巨灾风险债券溢价之谜的行为金融学解释  

CAT Bond Premium Puzzle:An Explanation from Behavioral Finance

作　　者：田玲[1] 高俊[1] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《金融理论与实践》2007年第10期8-11,共4页Financial Theory and Practice

基　　金：国家自然科学基金项目(项目编号70403013)资助

摘　　要：作为一种新型金融工具,巨灾风险债券自发行以来所附带的风险收益就远高于同等级传统债券的收益。尽管均值方差分析方法已证明"溢价之谜"确实存在,但从传统理论角度出发的研究并不能充分解释巨灾风险债券高溢价的成因。本文尝试用行为金融理论分析以获得较合理的解释补充。通过探讨投资者的心理、行为因素在巨灾风险债券溢价之谜中所起的重要作用,得出结论:风险厌恶、固定教育成本、模糊厌恶和羊群效应等行为导致了溢价之谜的出现。这些影响因素的发现不仅是对国际巨灾风险债券市场中的高溢价现象进行解释的重要依据,同时也为我国科学发行巨灾风险债券提供了思路。As a new financial instrument, the risk premium of CAT bond has been much higher than that of traditional bonds with same credit rating since its issue. Although mean-variance analysis testified the existence of the CAT bond premium puzzle, the studies based on the classical theory cannot explain the cause for the high premium of CAT bond perfectly. The paper tries to resolve the puzzle successfully by using the behavioral finance theory. It discusses some psychological dynamics and behaviors of investors that play a key role in the premium puzzle of CAT bond. The result shows that risk-aversion, fixed cost of education, ambiguity aversion and herd effect cause the premium puzzle of CAT bond. This discovery not only provides a very important empirical foundation to explain the high premium of CAT bond in international CAT bond market, but also provides the clues to issuing CAT bond scientifically in China.

关 键 词：巨灾风险债券 溢价之谜 行为金融 

分 类 号：F830.9[经济管理—金融学]