- 學位論文
導入市場投資人情緒解釋訂價核心難題
Using Market Sentiment to Explain Pricing Kernel Puzzle
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摘要
在消費為基礎的均衡訂價模型 (Consumption-based model) 之下，只要有資產的報酬函數 (Payoff function) 以及一個隨機折現因子 (Stochastic discount factor) 或稱訂價核心 (Pricing kernel)，對其乘積取期望值，即為我們資產價格。一般而言，估計訂價核心有兩種方法，一種是跨期邊際替代率；另外一種則是實證研究用的機率密度函數，實證研究發現，訂價核心在特定情況之下呈現U字型，或是為負，違反邊際替代率恆正並且隨財富增加而遞減的特性，此稱訂價核心難題 (Pricing kernel puzzle)。 Jackwerth (2004) 認為訂價核心難題發生原因來自於投資人對於市場有不正確的信念 (Incorrect belief) 或稱市場投資人情緒 (Market sentiment)，因此Barone-Adesi, Mancini and Shefrin (2012)，從跨期邊際替代率角度試圖將市場投資人情緒變數導入訂價核心的估計以解釋訂價核心難題。 本研究之目的為從機率密度函數角度著手，使用Ritchy (1990) 加權對數常態分配作為風險中立機率，加入市場投資人情緒，估計其訂價核心，以解釋訂價核心難題，而最後我們結果得到波動率指數 (VIX)，符合邊際替代率遞減的情況，為最具代表性的市場投資人情緒替代變數。
並列摘要
Based on the consumption-based model, if we have asset’s payoff function and a stochastic discount factor or called it pricing kernel, the expectation of product of payoff and pricing kernel is our asset price. General speaking, there are two methods to estimate pricing kernel: one is inter-temporal marginal rate of substitution, and the other is probability density function that is usually employed in empirical research. However, empirical research suggests that pricing kernel is U-shaped or negative on certain condition, which violates the characteristics of marginal rate of substitution. Researchers call this “pricing kernel puzzle.” Jackwerth (2004) thought the pricing kernel puzzle was attributed to incorrect belief from investors or called it market sentiment, So Barone-Adesi, Mancini and Shefrin (2012) explained the puzzle with market sentiment in inter-temporal marginal rate of substitution method. In this paper, we try to explain the puzzle with market sentiment in probability density function method. We employ mixture lognormal distribution proposed by Ritchy (1990) as risk-neutral density to obtain the pricing kernel with market sentiment, and we find out VIX is a good representative market sentiment proxy to explain the puzzle.
參考文獻
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