Quasi-variable Discount Rates and Market Volatility: An Empirical Study  

作　　者：Pengju Zhao Wei Zhang Xi Wu Peter C.Coyte 

机构地区：[1]Economics and Management School,Zhongyuan University of Technology,Zhengzhou,450007,China [2]Economics and Management School,Tianjin University,Tianjin,300072,China [3]Economics and Management School,System and Industrial Engineering Research Centre,Zhongyuan University of Technology,Zhengzhou,450007,China [4]Institute of Health Policy,Management and Evaluation(HPME),School of Public Health,University of Toronto,Toronto,M5R 0A3,Canada

出　　处：《Journal of Systems Science and Systems Engineering》2023年第5期515-530,共16页系统科学与系统工程学报（英文版）

基　　金：funded by National Natural Science Foundation of China under Grant Nos. 71320107003 and 71661137001.

摘　　要：This paper proposes an assumption of quasi-variable discount rates to explain the excess volatility puzzle of stock market. Under the assumption, the ARMAX model is derived based on the CCAPM model and CRRA utility function to describe the linear relationship between the discount rate and the consumption growth rate. We conducted empirical research on this model using historical data of the US stock market. The results confirm a significantly negative relationship between consumption growth rate and discount rate. Subsequently, the results of Monte Carlo simulation show that given the risk preference coefficient and dividend sequence, the rational expectations price fluctuation obtained under the assumption of quasivariable discount rate is the largest.

关 键 词：Stochastic discount factor market volatility dividend discount model ARMAX 

分 类 号：F831.51[经济管理—金融学]