灾难风险、习惯形成和含高阶矩的资产定价模型  

Disaster risk, habit formation and an asset pricing model with higher moments

作　　者：陈国进[1,2] 晁江锋 赵向琴[1] 

机构地区：[1]厦门大学经济学院,厦门361005 [2]厦门大学王亚南经济研究院,厦门361005

出　　处：《管理科学学报》2015年第4期1-17,72,共18页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71071132;71471154)

摘　　要：通过引入习惯形成因素,推导出包含灾难风险与习惯形成的高阶矩资产定价模型.数值模拟结果显示:1)该模型能够在相对风险厌恶系数更灵活的赋值区间内解释无风险利率之谜和股权溢价之谜;2)习惯形成因素的引入可以很好地解决基于高阶矩的灾难风险模型对于灾难风险参数选择过于敏感的问题;3)习惯形成显著改善了资产价格高阶矩近似的效果,削弱了高阶矩信息(四阶矩以上)对资产定价的影响.最后,考察了该模型在中国金融市场中的适用性,研究发现,灾难风险定价模型同样能够解释我国的股权溢价特征,且习惯形成因素也能够提升模型对中国金融市场的解释力.With the introduction of habit formation,we develop a general consumption-based asset pricing model to capture the higher moments of the shocks in the capital markets. The calibration results show that our model can explain the risk premium puzzle and the risk-free rate puzzle with more flexible risk aversion coefficient,and can effectively reduce the sensitivity of the parameters selection problem for the rare disaster model. Also,habit formation factors can significantly improve the effect of asset prices higher moments of approximation,and weaken the influence of higher moments information（ more than four moments） on asset pricing. Finally,we check the applicability of the model in China＇s financial market. The study find that disaster pricing model can also explain China＇s equity premium,and that the habit formation factors can improve the model＇s explanatory power for China＇s financial market.

关 键 词：习惯形成 灾难风险 高阶矩 

分 类 号：F830.91[经济管理—金融学] F831.59