突发信息影响下的投资、消费及风险溢价

本文在CCAPM模型及行为经济学理论基础上建立突发信息影响下的资产定价模型,借此探讨突发信息对投资者主观决策以及风险溢价的影响,并利用数值迭代法给出了风险溢价的数值解。研究结果表明:突发信息所产生的正面影响会提高风险溢价,反之则降低溢价值,为解释"追涨杀跌"现象提供新视角;同时发现,投资者先期投资决策的结果好坏与风险溢价呈正向关系。最后利用中美两国证券市场数据进行数据模拟,结果表明本模型较好的避免了"股权溢价之谜"和"无风险利率之谜"。

Study on Investment, Consumption and Risk Premium under Unanticipated News

In this paper, the relation among unanticipated news,investors’strategy on consumption and investment and their influence on the risk premium are analyzed.Based on the concepts of behavioral economics and the CCAPM model, a asset pricing model concerning unanticipated news is constructed.Numerical solution of the risk premium is presented by using numerical iteration algorithm based on dynamic programming.It is showed that the relation between unanticipated news and risk premium is positive;the prior outcome of the investors' strategy influenced the risk premium as well and the relation is positive too. At last, the data from the United States and China security market is used to make a simulation study,and the equity premium puzzle is resolved.