Journal of Empirical Finance 38 (2016) 590–622

金融泡沫風險下的資産定價

作者：Ji Hyung Lee (University of Illinois), Peter C.B. Phillips (Yale University; University of Auckland; Singapore Management University; University of Southampton)

摘要：本文描繪了由于可能發生的價格泡沫所帶來的系統性風險，并測量了這種額外的風險因子對資産價格的影響。曆史股市的行為和最近的實證經驗使得經濟學家和政策制定者承認金融市場的價格泡沫确實存在，并且應當被納入到風險分析中。測度中度偏離（mildly explosive）行為的新計量工具（Phillips and Magdalinos, 2007; Phillips et al., 2011）使得檢測價格泡沫的起源和破滅從數據上成為了可能。價格泡沫和市場崩潰的可能性給股市提供了新的風險，并增加了風險溢價。我們對這種額外的風險因子進行了分析和實證檢驗。我們将标準的現值模型擴展，以允許可能的價格泡沫，将泡沫行為納入消費資本資産定價模型，從而使得泡沫行為對資産定價的影響得到了分析。我們的理論考慮了投資者的投資期限以及存在非平穩及中度偏離數據時傳統對數線性近似的有效性。有限決策視野能容納短視的投資者，并且不是關注基本面的長期情況，而是專注于短期内的市場收益。在本文中建立的估計泡沫風險的計量方法被應用于綜合股市指數數據，根據該計量方法算得的股票溢價和市場波動率比傳統的基于傳統的消費資本資産定價模型更符合真實數據。

關鍵詞：資産定價，泡沫，金融市場異象，對數線性近似，中度偏離時間序列，現值模型

Asset pricing with financial bubble risk

Ji Hyung Lee (University of Illinois), Peter C.B. Phillips (Yale University; University of Auckland; Singapore Management University; University of Southampton)

ABSTRACT

This paper characterizes systematic risk stemming from the possible occurrence of price bubbles and measures the impact of this additional risk factor on asset prices. Historical stock market behavior and recent empirical experience have led economists and policy makers to acknowledge that price bubbles in financial markets do occur and need to be accounted for in risk analysis. New econometric tools for analyzing mildly explosive behavior (Phillips and Magdalinos, 2007; Phillips et al., 2011) have made it possible to detect the presence of bubbles in data and to date stamp their origination and collapse, providing empirical confirmation of such episodes in recent data. The potential for price bubbles and market collapse provides another source of stock market risk and adds to the risk premium. We provide an analytic and empirical investigation of this additional risk factor. The standard present value model is extended to allow for possible price bubbles and the effects of integrating bubble behavior into a consumption-based asset pricing

model are analyzed. The theory involves attention to the investor time horizon and a study of the validity of conventional log linear approximations in the presence of nonstationary and mildly explosive data. Finite decision horizons accommodate myopic investors and are a component of speculative behavior that focuses on short run market gains rather than long run effects of fundamentals. An econometric approach to estimate bubble risk effects is developed and the methods are applied to composite stock market index data, giving new model-based equity premium and market volatility estimates that more closely match the data than traditional consumption based asset pricing models.

Key Words: Asset pricing; Bubbles; Financial market anomalies; Log linear approximation; Mildly explosive time series; Present value mode

原文鍊接：http://www.sciencedirect.com/science/journal/09275398/38/part/PB

翻譯：羅丹