有政府的动态资产定价模型
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财经研究 2005 年 第 31 卷第 08 期, 页码：78 - 90
摘要
参考文献
摘要
文章建立了一个有政府的动态资产定价模型。政府被模型化为具有垄断力量的市场参与者,它可以利用自己的税收和交易行为影响市场。我们求解了一个政府先行,私人跟随的均衡,得到了一个资产定价的双因子(总消费因子和税收因子)模型。文章证明:资产的超额收益不但取决于与总消费的相关性,还受与政府税收相关性的影响;资本市场的波动行为依赖于税收的随机模式。我们的模型预言,在一个政府作用比较大的经济体里,如果忽略政府的作用,单因子的ICAPM可能低估均衡的股权超额收益。同没有政府的经济相比,有政府经济中风险资产的波动率会更高。分析还表明:在动态资产定价模型中引入政府行为是可能的。
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[3]Darrell Duffie.Stochastic equilibria:Existence,spanning number,and the no expected fi-nancial gain from trade’hypothesis[J].Econometrica,1986,54(5):1161~1184.
[4]Darrell Duffie, William Zame.The consumption-based capital asset pricing model [J].Econometrica,1989,57(6):1279~1297.
[5]Darrell Duffie.Dynamic asset pricing theory[M].Princeton University Press,2001.
[6] Darrell Duffie, Chi-Fu Huang.Implementing arrow-debreu equilibria by continuoustrading of few long-lived securities[J].Econometrica,1985,53(6):1337~1356.
[7]J Cox C Huang.Optimal consumption and portfolio policies when asset prices follow adiffusion process[J].Journal of Economic Theory,1989,43:33~83.
[8]Karatzas Ioannis,Shreve Steven.Methods of mathematical finance[M].3rd,2001, XV,415.
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[10] Lindenberg E.Capital market equilibrium with price affecting institutional investors[R].TIMS Studies in the Management Sciences,1979.
[11] Robert C Merton.An intertemporal capital asset pricing model [ J].Econometrica,1973,41(5):867~887.
[12]Robert C Merton,G Subrahmanyam.The optimality of a competitive stock market [J].The Bell Journal of Economics and Management Science,1974,5(1):145-170.
[13]Robert E Lucas Jr.Asset prices in an exchange Economy[J].Journal of Political Econ-omy,1978,46(6):1429~1445.
[14]Suleyman Basak.Dynamic consumption portfolio choice[R].London business School,Working Paper Series,1999.
[15]Suresh M Sundaresan.Continuous-time methods in finance: A review and an assess-ment[J].Journal of Finance,2000.
引用本文
徐爽. 有政府的动态资产定价模型[J]. 财经研究, 2005, 31(8): 78–90.
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