本文選題：長(zhǎng)期風(fēng)險(xiǎn)模型　切入點(diǎn)：股權(quán)溢價(jià)之謎　出處：《廈門(mén)大學(xué)》2014年碩士論文

【摘要】：三十多年來(lái)在金融經(jīng)濟(jì)領(lǐng)域中取得的輝煌成就之一便是基于消費(fèi)的資本資產(chǎn)定價(jià)模型(CCAPM)。但是被寄予厚望的CCAPM卻無(wú)法解釋金融市場(chǎng)中經(jīng)典的三大未解之謎,如“股權(quán)溢價(jià)之謎”、“無(wú)風(fēng)險(xiǎn)利率之謎”和“股權(quán)波動(dòng)性之謎”。長(zhǎng)期風(fēng)險(xiǎn)模型(BansalYaron (2004))是基于要解決三大未解之謎而提出的,而模型的實(shí)證結(jié)果可以合理、完美地詮釋三大謎。但是長(zhǎng)期風(fēng)險(xiǎn)模型是否真的可以正確合理地模擬現(xiàn)實(shí)世界,至今仍存在很大的爭(zhēng)議。本文嘗試用仿真動(dòng)差函數(shù)法(EMSM)來(lái)檢驗(yàn)長(zhǎng)期風(fēng)險(xiǎn)模型是否合理。長(zhǎng)期風(fēng)險(xiǎn)模型最為核心的模型設(shè)定是假設(shè)存在一個(gè)不可觀測(cè)的很小的關(guān)于長(zhǎng)期消費(fèi)的風(fēng)險(xiǎn)因子xt,并假設(shè)它分別與消費(fèi)增長(zhǎng)、分紅增長(zhǎng)的關(guān)系是存在含殘差項(xiàng)的線性方程。故本文在假設(shè)不可觀測(cè)變量xt存在的基礎(chǔ)上,用EMSM來(lái)檢驗(yàn)它與消費(fèi)的增長(zhǎng)、分紅的增長(zhǎng)關(guān)系是否顯著,并進(jìn)一步檢驗(yàn)長(zhǎng)期風(fēng)險(xiǎn)模型的關(guān)鍵方程的內(nèi)部設(shè)定是否合理。
[Abstract]:One of the brilliant achievements in the financial and economic field over the past three decades has been the consumption-based capital asset pricing model (CCAPM). But the CCAPM, which has high hopes, cannot explain the three classic unsolved mysteries in financial markets. For example, "the riddle of equity premium", "the riddle of risk-free interest rate" and "the mystery of equity volatility". The long-term risk model Bansal Yaron / 2004 is based on solving three unsolved riddles, and the empirical results of the model are reasonable. A perfect interpretation of the three mysteries. But can long-term risk models really simulate the real world correctly and reasonably? There is still a lot of controversy. This paper attempts to use the EMSM method to test whether the long-term risk model is reasonable. The core of the long-term risk model is to assume that there is an unobservable and small model. The risk factor for long-term consumption, xt, and assuming that it is separately associated with consumption growth, The relationship between dividend increase and consumption growth is linear equation with residuals. Therefore, on the basis of supposing the existence of non-observable variable xt, this paper uses EMSM to test the relationship between the increase of dividend and consumption, and whether the increase of dividend is significant or not. Furthermore, the internal setting of the key equation of long-term risk model is proved to be reasonable.
【學(xué)位授予單位】：廈門(mén)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F224;F830.91

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