跨期行为资产定价下风险与收益关系检验

›› 2016, Vol. 28 ›› Issue (10): 50-57.

跨期行为资产定价下风险与收益关系检验

刘祥东, 杜春苓, 王峰, 刘澄

北京科技大学东凌经济管理学院, 北京 100083

收稿日期:2015-05-25 出版日期:2016-10-28 发布日期:2016-10-31
作者简介:刘祥东,北京科技大学东凌经济管理学院讲师,博士;杜春苓,北京科技大学东凌经济管理学院硕士研究生;王峰,北京科技大学东凌经济管理学院,硕士;刘澄,北京科技大学东凌经济管理学院教授,博士生导师。
基金资助:
国家自然科学基金项目（71420107023；71402005）；北京市优秀人才培养项目（2015000020124G044）；国家留学基金项目（201506465053）；中央高校基本科研业务费项目（FRF-TP-15-031A2）。

Testing the Risk-return Relationship under Intertemporal Behavioral Asset Pricing

Liu Xiangdong, Du Chunling, Wang Feng, Liu Cheng

Donlinks School of Economics and Management, University of Science and Technology Beijing, Beijing 100083

Received:2015-05-25 Online:2016-10-28 Published:2016-10-31

摘要/Abstract

摘要：

系统性风险与收益正相关是资本资产定价模型的基本推论，一些关于两者关系的实证研究发现它们并不显著正相关，导致这种现象的原因可能是使用历史收益率代理未来收益率。本文利用股票收益与价格之比（E/P）作为未来收益率的估计量，结合跨期资本资产定价模型（ICAPM）进行实证检验，验证了我国市场风险与收益之间的正相关关系。在此基础上，考虑到投资者异质性可能会对风险与收益关系产生影响，在行为资产定价框架下将投资者按投资方式分为三类异质交易者进行实证，验证了我国市场风险与收益的正相关性，以及三类异质交易者的存在。研究结论为行为金融理论提供了新的证据。

关键词: 跨期风险与收益, E/P值, 异质信念, 行为资产定价

Abstract:

It is a basic inference of capital asset pricing model (CAPM) that there is a positive relationship between systemic risk and yield, but some empirical studies proved that the relations are not significantly positive, which may result from using historical returns as unbiased estimates of the expected yield. According to intertemporal capital asset pricing model (ICAPM), this paper carries out an empirical test by using the ratio of stock's returns and price (E/P ratio) as a proxy for the expected yield, and testifies the positive correlation in Chinese stock market. On this basis, considering the impact of investors' heterogeneous belief on the relationship between risk and return, the traders are divided into three categories in accordance with investment characteristic in the framework of behavioral asset pricing. The empirical results again show that there exist both a significantly positive relation between risk and return and three kinds of heterogeneous traders, which provide new evidence for behavioral financial theories.

Key words: intertemporal risk-return tradeoff, E/P ratio, heterogeneous belief, behavioral asset pricing

刘祥东, 杜春苓, 王峰, 刘澄. 跨期行为资产定价下风险与收益关系检验[J]. , 2016, 28(10): 50-57.

Liu Xiangdong, Du Chunling, Wang Feng, Liu Cheng. Testing the Risk-return Relationship under Intertemporal Behavioral Asset Pricing[J]. , 2016, 28(10): 50-57.

参考文献

[1] Merton R. C. An Intertemporal Capital Asset Pricing Model[J]. Econometrica, 1973,41(5):867-887
[2] Khan M. Are Accruals Mispriced? Evidence from Tests of An Intertemporal Capital Asset Pricing Model[J]. Journal of Accounting & Economics, 2008,45(1):55-77
[3] Bali T. G., Engle R. F. The Intertemporal Capital Asset Pricing Model with Dynamic Conditional Correlations[J]. Journal of Monetary Economics, 2010,57(4):377-390
[4] Hammami Y., Lindahl A. An Intertemporal Capital Asset Pricing Model with Bank Credit Growth as A State Variable[J]. Journal of Banking & Finance, 2014,39(2):14-28
[5] Li Q., Yang J., Hsiao C., et al. The Relationship Between Stock Returns and Volatility in International Stock Markets[J]. Journal of Empirical Finance, 2005,12(5):650-665
[6] Kanas A. Modelling the Risk-return Relation for the S&P 100:The Role of VIX[J]. Economic Modelling, 2012,29(3):795-809
[7] Salvador E., Floros C., Arago V. Re-examining the Risk-return Relationship in Europe:Linear or Non-linear Trade-off?[J]. Journal of Empirical Finance, 2014,28(3):60-77
[8] Ghysels E., Santa-Clara P., Valkanov R. There is a Risk-return Trade-off After All[J]. Journal of Financial Economics, 2005,76(3):509-548
[9] Jiang X., Lee B. The Intertemporal Risk-return Relation:A Bivariate Model Approach[J]. Journal of Financial Markets, 2014,18(1):158-181
[10] Boswijk H. P., Hommes C. H., Manzan S. Behavioral Heterogeneity in Stock Prices[J]. Journal of Economic Dynamics & Control, 2007,31(6):1938-1970
[11] Lundblad C. The Risk Return Tradeoff in the Long Run:1836-2003[J]. Journal of Financial Economics, 2007,85(1):123-150
[12] Campello M., Long C., Lu Z. Expected Returns, Yield Spreads, and Asset Pricing Tests[J]. Review of Financial Studies, 2008,21(3):1297-1338
[13] Wu W. The Forward E/P Ratio and Earnings Growth[J]. Advances in Accounting, 2014,30(1):128-142
[14] 王宜峰,王燕鸣.投资者情绪在资产定价中的作用研究[J]. 管理评论, 2014,26(6):42-55
[15] 王宜峰,王燕鸣,吴国兵.公司投资对股票收益的影响研究[J]. 管理评论, 2015,27(1):103-113
[16] 张矢的,高明宇,吴斌.未充分分散投资下的资本资产定价模型:基于中国A股市场的实证检验[J]. 管理评论, 2014,26(10):24-37
[17] Miller E. M. Risk, Uncertainty, and Divergence of Opinion[J]. Journal of Finance, 1977,32(4):1151-1168
[18] Panchenko V., Gerasymchuk S., Pavlov O. V. Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions[J]. Journal of Economic Dynamics and Control, 2013, 37(12):2623-2642
[19] Yang C., Zhang R. Dynamic Asset Pricing Model with Heterogeneous Sentiments[J]. Economic Modelling, 2013,33:248-253
[20] Anufriev M., Tuinstra J. The Impact of Short-selling Constraints on Financial Market Stability in a Heterogeneous Agents Model[J]. Journal of Economic Dynamics and Control, 2013,37(8):1523-1543
[21] 朱宝军,吴冲锋.异质投资者与资产定价:一个新的资本资产定价模型[J]. 数量经济技术经济研究, 2005,(6):154-161
[22] 张维,张永杰.异质信念、卖空限制与风险资产价格[J]. 管理科学学报, 2006,(4):58-64
[23] 胡盈,吴冲锋.基于资产链的异质投资者资本资产定价模型[J]. 管理工程学报, 2011,(3):62-67
[24] 马健,刘志新,张力健.异质信念、融资决策与投资收益[J]. 管理科学学报, 2013,16(1):59-73
[25] 尹慧,赵国庆.异质信念、卖空限制与股票收益[J]. 上海经济研究, 2013,(12):85-94
[26] Fama E. F., French K. R. Dividend Yields and Expected Stock Returns[J]. Journal of Financial Economics, 1988,22(1):3-25
[27] Campbell J. Y., Shiller R. J., Campbell J. Y., et al. Valuation Ratios and the Long-run Stock Market outlook[J]. Journal of Portfolio Management, 1998,24(2):11-26
[28] Shiller R. J. Irrational Exuberance[M]. Princeton:Princeton University Press, 2000
[29] Gordon M. J. Dividends, Earnings, and Stock Prices[J]. The Review of Economics and Statistics, 1959,41(2):99-105
[30] 熊和平,柳庆原.异质投资者与资产定价研究评析[J]. 经济评论, 2008,(1):118-122
[31] 陆静,曹国华,唐小我.基于异质信念和卖空限制的分割市场股票定价[J]. 管理科学学报, 2011,14(1):13-27
[32] 惠晓峰,张硕.基于代表性异质投资者的汇率动态模型[J]. 中国管理科学, 2012,20(3):28-34
[33] 姜继娇.上证A股市场风险与收益关系的实证研究[J]. 科研管理, 2007,(3):156-161
[34] 陈梦根.基于混频抽样方法的股市风险-收益关系研究[J]. 当代财经, 2013,(11):47-55