系统性风险控制与动态逆势投资研究  

Systemic Risk Control and Dynamic Contrarian Investment

作　　者：俞乔[1] 刘家鹏[2] 

机构地区：[1]清华大学公共管理学院 [2]中国计量学院经管学院

出　　处：《经济研究》2013年第2期68-82,共15页Economic Research Journal

基　　金：国家社会科学基金重大项目(08&ZD050)

摘　　要：在2008—2009年金融危机中,极少数具有风险喜爱特征的交易者表现出了与羊群行为相反的逆势投资行为。传统投资理论以分析特定风险—预期收益为特征,仅能指导稳定市场下的风险规避者的行动,却不能解释不稳定市场中风险喜爱者的投资。在危机时期,当局使用非常规公共政策控制系统性风险以避免市场崩溃;这种政策构成逆势投资的基本依据。本文通过构建由公共政策、特定风险、预期收益构成的三维空间模型,在此框架下分析托宾风险喜爱者的逆势投资行为,讨论控制系统性风险的政策对投资行为的作用,解决理性逆势投资者的动态决策问题。该研究在理论上首次提出不稳定市场环境下的逆势投资行为的基本分析框架,解释危机时机构投资者作为与不作为的根本差别。在实践上,它对私募股权基金、主权财富基金、外汇管理基金等具有长期偏好的机构如何在当前欧元区市场不稳定环境下投资具有启发作用,也对有关当局联合这些投资者稳定市场有参考价值。While overwhelmingly market participants became scared herds in the midst of 2008-09 financial crisis, a very few acted as contrarian traders in the market. Conventional theory fails to explain contrarian behavior in systemic risk caused crisis. In the financial crisis government undertakes unconventional policies to contain systemic risk so as to prevent market collapse. These measures provide unique information for contrarians to act in the market. Study on contrarian investment is not only important for long-horizon investors to make decisions on micro level, but also useful for government to stabilize market on macro level. This paper constructs a three-dimensional model which consists of expected return, specific risk and unconventional policy to interpret Tobin risk lover behavior, discusses policy＇ s effect on contrarians and find out rationale of optimal investment decision against backdrop of government＇ s systemic risk control.

关 键 词：金融危机 系统性风险 非常规公共政策 托宾风险喜好 逆势投资行为 

分 类 号：F831.51[经济管理—金融学] F224