文献类型：期刊文献

中文题名：下行风险、失望厌恶与资产定价

英文题名：Downward risk,disappointment aversion,and asset pricing

作者：许海川[1];卢静娴[1]

机构：[1]华东理工大学商学院,上海200237

年份：2024

卷号：44

期号：5

起止页码：1485

中文期刊名：系统工程理论与实践

外文期刊名：Systems Engineering-Theory & Practice

收录：CSTPCD;;EI(收录号：20242416260100);Scopus;北大核心:【北大核心2023】；CSSCI:【CSSCI2023_2024】；CSCD:【CSCD2023_2024】；

基金：国家自然科学基金(U1811462,71971081)。

语种：中文

中文关键词：风险溢价;广义失望厌恶;下行风险;资产定价

外文关键词：risk premium;generalized disappointment aversion;downside risk;asset pricing

摘要：运用包含市场因子、波动因子和下行风险相关因子的广义失望厌恶模型,研究下行风险及其风险溢价,并实证检验该模型对中国市场资产横截面定价的适用性.分别基于公司特征组合和股债组合作为测试资产,发现波动因子、下行状态因子和波动下行因子可产生显著的风险溢价,广义失望厌恶模型具有一定的普适性.波动因子、下行状态因子和波动下行因子的风险溢价均为负,表明投资者更青睐收益率与相关因子的协方差为正的资产,从而愿意为此支付溢价.采用不同的失望阈值、波动率度量方式,以及不同的测试资产组合,广义失望厌恶模型均产生稳健的结果,引入下行风险能有效地提升模型对资产收益率的解释能力.此外,更低的定价误差对应的失望阈值和市场波动率权重都偏小,说明中国市场投资者的失望阈值较低,且更在意市场收益率的下降而非市场波动率的上升.
Using the generalized disappointment aversion model including market factors,volatility factors and downside risk related factors,this paper studies the downside risks and their risk premiums,and empirically tests the pricing ability of this model for the Chinese assets.We take the firm characteristic-sorted portfolios and the stock and bond index portfolios as test assets separately.This paper finds that the impacts of volatility factor,downward state factor and volatility downward factor can not be ignored,and the generalized disappointment aversion model show certain universality.The risk premium of voltility factor,downward state factor and downward volatility factor are all negative,indicating that investors prefer assets with positive covariance between asset returns and the related factors,so they are willing to pay premium for them.Using different disappointment thresholds and volatility measurement methods,the generalized disappointment aversion model produces robust results.The introduction of downside risk factors can effectively improve the ability of the model to explain the cross-sectional returns.In addition,disappointment threshold and the weight of market volatility corresponding to lower pricing error are also small,indicating that the disappointment thresholds of the Chinese investors are low,and they are more concerned about the decline of market returns than the rise of market volatility.