带有价格波动项的行为资产定价模型研究——投资与消费之间的均衡分析
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财经研究 2005 年 第 31 卷第 11 期, 页码：31 - 42
摘要
参考文献
摘要
文章根据我国股市的特点,对Barberis、Huang和Santos(2001)的模型进行了改进,推导出了带有波动项的行为资产定价模型。并用该模型对西方7国无风险利率及股票溢价进行了检验,发现该CCAPM模型不能解释我国证券市场的溢价现象,Mehra和Prescott(1985)发现的“股票溢价之谜”在我国同样存在。相比以前的分析方法,文章所考虑的模型比较符合我国证券市场的特征。文章最后利用经修正的模型对我国股票市场的溢价进行了分析。
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[7]Kahnman,Daniel and Amos Tversky.Prospect theory:An analysis of decision underrisk[J].Econometrica,1979,47:263~291.
[8]Nicholas,Barberis,and Ming,Huang.Mental accounting,loss aversion,and individualstock returns[J].Journal of Finance,2001,117:1247~1292.
[9]Mehra,Rajnish and Edward Prescott.The equity premium puzzle[J].Journal ofMonetary Economics,1985,15:145~161.
[10]Mehra,Rajnish and Edward C Prescott.The premium in retrospect[M].Handbook ofThe Economics of Finance,2003.
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[13]Tversky,Amos and Daniel Kahneman.Advances in prospect theory:Culmulativerepresentation of uncertainty[J].Journal of Risk and Uncertainty,1992,5:297~323.
[14]陈彦斌,周业安.行为资产定价理论综述[J].经济研究,2004,(6):117~127.
[15]廖理,汪毅慧.中国股票市场风险溢价研究[J].金融研究,2003,(4):23~31.
[16]吴世农,许年行.资产的理性定价模型和非理性定价模型的比较研究[J].经济研究,2004,(6):105~116.
[17]国家统计局.中国统计年鉴1997、2002、2003、2004[M].北京:中国统计出版社,1997.
引用本文
张树德. 带有价格波动项的行为资产定价模型研究——投资与消费之间的均衡分析[J]. 财经研究, 2005, 31(11): 31–42.
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