流动性偏好企业家动态投资消费与企业资产定价

doi:10.16381/j.cnki.issn1003-207x.2020.1040

中国管理科学 ›› 2023, Vol. 31 ›› Issue (2): 1-8.doi: 10.16381/j.cnki.issn1003-207x.2020.1040

流动性偏好企业家动态投资消费与企业资产定价

罗鹏飞, 陆婷

湖南大学金融与统计学院，湖南长沙410079

收稿日期:2020-06-02 修回日期:2020-08-11 出版日期:2023-02-20 发布日期:2023-02-28
通讯作者: 陆婷(1998-)，女(汉族)，安徽六安人，湖南大学金融与统计学院，博士研究生，研究方向：资产定价与公司金融，Email:luting19980112@163.com. E-mail:luting19980112@163.com
基金资助:
国家自然科学基金资助项目(72001074)；湖南省自然科学基金资助项目(2021JJ40132)

Dynamic Investment and Consumption Decisions and Firm’s Asset Pricing of Entrepreneurs with Liquidity Preferences

LUO Peng-fei, LU Ting

School of Finance and Statistics, Hunan University, Changsha 410079, China

Received:2020-06-02 Revised:2020-08-11 Online:2023-02-20 Published:2023-02-28
Contact: 陆婷 E-mail:luting19980112@163.com

摘要/Abstract

摘要： 假设流动性偏好企业家拥有企业收益，其财富可用来投资无风险资产和风险资产，也用于消费；同时，市场是非完备的，企业特质风险无法被对冲。为了探究流动性偏好对企业家投资消费决策以及企业资产定价的影响，文章采用效用无差别定价理论与动态规划方法，得到了企业家最优投资消费策略以及企业效用无差别价格的闭式解,继而得到如下结论：流动性偏好降低了企业家风险资产投资以及当前消费，同时减弱了企业家预防性储蓄动机和企业风险对冲动机，并显著地降低了企业效用无差别价格。此外，作为拓展研究，文章引入了企业经济周期，发现流动性偏好削弱了经济周期对企业家投资消费和企业效用无差别价格的影响。最后，文章主要结论为一些金融现象提供了可能性的经济解释。

关键词: 流动性偏好；经济周期；投资消费；效用无差别定价

Abstract: In 2018, trade frictions between China and the US result in a downward trend in the stock market. The central bank reduces the reserve requirement and continue to increase the policy easing, which ensure the improvement of liquidity and stabilize the market trend. With the outbreak of COVID-19, the liquidity crisis causes four stock circuit-breakers in the United States and leads to turbulence in global stock markets. Thus, the liquidity problem affects the stability of the financial market, which in turn affects the development of firm. From the micro side, liquidity can also bring the entrepreneur utility to a certain extent. Therefore, entrepreneurs have liquidity preferences. What influence will entrepreneurs' liquidity preferences have on investment and consumption decisions and asset pricing? In addition, product technology innovation causes firm’s business cycle, which has the effect on investment and consumption decisions and asset pricing. How do the liquidity preferences affect the impact of business cycle on the solutions. As far as the author knows, there exit no paper to study the above problem, so this paper aims to fill this gap.

Key words: liquidity preference; business cycle; investment and consumption; utility indifferences pricing

中图分类号:

F830

罗鹏飞, 陆婷. 流动性偏好企业家动态投资消费与企业资产定价[J]. 中国管理科学, 2023, 31(2): 1-8.

LUO Peng-fei, LU Ting. Dynamic Investment and Consumption Decisions and Firm’s Asset Pricing of Entrepreneurs with Liquidity Preferences[J]. Chinese Journal of Management Science, 2023, 31(2): 1-8.

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流动性偏好企业家动态投资消费与企业资产定价

Dynamic Investment and Consumption Decisions and Firm’s Asset Pricing of Entrepreneurs with Liquidity Preferences

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