全程动态信用管理事前赊销风险规避

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1、全程动态信用管理事前赊销风险规避短视性风险规避模型解释股票溢价之迷MyopicRiskAversionModelExplainingtheEquityPremiumPuzzleSubmittedto:TheFourthChinaEconomicsAnnualConferenceSubmittedField:FinanceWrittenBy:ArielYuanyuanLeungGraduateStudentMathematicalFinanceDepartmentUniversityofTorontoAddress:720SpadinaAvenue,Suite219Toron

2、to,Ontario,CanadaM5S2T9ABSTRACTInthisstudyIbuiltaMyopicRiskAversionModelasabehaviorexplanationoftheEquityPremiumPuzzle,whichisthesurprisingfactthatstockshaveoutperformedbondsbyanincrediblylargemargindespitetheirsimilarstatesofnature3>.InparticularIconstructakinkattheoriginoftheutilityfunct

3、ionundertherecursiveframework,wherethemarginaleffectoflossfunctionisbiggerthanthegainone,andtherelativerisk-aversionrateoflossisbiggerthanthegain.ThenIcomparethisfunctionwiththetraditionalRationalConsumption-BasedCAPMmodelbyanumericalsimulationintheprogrammingpackageGAUSS.Myresultsdemonstr

4、atethattheMyopicRiskAversionModelcanexplaintheEquityPremiumPuzzlemuchbetterthantheRationalConsumption-basedCAPMtheories.Suggestionsforfurtherimprovement,suchasconsideringdividendtaxesorcombiningthehabitformationmodels,areprovidedinthelastpart.内容摘要拙文基于行为金融学中的投资者非理性预期假定，建立了一个短视性风险规避模型以解释股票溢价

5、之谜，并用实验数据与理性假定下基于消费之资本资产定价模型进行比较。模型采取递归推导法，在原效用模型中加入了一个拐点，使得损失方程的边际效用大于收益方程的边际效用，并且让相对风险规避率在损失时高于收益时。理论数据由GAUSS模拟，其结果证明此短视性风险规避模型比传统的基于消费之资本资产定价模型更好的解释了股票溢价之谜。论文最后提供了进一步研究的建议，如在模型内加入印花税分红税等外生变量，以及与习惯形成模型结合等。关键字短视性风险规避模型，股票溢价之谜，基于消费之资本资产定价模型TABLEOFCONTENTSAbstract...........................

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