突发信息影响下的投资、消费及风险溢价

Abstract

Abstract: In this paper, the relation among unanticipated news,investors’strategy on consumption and investment and their influence on the risk premium are analyzed.Based on the concepts of behavioral economics and the CCAPM model, a asset pricing model concerning unanticipated news is constructed.Numerical solution of the risk premium is presented by using numerical iteration algorithm based on dynamic programming.It is showed that the relation between unanticipated news and risk premium is positive;the prior outcome of the investors' strategy influenced the risk premium as well and the relation is positive too. At last, the data from the United States and China security market is used to make a simulation study,and the equity premium puzzle is resolved.

Key words: unanticipated news, risk premium, behavioral economics

CLC Number:

F830.91
B84

CHEN Ping-lu, QIAN Ning-yu. Study on Investment, Consumption and Risk Premium under Unanticipated News[J]. Chinese Journal of Management Science, 2012, 20(5): 47-54.

References

[1] Lucas R E J. Asset prices in an exchange economy[J]. Econometrica, 1978,46(6):1429-1445.
[2] Mehra R, Prescott E. The equity premium: a puzzle[J]. Journal of Monetary Economics, 1985,15(2):145-162.
[3] Weil P.The equity premium puzzle and the risk-free rate puzzle[J]. Journal of Monetary Economics,1989,24(3):401-421
[4] Campbell J Y. Asset pricing at the millennium[J]. The Journal of Finance, 2000, 55(4):1515-1567.
[5] Piazzesi M, Schneider M,Tuzel S. Housing,consumption and asset pricing[J]. Journal of Financial Economics,2007,83:531-569.
[6] Campbell J Y,Cochrane J H.By force of habit: a consumption based explanation of aggregate stock market behavior[J]. Journal of Political Economy, 1999, 107(2): 205-251.
[7] Verdelhan A. A habit-based explanation of the exchange rate risk premium[J]. The Journal of Finance, 2010,LXV(1):123-146.
[8] Thaler R H, Johnson E J.Gambling with the house money and trying to break even: the effects of prior outcomes on risky choice[J]. Management Science,1990, 36(6): 643-660.
[9] Benartzi S,Thaler R H. Myopic loss aversion and the equity premium puzzle[J]. Quarterly Journal of Economics,1995, 110(1): 73-92.
[10] Barberis N, Huang M, Santos T.Prospect theory and asset prices[J]. Quarterly Journal of Economics,2001,116(1):41-53.
[11] Henderson V. Prospect theory, liquidation, and the disposition effect[J]. Management Science, 2012, 58(2): 445-460.
[12] Conte A, Hey J, Moffatt P. Mixture models of choice under risk[J],Journal of Econometrics,2011,162(1), 79-88.
[13] Kahneman D, Tversky A.Advances in prospect theory: cumulative representation of uncertainty[J]. Journal of Risk and Uncertainty,1992, 5(4): 297-323.
[14] 王茵田,朱英姿. 中国股票市场风险溢价研究[J]. 金融研究, 2011, (7): 152-166.
[15] 汪昌云,汪勇祥. 资产定价理论:一个探索股权溢价之谜的视角[J]. 管理世界,2007,(7):136-151.
[16] 孟卫东,何朝林. 基于信息更新的动态资产组合选择[J]. 中国管理科学,2007,15(4):21-27.
[17] 周仁才,吴冲锋. 存在老鼠仓时的投资、消费与风险溢价[J]. 管理科学学报,2010,13(7):60-67.
[18] DeBondt W F M, Thaler R H. Does the stock market overreact?[J]. Journal of Finance,1985,40(3):793-805.
[19] Daniel K, Hirshleifer D, Subrahmanyam A. Investor psychology and security market under and overreaction[J]. Journal of Finance,1998,53(6):1839-1885.
[20] Thomas J, Zhang F. Overreaction to intra-industry information transfers? [J]. Journal of Accounting Research, 2008, 46(4): 909-940
[21] Agosin M R, Huaita F. Overreaction in capital flows to emerging markets: booms and sudden stops[J]. Journal of International Money and Finance,2012, 31(5):1-16.
[22] 吴世农,吴超鹏. 盈余信息度量、市场反应与投资者框架依赖偏差分析[J]. 经济研究, 2005,(2): 54-62.
[23] 谭洪涛,蔡利,蔡春. 公允价值与股市过度反应——来自中国证券市场的经验证据[J]. 经济研究,2011,(7):130-143.
[24] Jegadeesh N, Titman S. Returns to buying winners and selling losers: implications for stock market efficiency [J]. Journal of Finance, 1993, 48(1): 65-91.
[25] Friedman M. A theory of the consumption function[M]. Princeton: Princeton Univ Press,1957.
[26] Carroll C D. Precautionary saving and the marginal propensity to consume out of permanent income[J]. Journal of Monetary Economics,2009,56(5):780-790.
[27] Shefrin H M, Thaler R H.The behavioral life-cycle hypothesis [J]. Economic Inquiry,1988,26(4):609-643.
[28] Baker M, Nagel S, Wurgler J.The effect of dividends on consumption[J]. Brookings Pap Econ Act,2007,(1): 231-276.

Study on Investment, Consumption and Risk Premium under Unanticipated News

PDF (PC)

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 7

Metrics

Comments

Recommended 10

[1]	LI Zhun, LI Qiang, ZENG Yong. The Exercise and Creation of Growth Options and Risk Premium: From the Perspective of Firm Lifecycle [J]. Chinese Journal of Management Science, 2018, 26(10): 1-9.
[2]	HUANG Shou-jun, YANG Jun. Game Analysis of Mitigation Tournament Considering Generator Heterogeneity in Duopoly Electricity Market [J]. Chinese Journal of Management Science, 2017, 25(12): 68-77.
[3]	WU Ze-fu, CHEN Jin-long, WU Jie. Earning Management, Audit Skepticism and Litigation Risk Premium [J]. Chinese Journal of Management Science, 2014, 22(12): 26-33.
[4]	XUE Ming-gao, SU Li-li. Risk Premium, Uncertainty and Multi-stages of Patent Investment [J]. Chinese Journal of Management Science, 2010, 18(3): 1-9.
[5]	MAO Ze-chun. The Premium of Stochastic Compound Risk [J]. Chinese Journal of Management Science, 2009, 17(3): 27-33.
[6]	GUO Zhan-qin, ZHOU Zong-fang, LI Jian-ping. Loan Pricing Model of Commercial Bank Based on Credit and Market Correlation Risk [J]. Chinese Journal of Management Science, 2007, 15(6): 1-6.
[7]	LUO Deng-yue, WANG Chun-feng, FANG Zhen-ming. An Empirical Research on the Relationship between Aggregate Liquidity and Asset Pricing in China Stock Market [J]. Chinese Journal of Management Science, 2007, 15(2): 33-38.