SAD效应:一个基于时变风险价格的条件CAPM的解释

SAD Effects:An Interpretation Based on Conditional CAPM Including Time Variation in the Price of Risk

很多实证研究都证明季节性情绪混乱(SAD)与股指收益有明显联系。本文研究了这种SAD效应能否用一个包含允许时间变化的风险价格的资产定价模型去捕捉它的存在。本文利用上证综指的日收盘数据得到的初始和超额收益率以及SAD和FALL变量,利用修正的GRACH-M模型进行了分析,认为条件CAPM可以捕捉SAD效应。这与由于日照时间变化而导致的投资者风险承受能力变化进而影响收益的认识相符合。

Previous research has documented robust links between seasonal variation in length of day, seasonal depression （ known as seasonal affective disorder, or SAD） , risk aversion, and stock market returns. We study the SAD effect in the context of an equilibrium asset-pricing model to determine whether the seasonality can be explained using a conditional version of the CAPM that allows the price of risk to vary over time. Using daily data for Shanghai index, we find that a conditional CAPM that allows the price of risk to vary in relation to seasonal variation in the length of day fully captures the SAD effect. This is consistent with the notion that the SAD effect arises due to the heightened risk aversion that comes with seasonal depression, reflected by a changing risk premium.