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突发信息影响下的投资、消费及风险溢价

, PP. 47-54

Keywords: 突发信息,风险溢价,行为经济学

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Abstract:

?本文在CCAPM模型及行为经济学理论基础上建立突发信息影响下的资产定价模型,借此探讨突发信息对投资者主观决策以及风险溢价的影响,并利用数值迭代法给出了风险溢价的数值解。研究结果表明:突发信息所产生的正面影响会提高风险溢价,反之则降低溢价值,为解释"追涨杀跌"现象提供新视角;同时发现,投资者先期投资决策的结果好坏与风险溢价呈正向关系。最后利用中美两国证券市场数据进行数据模拟,结果表明本模型较好的避免了"股权溢价之谜"和"无风险利率之谜"。

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