灾难风险与中国股市波动性之谜

The Disaster Risk and High Volatility of the Stock Market

"股市波动之谜"自Campbell提出之后,尽管已有大量的研究,一直没有得到较好的解释,Reitz和Barro将罕见灾难引入资产定价模型,较好地解释了高股权溢价和股市波动之谜。相对于我国低红利、无风险利率波动率及平滑的消费增长,我国股市表现出高波动性,本文首先基于非线性对数框架验证我国的确存在"股市波动之谜",将广义期望效用函数和时变罕见灾难风险引入无套利资产定价模型,结果显示模型可以很好地解释我国现实数据的股市高波动性,尤其股市熊市时灾难模型更能体现灾难对投资者投资行为的影响从而影响资产价格波动,并且验证了灾难视角下股利价格比可以有效预测股票超额收益,这为今后解决股票、债券、期权等更多金融资产定价和价格波动之谜,提供了新的解决方法和研究框架。

＂Stock market volatility puzzle＂ since Campbell puts forward, despite a lot of research, has not been a better explanation, Reitz and Barro introducing rare disaster asset pricing model, better explain the high equity premium and volatility puzzle. Relative to the low dividend, risk-free interest rate volatility and smooth consumption growth, China＇s stock market showed high volatility, this paper based on the non-linear logarithmic framework validation does exist in China ＂volatility puzzle＂, the generalized expected utility function and time-varying rare disaster risk introducing no-arbitrage asset pricing model, the results show that the model can well explain the real data of high volatility in the stock market, especially stock market bear market time-varying catastrophe model can reflect more disaster impact on investors investment behavior and the influence of asset price volatility, and verified the disaster perspective dividend ratio can effectively predict the stock excess return, the solution for the future more financial assets such as stocks, bonds, options pricing and price volatility puzzle, provides a new solution method and the research framework.