基于过度外推的资产定价  

Asset pricing based on over-extrapolation

作　　者：彭涓 母从明 朱小能[1,3] 杨金强 PENG Juan;MU Cong-ming;ZHU Xiao-neng;YANG Jin-qiang(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China;College of Finance and Statistics,Hunan University,Changsha 410082,China;Shanghai Institute of International Finance and Economics,Shanghai 200433,China)

机构地区：[1]上海财经大学金融学院,上海200433 [2]湖南大学金融与统计学院,长沙410082 [3]上海国际金融与经济研究院,上海200433

出　　处：《管理科学学报》2020年第8期19-32,共14页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71473281;71772112;71972122);霍英东教育基金会第十五届高等院校青年教师基金基础性研究课题资助项目(151086);上海高峰学科资助项目(2018110261;2018110262);上海财经大学创新团队建设资助项目(2016110241;2018110698);博士后科学基金资助项目(2018M632075;2018M640370;2019T120325;2020M672608)

摘　　要：基于卢卡斯纯交换经济模型和部分信息假设,研究了消费者在学习过程中表现的过度外推信念偏差对市场均衡和资产价格的影响.研究发现基于较低的风险厌恶系数,代表性消费者的过度外推信念偏差不但降低了无风险利率,而且提高了风险溢价和风险资产收益率的波动性.因此,研究结论在统一的框架内为“股权溢价之谜”、“利率之谜”和“波动之谜”提供了理论解释。Based on the pure exchange economic model of Lucas and the partial information assumptions,this paper investigates the effects of over-extrapolation belief biases that the representative agent exhibits in the learning process on the market equilibrium and asset prices.The conclusions show that eve n with a low coefficient of relative risk aversion,the over-extrapolation belief biases can not only reduce the risk-free rate,but also enhance the risk premium and return volatility of the risky asset.Therefore,this paper provides a unified theoretical framework that can simultaneously explain the equity premium puzzle,interest rate puzzle,and volatility puzzle.

关 键 词：过度外推 股权溢价之谜 超常波动之谜 利率之谜 

分 类 号：F830.2[经济管理—金融学]