行为资产定价理论综述

©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(100872):50,,,,,:3211,(70373018),,,,,(),,--,;,,;,,(marketportfolio)(CAPM)CAPM--,CAPM,,,,,(,2003,1),,(),,(SDF)(Campbell,2000),,,SDF,SDF,,,,,SDF,,,Merton(1973)Lucas(1978)Breeden(1979)(CCAPM),,,CCAPM,,,71120046©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(MehraPrescott,1985)(Weil,1989),CCAPM,,SDF,SDF,SDF,(Campbell,2000),CCAPM,,,,SDF,,,CCAPM,SDF,,(Campbell,2000),,,,SDF,,,,-,,,,,,,,,,,,,CCAPM,,,SDF,,,,,,,,,,,,,,,(),,,,811:,,,KahnemanThalerShillerShefrinStatman,80,,,,,(Rabin)(Camerer),,,,(Rabin,2002),ShefrinStatman,,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),,,,,,,,,,,,,,,,,,,,:,,,Lucas(1978)MehraPrescott(1985)BakshiChen(1996b)11,tWt,maxEt{j=0ju(ct+j,zt+j)},Et,,ctu(ct,zt),zt,,n+2:Lucas(),n,,LucasLucas,LucasLucasPt,yt,Rbtn,itt+1Ri,t+1tstLucas,LtPRbt,Nitit,Wt=ct+Ptst+LtRbt+ni=1Nitt+1,Wt+1=(Pt+1+yt+1)st+Lt+ni=1NitRi,t+121,V(Wt,zt)LucasPtst,Rbt,,BellmanV(Wt,zt)=maxLt,st,Nit{u(ct,zt)+Et[V(Wt+1,zt+1)]}31,zt,,,Bellman,Benveniste2Scheinkman,Euler,1=Et(Mt+1R%t+1)(1)R%t+1,(Pt+1+yt+1)PytRbtRi,t+1,Mt+1()(stochasticdiscountfactor,SDF),=(1,,K),,,91120046Euler,Benveniste2Scheinkman,LjungqvistSargent(2001)31MehraPresott(1985)Abel(1990),,;HJ,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:-(consumption2portfoliochoicemodel)SDF-,,,CCAPM,SDF,,(Cochrane,2000),iSDF,SDF,,Et[Ri,t+1]-Rbt=-covt(Mt+1,Ri,t+1)Et(Mt+1),SDFSDF,,RieszSDF,SDF,,,SDF,,,,MehraPresott(1985)(Equitypremiumpuzzle)S&P500188919787,90193119781,,27,2,Weil(1989)(Risklessinterestratepuzzle):,1SDFCRRAu(c)=c1-P(1-),SDF,0=Etct+1ct-(Rs,t+1-Rbt)1=Etct+1ct-Rbt,(2)Rs,t+1=(Pt+1+yt+1)Pyt,,(,S&P500),(2),27,021:LjungqvistSargentSargent(2000)263xt+1Ppt,SDFpt=Et(Mt+1xt+1),,SDF©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(1%),Weil(1989),,,,,,,,11,MaxWeber(TheSpiritofCapitalism):,,Kurz(1968),Zou(1994,1995,1998),,(PreferenceforWealth),,,c(ct,Wt),,,0BakshiChen(1996a),Merton(1969,1971)-,i-r=-cuccuci,c-WucWuci,W,,BakshiChen(1996):,BakshiChen,,,,,,-maxEt{j=0ju(ct+j,Wt+j)},,SDF1=Et[Mt+1R%t+1],Mt+1=uc(ct+1,Wt+1)+uW(ct+1,Wt+1)uc(ct,Wt)tRbt1PEt(Mt+1),Rbt=uc(ct,Wt)Et[uc(ct+1,Wt+1)+uW(ct+1,Wt+1)],:,uW(ct+1,Wt+1),Rbt,Kuznitz(2001),,BakshiChen(1996a),:Hansen2Jagannathan21(HabitFormation,HabitPersistence),,u(ct,ht),ht:(CampbellCochrane,1999),,012120046Smith(2001)BakshiChen(1996a),,MIU(MoneyinUtility,)MIU,MIU,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(1990)Merton(1969,1971)-,Sundaresan(1989)Abel(1990)Carroll(2000)CampbellCochrane(1999)Campbell(2000)FersonConstantinides(1991),BoldrinChristianoFisher(1997),Haug(2001)Li(2001),Abel(1990)u=(ctPht)1-P(1-),ht=ct-1;Carroll(2000)u=(ctPht)1-P(1-),ht+1=ht+(ct-ht);CampbellCochrane(1999,2000)u=(ct-ht)1-P(1-),log[(ct-ht)Pct]AR(1);Constantinides(1990)u=(ct-ht)1-P(1-),dht=(bct-aht)dt;Sundarensan(1989)u=-exp(-1ct+2ht)P1,dht=b(ct-ht)dt,,,,,,:,ht=ht(ct-1)-Et{j=0ju(ct+j,ht+j)},Wtht,1=Et[Mt+1R%t+1],Mt+1=uc(t+1)+Et+1uh(t+2)5ht+25ct+1uc(t)+Etuh(t+1)5ht+15ct,uc(t)t,5u(ct,ht)P5ct,Abel(1990),0,ht1,CRRA,(Carroll,2000)SDF,1=EtHt+2Et(Ht+1)ctct-1(-1)ct+1ct-R%t+1Ht+11-1-t+1-(1-)t,t+1yt+1PytAbel(1990),1,,()6,,Abel31(CatchingupwiththeJoneses),,,u(ct,ht),ht=ht(Ct-1),Ct-1t-1,t-1CampbellCochrane(ExternalHabit);(InternalHabit)SDF1=Et[Mt+1R%t+1],Mt+1uc(t+1)Puc(t),ct=Ct=ytCampbellCochrane,Abel(1990)(ctPht)1-P(1-),ht=Ct-1,1=Et[(ctPct-1)(-1)(ct+1Pct)-R%t+1],,,CRRA,,,,,,221:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(Envy),,u(ct,Ct)Gali(1994)Gollier(2003),:,Abel(1999),Galiu(ct,Ct)=c1-tCtP(1-),,1=Et[(ct+1Pct)-(1-)R%t+1]=0,GaliCRRA,0,Ct,,Euler,,Gali,Gali(1-),,(1-)(1-),,,Cali,GollierGollieru(ct,Ct)=(ctC-t)1-P(1-),SDF1=Et[(ct+1Pct)-(1-)-R%t+1],(1-)+,51,,,CRRA,,EpsteinZin(1989,1991)Weil(1989,1990)KrepsPorteus(1978),,,V(Wt)=max(1-)c1-t+[Et(Wt+1)]1-1-1-1-,1P,Tallarini(2000)(Risk2sensitivepreference),1SDF1=Et[Mt+1R%t+1],Mt+1=(ct+1Pct)-1-1-(Rm,t+1)-1-Rm,t+1:(Weil,1989;Campbell,1999)(Smith,2001;Seckin,2000;Campbell,1993;RestoyWeil,1998,DuffieEpstein,1992)(Svensson,1989;Weil,1990;DumasUppalWang,2000;SchroderSkiadas,1999),,(Weil,1989),(Lucas,2003),32120046RestoyWeil,;Campbell(1993),,Weil(Recursiveutilityfunction),(Recursivepreference)(Generalizedisoelasticpreference)(Stochasticdifferentialutility)(Non-expectedutilityfunction)KeepingupwiththeJoneses,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(1992),(Lossaversion)v(X)=X0188,X0-2155(-X)0188,X0X,,BenartziThaler(1995),,,,,Barberis,HuangSantos(2001)Lucas(1978),,,:u=c1-t1-+b0v(Xt,St+1,zt),St,ztSDF1=Et[(ct+1Pct)-Rbt]1=Et[(ct+1Pct)-Rst+1]+Et[b0^v(Rst+1,zt)]^vvBarberis,HuangSantos(2001),:SDF4,BerkelaarKouwenberg(2000),71,,,,,,1:,,Kocherlakota(1990),,