流动性偏好企业家动态投资消费与企业资产定价  

Dynamic Investment and Consumption Decisions and Firm’s Asset Pricing of Entrepreneurs with Liquidity Preferences

作　　者：罗鹏飞[1] 陆婷 LUO Peng-fei;LU Ting(School of Finance and Statistics,Hunan University,Changsha 410079,China)

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《中国管理科学》2023年第2期1-8,共8页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(72001074);湖南省自然科学基金资助项目(2021JJ40132)。

摘　　要：假设流动性偏好企业家拥有企业收益,其财富可用来投资无风险资产和风险资产,也用于消费;同时,市场是非完备的,企业特质风险无法被对冲。为了探究流动性偏好对企业家投资消费决策以及企业资产定价的影响,文章采用效用无差别定价理论与动态规划方法,得到了企业家最优投资消费策略以及企业效用无差别价格的闭式解,继而得到如下结论:流动性偏好降低了企业家风险资产投资以及当前消费,同时减弱了企业家预防性储蓄动机和企业风险对冲动机,并显著地降低了企业效用无差别价格。此外,作为拓展研究,文章引入了企业经济周期,发现流动性偏好削弱了经济周期对企业家投资消费和企业效用无差别价格的影响。最后,文章主要结论为一些金融现象提供了可能性的经济解释。In 2018,trade frictions between China and the US result in a downward trend in the stock market.The central bank reduces the reserve requirement and continue to increase the policy easing,which ensure the improvement of liquidity and stabilize the market trend.With the outbreak of COVID-19,the liquidity crisis causes four stock circuit-breakers in the United States and leads to turbulence in global stock markets.Thus,the liquidity problem affects the stability of the financial market,which in turn affects the development of firm.From the micro side,liquidity can also bring the entrepreneur utility to a certain extent.Therefore,entrepreneurs have liquidity preferences.What influence will entrepreneurs’liquidity preferences have on investment and consumption decisions and asset pricing?In addition,product technology innovation causes firm’s business cycle,which has the effect on investment and consumption decisions and asset pricing.How do the liquidity preferences affect the impact of business cycle on the solutions.As far as the author knows,there exit no paper to study the above problem,so this paper aims to fill this gap.The entrepreneur can invest in both a risk-free asset(liquidity asset)and a risky asset,whose prices evolves the following process,respectively,dB_(t)=rB_(t)dt,dS_(t)=μ_(m)S_(t)dt+σ_(m)S_(t)dZ_(t)^(m).Where r denotes the risk-free interest rate,μm,σmdenote the return rate and volatility of risky asset,respectively.Z_(t)^(m)is a standard Brownian motion.The firm’s profit,denoted by Y_(t),satisfies the following process:dY_(t)=μdt+σdZtWhereμ,σdenote the return rate and volatility of profit,respectively.Ztis a standard Brownian motion,and the correlation between Ztand Z_(t)^(m)isρ.In order to measure the liquidity preferences and following Kraft and Weiss(2019),the entrepreneur has the following utility function given by:h(C,W-θ)=[u(C)]^(α)[u(W-θ)]^(1-α),Where C is the consumption,W is the wealth andθdenotes amount of wealth that the entrepreneur invests in the risky asset.αde

关 键 词：流动性偏好 经济周期 投资消费 效用无差别定价 

分 类 号：F830[经济管理—金融学]