情绪波动和资产价格波动被引量：70

Mood Fluctuations and Volatility of Asset prices

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摘要投资者的情绪波动对于理解资产价格的波动有着重要的意义 ,但是已有研究对情绪波动的刻画还过于简单。本文在Mehra和Sah( 2 0 0 2 )对情绪波动研究的基础之上 ,更加全面地描述了投资者情绪波动 ,使用风险规避系数、跨期替代弹性和主观贴现因子三个投资者主观偏好参数的波动来描述投资者情绪波动。本文研究了情绪波动对股票价格和债券价格波动率的影响。结果表明 ,投资者的情绪波动对股票价格波动的影响要远大于对债券价格波动的影响 ;影响股票价格波动的情绪波动分别是主观贴现因子、跨期替代弹性和风险规避系数的波动。这些结果可以帮助我们理解股票价格的波动性和债券价格的平滑性。 The investors' mood fluctuations can help understand the volatility of asset prices, but the description for mood fluctuations is simple. Based on the research of Mehra and Sah (2002), this paper proposes a new mood fluctuations model in which the mood fluctuations are modeled as the fluctuations in the discount factor, risk-aversion coefficient, and the elasticity of intertemporal substitution. This paper revisits the following question: can small fluctuations in investors' subjective preferences, that is, mood fluctuations, induce large fluctuations in asset prices? The results show that the investors' mood fluctuations have larger effect on equity prices than on bond prices. These results can help us understand the excess volatility of equity prices and the smoothness of bond prices.

作者陈彦斌

机构地区中国人民大学经济学院

出处《经济研究》 CSSCI 北大核心 2005年第3期36-45,共10页 Economic Research Journal

基金国家自然科学基金资助 (项目号 :70 4 0 30 2 0 70 3730 18) 中国人民大学"十五""2 11工程"<中国经济学的建设和发展>子项目"行为和实验经济学学科规划"研究成果。

关键词债券价格资产价格贴现因子股票价格波动替代弹性投资者情绪波动率情绪波动影响研究 mood fluctuations asset prices volatility recursive utility function behavior asset-pricing theory

分类号 F830.59 [经济管理—金融学]

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参考文献23

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