一个带有灾难性风险的长期风险模型

发布时间：2018-01-14 21:07

本文关键词：一个带有灾难性风险的长期风险模型　出处：《厦门大学》2014年硕士论文　论文类型：学位论文

【摘要】：股权溢价之谜是当前金融和经济领域中最重要的谜团之一,在过去的20多年里,尝试解决这个谜团已经成为金融和经济领域里一个主要的研究动力。找到一个既能够解释股权溢价之谜,且其背后隐含的经济学关系又与现实不冲突的资产定价模型成为了众多金融经济学家的追求。长期风险模型和灾难性风险模型是解决股权溢价之谜的众多努力和尝试之中表现较为突出的两类模型。Banal, Kiku and Yaron (2010)首次提出了把长期风险和灾难性风险结合在一起解决股权溢价之谜的想法。本文主要的工作就是进一步发展和改进Banal, Kiku and Yaron (2010)的模型。在两方面对他们的模型进行了改进：1.与他们直接假设灾难性风险大小服从指数分布不同,我们假设灾难性风险大小服从基于22个国家近一百多年的消费数据拟合得到的幂律分布。2.与他们假设期望增长率上的跳跃和消费波动率上的跳跃是独立的不同,我们假设两者成平方关系。在此基础上,我们建立了本文的带有灾难性风险的长期风险模型。本文首先在理论上求解了带有灾难性风险的长期风险模型,得到了股权溢价的解析表达式。根据解析表达式,股权溢价由四部分构成：短期风险溢价、长期风险溢价、波动性溢价和灾难性风险溢价,且灾难性风险溢价通过灾难性风险的均值、方差、偏度和峰度对股权溢价起作用。其次,对模型进行了校准并与最新的长期风险模型进行了比较,发现本文的模型可以完美的解释股权溢价之谜,好于长期风险模型的表现。最后,对模型进行了实证评价。本文的模型无论在价格股利比例预测消费增长率、股利增长率和超额回报率方面,还是在价格股利比例预测消费波动性和超额回报率波动性方面都与现实相吻合。
[Abstract]:The equity premium puzzle is one of the most important mysteries of the current financial and economic world, in the past 20 years or so. Trying to solve this mystery has become a major research engine in the financial and economic fields. Find a mystery that can explain the equity premium. And the underlying economic relationship and the reality of the asset pricing model has become the pursuit of many financial economists. Long-term risk model and catastrophic risk model are two kinds of models. Kiku and Yaron 2010). The idea of combining long-term risk and catastrophic risk to solve the problem of equity premium is put forward for the first time. The main work of this paper is to further develop and improve Banal. Kiku and Yaron / 2010. Improved their model in two ways: 1. Different from their direct assumption that catastrophic risk is exponentially distributed. We assume that the power law distribution derived from the fitting of consumption data from 22 countries over 100 years is independent from their assumption that the jump in expected growth rate and the jump in consumption volatility are independent of the expected growth rate and the consumption volatility jump. Different. We assume that the two are square. On this basis, we establish a long-term risk model with catastrophic risk. In this paper, the long-term risk model with catastrophic risk is solved theoretically, and the analytical expression of equity premium is obtained. According to the analytical expression, equity premium is composed of four parts: short-term risk premium. Long-term risk premium, volatility premium and catastrophic risk premium, and catastrophic risk premium affects equity premium through the mean, variance, skewness and kurtosis of catastrophic risk. The model is calibrated and compared with the latest long-term risk model. It is found that the model in this paper can explain the riddle of equity premium perfectly, which is better than the performance of long-term risk model. Finally. Empirical evaluation of the model. This model in price dividend ratio forecast consumption growth rate, dividend growth rate and excess return. The price dividend ratio forecast consumption volatility and excess return volatility are in line with the reality.
【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】：F224;F830.91

【共引文献】