耐用品长期风险模型的实证检验

发布时间：2018-01-12 05:34

本文关键词：耐用品长期风险模型的实证检验　出处：《厦门大学》2014年硕士论文　论文类型：学位论文

【摘要】：基于消费的资产定价模型(C-CAPM)的提出与发展是资产定价理论在过去的三十多年中最为重要的进步之一。它在一般均衡的框架下将消费者的投资决策与其消费行为相联系,从而赋予了资产定价理论更为坚实的经济学基础。但C-CAPM在理论与实证的运用中却遇到了种种难题,对它的修改和完善一直都是资产定价领域的研究重点。Bansal和Yaron(2004)在C-CAPM的框架下开创性地提出长期风险模型(LRR)。该理论认为在经济运行中,存在着一个微小,但却高持续性,可预测的成分。同时消费者在递归效用偏好下,会将未来的不确定性放在当期解决。因此对未来经济增长预期的冲击,将会对当期及未来的资产价格产生重要而持续的影响。这一理论的经济意义直观易于理解且内涵深刻,近年来引起了越来越多学者的关注。本文对基于耐用品的长期风险模型进行了扩展,在耐用消费品与股利之间加入一个协整方程限制,并探讨加入协整限制的耐用品LRR模型能否对资产市场现象得到一个更好的解释。在实证研究中,本文分别利用平稳的耐用品LRR模型和协整的耐用品LRR模型对25个Fama-French投资组合的超额收益率进行样本内预测。实证结果表明,加入协整限制的耐用品LRR模型,不论在时间序列上,还是在横截面上,其对投资组合的超额收益率的解释能力都优于平稳的耐用品LRR模型。通过定价因子贡献率分析,我们发现在协整的耐用品LRR模型中,协整残差项对定价能力的贡献最大。这表明股利对耐用品消费长期风险的暴露程度对股票收益率的变动有较强的预测作用。
[Abstract]:Consumption-based asset pricing model (C-CAPMM). Proposed and developed is one of the most important advances in asset pricing theory in the past 30 years. It links consumers' investment decisions with their consumption behavior under the framework of general equilibrium. Thus, the asset pricing theory is endowed with a more solid economic foundation, but C-CAPM has encountered various difficulties in the application of theory and empirical. The modification and improvement of it has always been the focus of asset pricing research. Bansal and Yaronn 2004) under the framework of C-CAPM, the long-term risk model (LRRR) has been put forward in a groundbreaking way. The theory holds that the economy is in operation. There is a small, but highly persistent, predictable component, and consumers in recursive utility preference, will be the future uncertainty in the current solution. Therefore, the impact on future economic growth expectations. The economic significance of this theory is intuitionistic and easy to understand and its connotation is profound, which has attracted more and more scholars' attention in recent years. In this paper, the long-term risk model based on durable goods is extended to include a cointegration equation between consumer durables and dividends. And to explore whether the LRR model with cointegration constraints can better explain the phenomenon of asset market. In the empirical study. This paper uses stationary durable goods LRR model and cointegrated durable goods LRR model to predict the excess returns of 25 Fama-French portfolios. The empirical results show that. The LRR model of durable goods with cointegration limitation is applied in both time series and cross section. Its ability to explain the excess return of the portfolio is better than the stable durable goods LRR model. Through the pricing factor contribution analysis, we find that in the cointegration of durable goods LRR model. The contribution of cointegration residual to pricing power is the greatest, which indicates that the exposure of dividend to long-term risk of durable goods consumption has a strong predictive effect on stock yield.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.91;F224

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