我国时变风险溢价潜变量模型研究

被引：3

作者：

李传乐 ^{[1
]}

王美今 ^{[2
]}

机构：

[1] 华南师范大学数学科学学院金融数学与金融工程系

[2] 中山大学岭南学院经济系

来源：

统计研究 | 2006年 / 12期

关键词：

时变风险溢价; 潜变量模型; Block-Bootstrap方法;

D O I：

10.19343/j.cnki.11-1302/c.2006.12.013

中图分类号：

F830 [金融、银行理论];

学科分类号：

1201 ; 020204 ;

摘要：

This paper provides a stringent proof for the general test of latent variable model with time-varying risk premium developed by Ferson and Foerster(1993) and conducts a test by selecting “the size portfolio” as sample in Chinese stock market.The Block-Bootstrap method is also adopted to study the finite sample properties of GMM.The result reveals that the Block-Bootstrap simulation of GMM is robust and P-value based on asymptotic distribution tends to be underestimated.The empirical result shows that the China’s stock market can not reject the “ 1 latent variable model”.The conclusion of this paper manifests the essence of risk and return in the China’s stock market and has great significance to the policy-making.

引用

页码：58 / 62

页数：5

共 4 条

[1]

Capital Market Equilibrium with Restricted Borrowing. Black,F. Journal of Business . 1972

[2]

an Inter-temporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities. Breeden,D.T. The Journal of Finance . 1979

[3]

Expected Returns and Economic Risk in Canadian Financial Markets. Carmichael B,and LSamson. Applied Financial Economics . 2003

[4]

Small-Sample Properties of Estimators of Nonlinear Models of Covariance Structure. Clark,T. Journal of Business . 1996

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