基于广义矩法的跨期资产定价研究

以25个账面市值比—规模组合及扩展的证券组合作为检验资产,以一系列经济、情绪和市场指标作为备选状态变量,应用ICAPM理论和GMM方法检验了中国股市动态的风险收益关系。应用ICAPM研究风险收益间的动态关系时,广义矩法可以规避条件风险溢价、条件协方差的估计。研究发现:投资者风险厌恶与货币供应量、利率、净储蓄、消费、房价、情绪、规模溢价、价值溢价等新息负相关,与CPI、股市波动等新息正相关;当货币供应、热钱、消费、规模溢价等新息增加,或当利率、净储蓄、CPI、房价、情绪、股市波动等新息减少时,投资机会出现有利变动,这些新息包含系统性风险。综合来看,资产定价必须考虑风险偏好和投资机会的变动。

Empirical Study on Intertemporal Capital Asset Pricing Model Based on the Generalized Method of Moments

This paper applies inter temporal capital asset pricing model(ICAPM) to explore the time-varying relation between return and risk,generalized method of moments(GMM) sidesteps the specifications of time-series models for the conditional risk premium and conditional covariance based on 25 book-to-markets.The results show: risk aversion negatively correlates with innovations in money supply,interest,net save,consumption,house price,sentiment,size factor,book-market value factor,and positively correlates with innovations in consumer price index,volatility;innovations in money supply,hot money,consumption,size factor increasing or innovations in interest,net save,consumer price index,house price,sentiment,volatility decreasing represent favorable shifts in the investment opportunity,and these innovations contain systematic risks influencing asset returns.The time-varying investor preference and investment opportunity should be considered as pricing assets.