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.2020.1040cstr: 32146.14.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.

参考文献

［1］ Merton R C. Optimum consumption and portfolio rules in a continuous-time model［J］. Journal of Economic Theory, 1971, 3(4): 374-413.
［2］ Gong Liutang, Smith W, Zou Hengfu. Consumption and risk with hyperbolic discounting［J］. Economics Letters, 2006, 96(2): 153-160.
［3］ Marín-Solano J, Navas J. Consumption and portfolio rules for time-inconsistent investors［J］. European Journal of Operational Research, 2010, 201(3): 860-872.
［4］ Zou Ziran, Chen Shou, Wedge L. Finite horizon consumption and portfolio decisions with stochastic hyperbolic discounting［J］. Journal of Mathematical Economics, 2014, 52: 70-80.
［5］ Curatola G. Optimal portfolio choice with loss aversion over consumption［J］. Quarterly Review of Economics and Finance, 2017, 66: 345-358.
［6］ Luo Yulei. Robustly strategic consumption-portfolio rules with informational frictions［J］. Management Science, 2017, 63(12): 4158-4174.
［7］彭涓, 靳玉英, 杨金强. 基于过度外推的最优投资与消费策略［J］. 管理科学学报, 2017, 20(3): 56-62.Peng Juan, Jin Yuying, Yang Jinqiang. Optimal investment and consumption based on over-extrapolation［J］. Journal of Management Sciences in China, 2017, 20(3): 56-62.
［8］ Levaggi R, Menoncin F. Optimal dynamic tax evasion: a portfolio approach［J］. Journal of Economic Behavior and Organization, 2016, 124：115-129.
［9］李爱忠, 汪寿阳, 彭月兰. 考虑随机利率和通货膨胀的连续时间资产组合选择［J］.中国管理科学, 2019, 27(2): 61-70.Li Aizhong, Wang Shouyang, Peng Yuelan. Continuous-time asset allocation strategy with inflation and stochastic interest rates［J］. Chinese Journal of Management Science, 2019, 27(2): 61-70.
［10］ Miao Jianjun, Wang Neng. Investment, consumption, and hedging under incomeplete markets［J］. Journal of Financial Economics, 2006, 86(3): 608-642.
［11］ Wang Neng. Optimal consumption and asset allocation with unknown income growth［J］. Journal of Monetary Economics, 2009, 56(4): 524-534.
［12］叶文忠, 杨招军, 郑毅. 抵押贷款证券的效用无差别定价［J］. 中国管理科学, 2010, 18(4): 21-27.Ye Wenzhong, Yang Zhaojun, Zhenyi. Utility indifference pricing of mortgage-backed securities［J］. Chinese Journal of Management Science, 2010, 18(4): 21-27.
［13］ Sorensen M, Wang Neng, Yang Jinqiang. Valuing private equity［J］. The Review of Financial Studies, 2014, 27(7): 1977-2021.
［14］王晓林, 杨招军. 基于效用的公司证券定价与资本结构选择［J］. 系统工程理论与实践, 2014, 34(1): 13-24.Wang Xiaolin, Yang Zhaojun. Utility-based pricing of corporate securities and capital structure choice［J］.Systems Engineering-Theory & Practice, 2014, 34(1): 13-24.
［15］赵丽, 黄文礼, 李胜宏. 部分信息实物投资的消费效用无差别定价［J］. 系统工程理论与实践, 2016, 36(3): 604-612.Zhao Li, Huang Wenli, Li Shenghong. Consumption utility-based pricing of the option to invest with partial information ［J］. Systems Engineering-Theory & Practice, 2016, 36(3): 604-612.
［16］ Sidrauski M. Rational choice and patterns of growth in a monetary economy［J］. The American Economic Review, 1967, 57: 534-544.
［17］ Balvers R J, Huang Danyong. Money and the C-CAPM［J］. Journal of Financial and Quantitative Analysis, 2009, 44(2): 337-368.
［18］ Gu Li, Huang Dayong. Consumption, money, intratemporal substitution, and cross-sectional asset returns［J］. Journal of Financial Research, 2013, 36(1): 115-146.
［19］ Kraft H, Weiss F. Consumption portfolio choice with preferences for cash［J］. Journal of Economic Dynamics and Control, 2019, 98: 40-59.
［20］ Lioui A, Tarelli A. Macroeconomic environment, money demand and portfolio choice［J］. European Journal of Operational Research, 2019, 274(1): 357-374.
［21］ Luo Pengfei，Ma Yong. Robustly dynamic tax evasion and consumption with preferences for cash［J］. International Review of Finance, 2021, 21(3): 1078-1088.
［22］周忠宝, 任甜甜, 肖和录,等. 基于相对财富效用的多阶段投资组合博弈模型［J］. 中国管理科学, 2019, 27(1): 34-43.Zhou Zhongbao, Ren Tiantian, Xiao Helu, et al. Multi-period portfolio game model based on relative wealth utility［J］. Chinese Journal of Management Science, 2019, 27(1): 34-43.
［23］ Chen Hui, Manso G. Macroeconomic risk and debt overhang［J］. Review of Corporate Finance Studies, 2016, 6(1): 1-38.

[1]	王良, 何俊杰, 黄国庆, 张金辉, 王潇涵. 基于前景理论与Bayes后验信念的风险投资项目最优投资时机研究[J]. 中国管理科学, 2026, 34(6): 22-35.
[2]	徐涛, 陈庭强. 银行拆借偏好、网络结构演化与金融风险传染[J]. 中国管理科学, 2026, 34(6): 1-12.
[3]	江雨燕, 黄体臣, 甘如美江, 王付宇. 基于KANsLTformer的黄金期货价格预测研究[J]. 中国管理科学, 2026, 34(5): 11-20.
[4]	朱鹏飞, 卢团团, 魏宇, 林莎. 基于多小波降噪—分形标幅双集成法的股指期货套期保值比率估计研究[J]. 中国管理科学, 2026, 34(5): 21-34.
[5]	吴鑫育, 尹学宝, 谢海滨, 马超群. 基于成分Realized EGARCH模型的期权定价研究[J]. 中国管理科学, 2026, 34(4): 22-33.
[6]	张晗, 赵骅, 李志国, 蒋莉. 碳排放区域转移视角下政府规制与企业投资[J]. 中国管理科学, 2026, 34(4): 330-342.
[7]	王远平, 杨金强, 孟祥煜. 时间偏好不一致性下的消费和投资选择——基于投资业绩稳定的视角[J]. 中国管理科学, 2026, 34(4): 1-12.
[8]	俞乃畅, 程康, 李心丹, 杨学伟. 权证实现了股权分置改革对价支付功能吗？[J]. 中国管理科学, 2026, 34(3): 1-14.
[9]	武瑶瑶, 邹镇涛. 模型不确定性下的企业最优资本结构[J]. 中国管理科学, 2026, 34(3): 51-56.
[10]	张永, 黄清梅, 郑萧腾, 王福鼎, 杨兴雨. 考虑投资者关注度的反转型在线投资组合策略[J]. 中国管理科学, 2026, 34(2): 56-66.
[11]	吴鑫育, 朱志田, 马超群. 经济政策不确定性与中国股市波动率——基于已实现SV-MIDAS模型的实证研究[J]. 中国管理科学, 2026, 34(1): 28-40.
[12]	陈镇喜, 李京翰, 张维. 股价同步性——信息与噪声的统一框架[J]. 中国管理科学, 2026, 34(1): 41-59.
[13]	马勇, 陈犁, 陈炜. 货币政策公告前的股价漂移：形成机理与影响因素[J]. 中国管理科学, 2026, 34(1): 60-71.
[14]	李志楠, 雷静悦, 沈沛龙. 信息溢出对银企担保网络流动性风险传染的影响研究[J]. 中国管理科学, 2025, 33(12): 26-40.
[15]	崔毅安, 韦立坚, 熊熊. 计算实验与订单簿市场建模发展动态综述[J]. 中国管理科学, 2025, 33(12): 1-12.

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

PDF (PC)

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 15

Metrics

本文评价

推荐阅读 0