摘要
"风险溢价之谜"在资产定价理论中占有举足轻重的地位,自Mehra and Prescott(1985)提出这个谜以来,尽管已有大量的研究,这个谜却一直没能得到很好的解释。而Rietz-Barro等将罕见灾难引入资产定价模型,不仅完美地解释了高风险溢价和低无风险利率之谜,而且学者们进一步引入广义预期效用和可变灾难,同时将灾难的解释范围扩展到股票、债券、期权等金融资产的定价和价格波动之谜,解决了传统金融理论所无法解释的众多宏观金融难题。更为重要的是,通过引入系统性风险,真实经济周期理论和资产定价理论有了新的突破,从而打开了一扇融合现代宏观经济学和金融学的大门。
The 'equity risk premium puzzle' has long stood at the heart of the asset pricing theory since Mehra and Prescott(1985).Following Rietz(1988),Barro(2006) finds that the potentially rare economic disasters can explain a lot of asset-pricing puzzles,including the high risk premium puzzle and low risk-free interest rate puzzle.Other studies further extend the Rietz-Barro model,either using the generalized expected utility(or EZW preference),or exploring the time-varying disasters,which successfully explain lots of traditional macro-financial puzzles such as the premium and volatility of stock,bonds and put prices.More importantly,merging the systematic risk such as disaster into traditional macroeconomics and finance models can bring us closer to the long-sought goal of a joint and tractable framework for macroeconomics and finance.
出处
《金融评论》
2013年第3期100-111,126,共12页
Chinese Review of Financial Studies
基金
"十二五"国家科技支撑计划课题"IPCC第五次评估对我国应对气候变化战略的影响"基金项目(编号:2012BAC20B05)资助
