资本资产定价研究:基于损失厌恶、追赶时髦和习惯形成的新进展

为了推进资产定价理论的研究以及更好的解释重要的市场异象,本文通过在效用函数中引入投资者的异质假定,构造了一个投资者偏好由习惯形成,追赶时髦以及损失厌恶共同决定的效用函数,并在这个更加真实的效用函数的基础上建立了一个能够更好的解释市场异象的新的消费基础资本资产定价模型.另外,文章运用欧拉方程推出了模型的资产收益定价方程.通过定价方程,我们可以期望更好的同时解释溢价之谜,无风险利率之谜等重要的市场异象.这证明了引入合理的行为偏好才是解决股票溢价等问题的关键.

Study of Asset Pricing:A New Advancement Based on loss Aversion,Catching up With the Joneses and the Formation of the Habit

For advancing the research of the asset pricing theory and interpreting the important market anomalies more, according to the introduction of the heterogeneity supposition of the investors, this paper constructs an utility function whose investor preferences are jointly decided by the formation of the habit, catching up with the Jones and loss aversion. Moreover, based on the more actual utility function, we develop a new consumption-based asset pricing model which can interpret the anomalies well. In addition, the pricing equations of the returns of assets of the model is derived via the Euler equation. Making use of the pricing equations, we can expect to explain the important anomalies such as equity premium puzzle, volatility puzzle and risk-free rate puzzle. It is proved that the key of settling the problems such as equity premium is the introduction of the reasonable behavior preferences.