企业投资预期收益率的风险偏好影响的研究

On Influence of Company Risk Preference on Company Expected Rate of Return

引入递归效用函数,建立了考虑企业风险偏好条件下的预期收益率的修正模型,并就不同的偏好参数下的预期收益率进行了模拟。结果表明:主观贴现因子对预期收益率的影响为负,且主观贴现因子越大,对于主观贴现因子边际预期收益率绝对值就越小;而跨期替代弹性和风险规避系数对预期收益率的影响为正,在跨期替代弹性和风险规避系数的不同取值空间内,对预期收益率的影响程度存在很大差别。

We build a model for Company Expected Rate of Return （CERR） based on the companies~ capital growth by introducing the recursion utility function, and construct the CERR measurement model taking into consideration of the companies＇ risk preference. We further perform simulation of CERR under different conditions with different preference parameters. The result show that the inference of subjective discount factor on ERR is negative, and the bigger subjective discount factor is, the smaller absolute value of the Marginal ARR on subjective discount factor. However, the influence of the Marginal CERR on the elasticity of inter-temporal substitution and coefficient of relative risk aversion is positive while the influence on CERR of inter-temporal substitution and coefficient of relative risk aversion varies in different scopes of inter temporal substitution and coefficient of relative risk aversion.