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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。
The positive correlation between systemic risk and return is the basic corollary of the capital asset pricing model. Some empirical studies on the relationship between the two show that they are not significantly related to each other. The reason for this phenomenon may be the use of the historical rate of return proxy future rate of return. In this paper, we use the ratio of stock return to price (E / P) as the estimator of future returns, and empirical test with intertemporal capital asset pricing model (ICAPM) to verify the positive correlation between market risk and return in China. On this basis, taking into account the heterogeneity of investors may have an impact on the relationship between risk and return, under the framework of behavioral asset pricing, investors will be divided into three types of heterogeneous traders by means of investment to conduct empirical research to verify the market risk in China Positive correlation with returns, and the existence of three types of heterogeneous traders. The conclusion of the study provides new evidence for behavioral finance theory.