风险厌恶、方差风险溢价与不确定性冲击

Risk Aversion,Variance Risk Premia and Shock of Uncertainty

在Epstein-Zin-Weil效用函数框架下,用方差风险溢价作为投资者风险厌恶程度的代理变量,并基于股票质量分类和行业分类验证了该做法的合理性。借助CoVAR的分析思想,研究了不同质量股票的不确定性冲击对风险厌恶程度的影响。结果表明:质量越好(差)的股票对风险厌恶程度的影响越大(小),说明股票质量已反映在投资者预期中。

Under the Epstein-Zin-Weil utility function framework,this paper uses variance risk premium to represent risk aversion degree,and demonstrates the rationality of it based on the classification of stock quality and industry. And it studies the impact of the uncertainty on risk aversion degree. The result shows that variance risk premia is more sensitive to the shock of conditional variance of stocks with high quality, which indicates that stock quality has been reflected in the expectation of investors.