中国证券市场Knight不确定性度量及资产定价研究

Measuring Chinese stock Knightian uncertainty and its asset pricing analysis

针对资本市场中不能被单一资产收益分布描述的Knight不确定性,首先分析了投资者信息集与这类不确定性的关系.在此基础上依据投影概率理论描述它以及传统风险对资产收益的映射过程,并构造了考虑这类不确定性的新定价模型.通过度量中国证券市场Knight不确定性及研究其对资产价格的影响,发现我国证券市场这类不确定性近几年来呈现出递减趋势且其大小略小于美国市场.另外,实证结果显示Knight不确定性能够参与定价并与收益率负相关,说明中国证券市场投资者对其呈现出喜好的态度.

Asset return's distribution is not unique,it will generate Knightian uncertainty.This paper analyzes the relationship of investor information set and Knightian uncertainty.Then based on shadow probability theory,a mapping which describes risk and this kind of uncertainty on asset return,and a new asset pricing model with ambiguity is constructed.Measuring Knightian uncertainty of Chinese stock market,the result shows an decreasing trend on this uncertainty which is smaller than the U.S.Moreover,an empirical study of asset pricing with ambiguity reveals that Chinese investors are showing a preference for this uncertainty.