Journal of Empirical Finance 38 (2016) 590–622

金融泡沫风险下的资产定价

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：本文描绘了由于可能发生的价格泡沫所带来的系统性风险，并测量了这种额外的风险因子对资产价格的影响。历史股市的行为和最近的实证经验使得经济学家和政策制定者承认金融市场的价格泡沫确实存在，并且应当被纳入到风险分析中。测度中度偏离（mildly explosive）行为的新计量工具（Phillips and Magdalinos, 2007; Phillips et al., 2011）使得检测价格泡沫的起源和破灭从数据上成为了可能。价格泡沫和市场崩溃的可能性给股市提供了新的风险，并增加了风险溢价。我们对这种额外的风险因子进行了分析和实证检验。我们将标准的现值模型扩展，以允许可能的价格泡沫，将泡沫行为纳入消费资本资产定价模型，从而使得泡沫行为对资产定价的影响得到了分析。我们的理论考虑了投资者的投资期限以及存在非平稳及中度偏离数据时传统对数线性近似的有效性。有限决策视野能容纳短视的投资者，并且不是关注基本面的长期情况，而是专注于短期内的市场收益。在本文中建立的估计泡沫风险的计量方法被应用于综合股市指数数据，根据该计量方法算得的股票溢价和市场波动率比传统的基于传统的消费资本资产定价模型更符合真实数据。

关键词：资产定价，泡沫，金融市场异象，对数线性近似，中度偏离时间序列，现值模型

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

原文链接：http://www.sciencedirect.com/science/journal/09275398/38/part/PB

翻译：罗丹