收缩期权、运营杠杆与风险溢价  

Contraction options,operating leverage and risk premium

作　　者：李准 李强[1] 曾勇[1] LI Zhun;LI Qiang;ZENG Yong(School of Management and Economics,University of Electronic Science and Technology of China,Chengdu 611731,China)

机构地区：[1]电子科技大学经济与管理学院,成都611731

出　　处：《管理科学学报》2018年第8期54-63,共10页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71472025;71102054);2014年文化名家暨"四个一批"人才资助项目(中宣办发[2015]49号)

摘　　要：通过改变资产的相对构成和运营杠杆的水平,企业的在位资产收缩对总资产风险溢价具有重要影响.在连续时间框架下,利用实物期权方法和定价核技术,研究收缩期权、运营杠杆及二者共同作用对资产风险溢价的影响机理,并为"价值溢价"现象、账面市值比效应和市值规模效应给予理论解释.结果表明:运营杠杆和贝塔为负的收缩期权分别对资产风险溢价具有正向和负向影响,二者的相反作用可以为"价值溢价"现象给出风险补偿视角的理论解释.同时,收缩期权会减弱市值规模效应;运营杠杆则会放大账面市值比效应和减弱市值规模效应.By affecting the relative composition of firm assets and the level of operating leverage, the contrac- tion of assets-in-place plays an important role in explaining the risk premium of total assets. Adopting the ap- proaches of real option and pricing kernel in a continuous-time framework, the paper aims to uncover the influ- ences of contraction options, operating leverage and their interaction on asset risk premium, and to provides theoretical explanations for value premium phenomenon, book-to-market effect and size effect about asset pri- cing. The basic findings are that contraction option with negative Beta is negatively related to risk premium, while operating leverage is positively associated with risk premium. The interactive influence of operating le- verage and contraction option provides an insightful explanation for value premium phenomenon from a per- spective on risk-based rational pricing. Further results indicate that contraction option decreases the size effect in explaining risk premium, and operating leverage increases the book-to-market effect and decreases the size effect in explaining risk premium, respectively.

关 键 词：在位资产 收缩期权 运营杠杆 风险溢价 价值溢价 

分 类 号：F830.59[经济管理—金融学]