外部风险、异质信念与特质波动率风险溢价  

Extraneous risk,heterogeneous beliefs and idiosyncratic risk

作　　者：杨华蔚[1,2] 韩立岩[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]贵州财经学院数学与统计分院,贵阳550006

出　　处：《管理科学学报》2011年第11期71-80,共10页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70671005;70821061);贵州省科技厅自然科学基金资助项目([2009]2072)

摘　　要：本文将影响资产价格的不确定性划分为基本面不确定性、市场层面以及公司层面外部因素不确定性,(后二者对基本面没有影响,是非基本面因素),认为投资者对基本面和外部因素分别形成异质信念.在此基础上用连续时间的鞅分析方法,在纯交换市场均衡模型的框架下,建立了基于投资者异质信念的消费资本资产定价模型.该模型从理论上证明了除来自总消费/禀赋的基本面风险外,投资者对市场层面和公司层面外部因素信念差异也是影响股票价格的风险因素,模型的结论有助于解释金融市场一些异常现象,特别是特质波动率异常现象.It is assumed in the paper that stock price is determined not only by fundamental uncertainty but also by market nonfundamental （extraneous） uncertainty and firm idiosyncratic nonfundamental （extraneous） uncertainty, and the assumption is set that for different kinds of uncertainty different investors hold different kinds of heterogeneous beliefs. Thererhence, a dynamic equilibrium model in the continuous -time pure -exchange economy is presented. It is found that besides the fundamental uncertainty, market extraneous uncertainty and firm idiosyncratic extraneous uncertainty can also give explanations to expected returns. Furthermore, the model provides another explanation for some anomalies found in equity market, especially for anomaly of idiosyncratic volatility.

关 键 词：资产定价 异质信念 特质波动率 外部风险 

分 类 号：F275[经济管理—企业管理] F830.2[经济管理—国民经济]