。同时选取上证市场中十支代表性股票数据对财富资产定价模型进行实证,发现该模型适合于刻画部分股票价格变动。
[Abstract]:The characteristics of the operation law of asset price are difficult to grasp, attracting more and more researchers to put into this hot field, and the research results are full of achievements, so this paper tries to do some work on asset pricing. Firstly, the paper systematically discusses the emergence, development and status change of stochastic discount factor in asset pricing. Secondly, it introduces wealth into utility function. This paper studies the asset pricing model of stochastic discount factor based on wealth, and deduces the display expression of asset price of random discount factor based on wealth by using the power utility function of wealth. Finally, Using the monthly consumption and wealth data from January 2002 to December 2015 in China's capital market, the model is empirically studied, and the stochastic discount factor values under different parameters are obtained by using Hansen discriminant method, and the linear relationship between the discounted factors and wealth is analyzed. The results show that there is a linear relationship between wealth and random discounted factors. At the same time, ten representative stock data in Shanghai stock market are selected to demonstrate the wealth asset pricing model, and it is found that the model is suitable to describe some stock price changes.
【学位授予单位】：云南师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.5

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