跨期行为资产定价下风险与收益关系检验

Testing the Risk-return Relationship under Intertemporal Behavioral Asset Pricing

系统性风险与收益正相关是资本资产定价模型的基本推论,一些关于两者关系的实证研究发现它们并不显著正相关,导致这种现象的原因可能是使用历史收益率代理未来收益率。本文利用股票收益与价格之比(E/P)作为未来收益率的估计量,结合跨期资本资产定价模型(ICAPM)进行实证检验,验证了我国市场风险与收益之间的正相关关系。在此基础上,考虑到投资者异质性可能会对风险与收益关系产生影响,在行为资产定价框架下将投资者按投资方式分为三类异质交易者进行实证,验证了我国市场风险与收益的正相关性,以及三类异质交易者的存在。研究结论为行为金融理论提供了新的证据。

It is a basic inference of capital asset pricing model（ CAPM） that there is a positive relationship between systemic risk and yield,but some empirical studies proved that the relations are not significantly positive,which may result from using historical returns as unbiased estimates of the expected yield. According to intertemporal capital asset pricing model（ ICAPM）,this paper carries out an empirical test by using the ratio of stock＇s returns and price（ E / P ratio） as a proxy for the expected yield,and testifies the positive correlation in Chinese stock market. On this basis,considering the impact of investors＇ heterogeneous belief on the relationship between risk and return,the traders are divided into three categories in accordance with investment characteristic in the framework of behavioral asset pricing. The empirical results again show that there exist both a significantly positive relation between risk and return and three kinds of heterogeneous traders,which provide new evidence for behavioral financial theories.