基于时间-概率权衡的行为资产定价模型

Behavior Asset Pricing Model Based on Time-Probability Tradeoff

运用时间-概率权衡理论研究基于消费的资产定价模型(CCAPM)中投资者跨期效用的折现问题,突破主观折现因子外生给定的不足,用体现投资者时间偏好与量值效应的内在折扣率函数刻画跨期对投资者效用的影响,推导出反映投资者跨期决策行为特征的行为折现因子,并指出其可测度性。在此基础上,改进Abel(1990)模型,考察具有习惯形成与追求时髦这两种行为特征的投资者,其跨期效用在行为折现因子作用下的消费-投资决策,构造较为全面反映投资者多重行为特征的行为资产定价模型(BAPM),得到均衡资产价格的非显示性最优解。通过数值模拟,新模型能更有效的解释股票溢价之谜与无风险利率之谜。

This paper explores the discounting problem, which is about the investor＇s inter-temporal utility based on CCAPM model, by applying the theory of time-probability tradeoff. It makes up the shortcoming of giving the subjective discount factor by arbitrary, reveals the effects of investor＇s utility made by inter-temporal through the intrinsic discount function that embodies the investor＇s time preference and the magnitude effect, and conducts the behavior discount factor which reflects the investor＇s behavior characteristics about inter-temporal decision making. Especially, the behavior discount factor can be measured. Based on all of the above, we improve on Abel＇s model, investigate the investor＇s consumption-invest decision when his inter-temporal consumption utility is discounted by behavior discount factor and he has other two behavior characteristics of habit formation and catching up with the Joneses. Finally,we construct a BAPM model that reflects the investor＇s multi-behavior characteristics all-around and obtain the non-explicit solution of assets＇ equilibrium prices. Through the numerical simulation, it is proved that the new model can explain the two puzzles more effectively.