支付具不确定性的贴现率期限结构研究

Term structure of discount rates under uncertain payoff

目前,学术界对选取何种风险调整贴现率期限结构还存在争议,导致对同类投资项目得出不同的管理指引意见.针对这一争议,本文通过划分资本产出方式,寻找影响贴现率结构的主要因素.研究表明,不确定的宏观经济产出和项目非系统风险共同影响风险溢价系数,同时风险溢价系数决定贴现率期限结构.其中,当风险溢价系数大于某确定阈值,贴现率随时间递增;其余情况表现为递减.

At present,there are still considerable controversies about which term structure of risk-adjusted discount rate should be used in practice,and such controversies lead to different suggestions for similar investment projects. In order to solve this dispute,this article finds out the main factors affecting the structure of the discount rate from the perspective of the composition of capital productivity. By introducing the relative intensity of uncertainty from the future economy as well as from the project itself,the paper shows the relative intensity of uncertainty determines the coefficient of risk premium. It also shows that the coefficient of risk premium determines the term structure of risk-adjusted discount rate. The structure of the risk-adjusted discount rate is decreasing unless the coefficient of risk premium is greater than a threshold value.