Investors usually require premiums to compensate those components of risk that cannot be diversified away. Investors＇ risk premiums is changing with the business cycles. In this paper we study the CCAPM allowing for ...Investors usually require premiums to compensate those components of risk that cannot be diversified away. Investors＇ risk premiums is changing with the business cycles. In this paper we study the CCAPM allowing for the time-varying beta. The timevarying betas are estimated from GARCH model. From the estimation results, we can see that the systematic risk coefficient betas of certain industry change when the volatility changes.展开更多
从消费资本资产定价模型(Comsumption Capital Asset Pricing Model,CCAPM)的角度分析了我国居民消费与投资的行为特征和关系,采用固定风险厌恶效用函数推导出风险收益率、无风险收益率以及投资者的风险规避系数的求解公式等,对我国宏...从消费资本资产定价模型(Comsumption Capital Asset Pricing Model,CCAPM)的角度分析了我国居民消费与投资的行为特征和关系,采用固定风险厌恶效用函数推导出风险收益率、无风险收益率以及投资者的风险规避系数的求解公式等,对我国宏观经济的平稳快速发展给出了一定的参考价值。展开更多
文摘Investors usually require premiums to compensate those components of risk that cannot be diversified away. Investors＇ risk premiums is changing with the business cycles. In this paper we study the CCAPM allowing for the time-varying beta. The timevarying betas are estimated from GARCH model. From the estimation results, we can see that the systematic risk coefficient betas of certain industry change when the volatility changes.
文摘从消费资本资产定价模型(Comsumption Capital Asset Pricing Model,CCAPM)的角度分析了我国居民消费与投资的行为特征和关系,采用固定风险厌恶效用函数推导出风险收益率、无风险收益率以及投资者的风险规避系数的求解公式等,对我国宏观经济的平稳快速发展给出了一定的参考价值。
