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本文在CCAPM模型及行为经济学理论基础上建立突发信息影响下的资产定价模型,借此探讨突发信息对投资者主观决策以及风险溢价的影响,并利用数值迭代法给出了风险溢价的数值解。研究结果表明:突发信息所产生的正面影响会提高风险溢价,反之则降低溢价值,为解释“追涨杀跌”现象提供新视角;同时发现,投资者先期投资决策的结果好坏与风险溢价呈正向关系。最后利用中美两国证券市场数据进行数据模拟,结果表明本模型较好的避免了“股权溢价之谜”和“无风险利率之谜”。
Based on the CCAPM model and the behavioral economics theory, this paper establishes the asset pricing model under the influence of the burst information to explore the impact of the burst information on the investor’s subjective decision-making and risk premium. The numerical iteration method is used to give the risk premium Numerical Solution. The results show that: the positive impact of sudden information will increase the risk premium, and vice versa reduce the value of spillover, to provide a new perspective for explaining the phenomenon of “chase sell”; also found that the results of the investor’s initial investment decision is good or bad Positive relationship with risk premium. Finally, the data of China and the United States using the stock market data simulation, the results show that the model is better to avoid “equity premiums ” and “risk-free interest rate ”.