中国管理科学 ›› 2023, Vol. 31 ›› Issue (7): 22-37.doi: 10.16381/j.cnki.issn1003-207x.2021.1553
陈国进1, 刘元月1, 陈凌凌2, 赵向琴1
收稿日期:
2021-08-07
修回日期:
2021-10-28
出版日期:
2023-07-17
发布日期:
2023-07-17
通讯作者:
赵向琴 (1966-),女 (汉族),山西孝义人,厦门大学经济学院,教授,博士生导师,研究方向:宏观金融、资产定价、金融计量,Email:xqzhao@xmu.edu.cn.
E-mail:xqzhao@xmu.edu.cn
基金资助:
CHEN Guo-jin1, LIU Yuan-yue1, CHEN Ling-ling2, ZHAO Xiang-qin1
Received:
2021-08-07
Revised:
2021-10-28
Online:
2023-07-17
Published:
2023-07-17
Contact:
赵向琴
E-mail:xqzhao@xmu.edu.cn
摘要: 投资者对下行风险和上行风险的非对称偏好,特别是投资者失望厌恶对资产定价的影响,近年来受到广泛关注。本文在基于消费的资本资产定价模型(CCAPM)框架下引入投资者的广义失望厌恶,构建了包含广义失望厌恶的五因子资产定价模型(GDA五因子模型),并以2006—2020年中国A股上市公司为样本进行了实证检验。研究发现:(1) GDA五因子在个股和资产组合层面被定价,且下行风险因子、市场波动率变化因子和波动率下行因子定价效果显著;(2) 与其他主流定价模型相比,GDA五因子模型能够更好地解释超额收益率在不同资产组合中的横截面变化;(3) GDA五因子模型也能够更好地解释A股市场的异象。因此,我国股票市场的横截面超额收益反映了对下行风险的定价,考虑投资者失望厌恶偏好有助于更好地理解我国股票市场的风险溢价和金融异象。
中图分类号:
陈国进, 刘元月, 陈凌凌, 赵向琴. 广义失望厌恶、下行风险与中国股票市场定价[J]. 中国管理科学, 2023, 31(7): 22-37.
CHEN Guo-jin, LIU Yuan-yue, CHEN Ling-ling, ZHAO Xiang-qin. Generalized Disappointment Aversion,Downside Risk and Asset Pricing of Chinese Stock Market[J]. Chinese Journal of Management Science, 2023, 31(7): 22-37.
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