毓菁秀华 | 我院周航副教授合作论文在国际一流期刊 Journal Of Mathematical Economics 发表

论文题目：Idiosyncratic risk and the equity premium. （特异性风险与股权溢价）

作        者：Andrés Carvajal, Hang Zhou

发表杂志：Journal of Mathematical Economics （数量经济学）

中文简介：这篇论文旨在进一步加深我们对特异性风险对股票溢价影响的理解。本文考虑了不同类型的偏好以及不同的特异性风险与经济体总体收入之间的协方差。我们提供了一个完备的表达式，用来计算特异性风险和经济体总收入之间的协方差对于短期资产价格的影响。我们也研究了特异性风险的高阶矩对于资产定价的影响。我们采用了特异性风险分布的矩的参数化方法，提出了一系列修正理论股票溢价的结果，并且指出了本方法可以被应用在其他的一些问题上。我们的定量分析结果指出，二阶近似已经能够得到相对精确的结果。对于长期资产的研究，我们无法提供一个完备的表达式。但我们的研究提供了一些充分条件，并且我们发现短期资产的结论可能在长期资产中并不成立。

英文简介：This paper aims to further our understanding of the effect of idiosyncratic risk on the equity premium. We consider different classes of preferences and different co-variations between the idiosyncratic shocks’ variance and the economy’s aggregate income. We offer a complete characterization of the effect for short-lived assets relying on the cross-moments of different utility function derivatives and the economy’s aggregate income. We also study the effects of higher-order moments of the distribution of idiosyncratic risk. Our comparative statics results present a series of corrections to the theoretical equity premium using a parameterization of the moments of the distribution of idiosyncratic risk. Our approach can be extended and applied in other contexts, but we recognize that no correction corresponds exactly to the equity premium except under extra assumptions. As a test of the robustness of our corrections, we compare them to the exact premium in a simplified setting where the latter can be explicitly computed. The results suggest that the approximation errors implicit in our corrections are at least of second order. A complete characterization is elusive for long-lived assets, but we present sufficient conditions for reversing the effect on short-lived assets.

《数理经济学杂志》(Journal Of Mathematical Economics)是一本以管理科学-数学跨学科应用综合研究为特色的国际期刊。该刊由Elsevier出版商创刊于1974年，为双月刊。该刊已被国际重要权威数据库SCIE、SSCI收录。期刊聚焦管理科学-数学跨学科应用领域的重点研究和前沿进展，及时刊载和报道该领域的研究成果，致力于成为该领域同行进行快速学术交流的信息窗口与平台。