外部风险、异质信念与特质波动率风险溢价

摘要

It is assumed in the paper that stock price is determined not only by fundamental uncertainty but also by market nonfundamental ( extraneous) uncertainty and firm idiosyncratic nonfundamental ( extraneous) uncertainty, and the assumption is set that for different kinds of uncertainty different investors hold different kinds of heterogeneous beliefs. Thererhence, a dynamic equilibrium model in the continuous - time pure - exchange economy is presented. It is found that besides the fundamental uncertainty, market extraneous uncertainty and firm idiosyncratic extraneous uncertainty can also give explanations to expected returns. Furthermore , the model provides another explanation for some anomalies found in equity market, especially for anomaly of idiosyncratic volatility.%本文将影响资产价格的不确定性划分为基本面不确定性、市场层面以及公司层面外部因素不确定性,(后二者对基本面没有影响,是非基本面因素),认为投资者对基本面和外部因素分别形成异质信念.在此基础上用连续时间的鞅分析方法,在纯交换市场均衡模型的框架下,建立了基于投资者异质信念的消费资本资产定价模型.该模型从理论上证明了除来自总消费/禀赋的基本面风险外,投资者对市场层面和公司层面外部因素信念差异也是影响股票价格的风险因素,模型的结论有助于解释金融市场一些异常现象,特别是特质波动率异常现象.