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文章讨论了加入异质信念后公司特质风险对预期收益率的影响。通过放宽经典Merton模型的假设条件,加入异质信念和卖空限制,重新推导了特质波动率与预期收益率之间的关系。结果表明,在投资者无法多样化投资的前提下,即使考虑了异质信念,公司特质波动率仍然进入资产定价方程,特质波动率与预期收益率之间存在正向关系。
Abstract：This paper investigates the impact of idiosyncratic risk on expected returns with a consideration of heterogeneous belief.By introducing heterogeneous belief and short selling constraint into traditional Merton's models,the paper discusses the relationship between idiosyncratic volatilities and expected returns.Our model shows that when investors fail to achieve full diversification,idiosyncratic volatilities enter into the pricing equation and are positively related with expected returns even if heterogeneous belief is considered.
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基本信息:
DOI：10.14134/j.cnki.cn33-1336/f.2012.02.005
中图分类号:F224;F272
引用信息:
[1]邓雪春,郑振龙.基于异质信念的公司特质风险定价模型[J].商业经济与管理,2012,No.244(02):60-66.DOI:10.14134/j.cnki.cn33-1336/f.2012.02.005.
基金信息:
国家自然科学基金面上项目“非完美信息下基于观点偏差调整的资产定价”(70971114),国家自然科学基金青年项目“投资者风险偏好:度量与应用”(71101121); 教育部人文社科一般项目(07JA790077),教育部留学回国人员科研启动基金“人民币即期与远期汇率关系及外汇市场协同稳定机制研究”(〔2008〕890)
2012-02-15
2012-02-15