全程动态信用管理事前赊销风险规避.docVIP

全程动态信用管理事前赊销风险规避 解释股票溢价之迷 Myopic Risk Aversion Model Explaining the Equity Premium Puzzle Submitted to: The Fourth China Economics Annual Conference Submitted Field: Finance Written By: Ariel Yuanyuan Leung Graduate Student Mathematical Finance Department University of Toronto Address: 720 Spadina Avenue, Suite 219 Toronto, Ontario, Canada M5S 2T9 ABSTRACT In this study I built a Myopic Risk Aversion Model as a behavior explanation of the Equity Premium Puzzle, which is the surprising fact that stocks have outperformed bonds by an incredibly large margin despite their similar states of nature3. In particular I construct a kink at the origin of the utility function under the recursive framework, where the marginal effect of loss function is bigger than the gain one, and the relative risk-aversion rate of loss is bigger than the gain. Then I compare this function with the traditional Rational Consumption-Based CAPM model by a numerical simulation in the programming package GAUSS. My results demonstrate that the Myopic Risk Aversion Model can explain the Equity Premium Puzzle much better than the Rational Consumption-based CAPM theories. Suggestions for further improvement, such as considering dividend taxes or combining the habit formation models, are provided in the last part. 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 TABLE OF CONTENTS Abstractii Table of Contentsii List of Figuresiv List of Tables…iv Glossary….v 1 Introduction1 2 Myopic Risk Aversion Model3 2.1 The Recursive Method……………………………………………………3 2.2 The Kinked Utility …………………厖厖厖厖厖厖厖E OF CO.6 3 Calibration And Results Analysis……………………………………………7 3.1 Calibration………………………………………………………………..7 3.2 Result Analysis…………………………………………………………...8 4 Conclusion and Fu