安泽量化投资联盟

中国资产管理研究中心论文推送-712-依赖信念的风险规避和学习与资产定价

中国资产管理研究中心 2021-07-19 14:16:07

依赖信念的风险规避和学习与资产定价

Journal of Financial Economics·Volume 128, Issue 3·June 2018


作者:Tony Berrada(Geneva Finance Research Institute, Univerity of Geneva; Swiss Finance Institute – Geneva)

Jérôme Detemple (Questrom School of Business, Boston University)

Marcel Rindisbacher(Questrom School of Business, Boston University)

摘要:本文研究具有不可观察的马尔可夫切换增长机制和信念相关风险规避(BDRA)的纯交换经济中的均衡。风险规避是随机的,并且非线性地依赖于消费和信念。均衡是以封闭的形式获得的。市场风险价格、利率和股票收益波动性有与信念波动相关的成分。使用广义矩量法(GMM)估计三个规范的范式。模型矩对应于实证中的各种无条件矩,包括股票溢价、股票收益波动率以及股票收益和消费与股息之间的相关性。数据的动态特征,例如股权溢价和波动性的反周期行为也被捕获。模型波动性能够很好地拟合已实现的波动性。信息风险溢价这一新因子是未来超额收益的有力预测指标。这些结果是在估计风险规避系数在1.44和1.93之间波动的情况下获得的。

关键词:资产定价难题,依赖信念的风险规避,股票溢价,无风险利率,波动率

Asset pricing with beliefs-dependent risk aversion and learning

Tony Berrada(Geneva Finance Research Institute, Univerity of Geneva; Swiss Finance Institute – Geneva),Jérôme DetempleQuestrom School of Business,  Boston University),Marcel RindisbacherQuestrom School of Business, Boston University

ABSTRACT

This paper studies equilibrium in a pure exchange economy with unobservable Markov switching growth regimes and beliefs-dependent risk aversion (BDRA). Risk aversion is stochastic and depends nonlinearly on consumption and beliefs.Equilibrium is obtained in closed form. The market price of risk, the interest rate, and the stock return volatility acquire new components tied to fluctuations in beliefs. A three-regime specification is estimated using the generalized method of moments (GMM). Model moments match their empirical counterparts for a variety of unconditional moments, including the equity premium, stock returns volatility, and the correlations between stock returns and consumption and dividends. Dynamic features of the data, such as the countercyclical behaviors of the equity premium and volatility, are also captured. Model volatility provides a good fit for realized volatility. A new factor, the information risk premium, is found to be a strong predictor of future excess returns. These results are obtained with an estimated risk aversion fluctuating between 1.44 and 1.93.

Keywords: Asset pricing puzzles, Beliefs-dependent risk aversion, Equity premium, Risk-free rate, Volatility


翻译:何杉


中央财经大学中国资产管理研究中心
        中央财经大学中国资产管理研究中心依托于中央财经大学金融学院成立,中心致力于针对中国资产管理市场实践的独立学术研究,为中国资产市场发展提供基于学术研究的政策建议,为中国资产管理机构提供咨询服务。“以学术服务市场,以市场检验学术”,努力打造成在中国资产管理市场中具有一定影响力的智库。






论文请点击下方“阅读原文”
↓↓↓


友情链接