凸激励推高了资产价格与波动率吗? ——基于投资者异质信念视角
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江西财经大学统计学院

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国家自然科学基金资助项目(71973056, 71561011, 71961007); 国家自然科学基金重点资助项目(71531003).


Do convex incentives boost asset prices and volatility?: Based on the perspective of investors' heterogeneous beliefs
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1.School of Statistics, Jiangxi University of Finance and Economics;2.Jiangxi University of Finance and Economics

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    摘要:

    运用连续时间金融框架下的理论模型, 分析机构代理投资中的凸激励对风险资产价格及波动率的影响. 首先, 假设作为市场投资主体的散户和机构投资者存在异质信念, 且机构代理投资中存在与某一基准组合业绩相关的凸激励, 建立包含多个风险资产的动态均衡定价模型. 然后, 利用鞅方法, 根据市场出清条件求解模型, 得出一般均衡下的基准组合成份股和非成份股的价格及其波动率的封闭解. 最后, 通过数值模拟发现, 基准组合成份股比非成份股具有更高的价格和波动率; 凸激励强度的增加推高了风险资产价格和基准组合成份股的波动率; 当机构投资者较散户更悲观时, 凸激励强度的增加会使非基准组合成份股的波动率降低, 机构市场占有率的增加能降低非基准组合成份股的泡沫化程度.

    Abstract:

    This paper analyzes the impact of convex incentives in delegated portfolio management to prices and volatility of the risky assets by using a theoretical model in continuous-time financial framework. First of all, we establish a multiple-stock dynamic equilibrium pricing model in which the institutional and retail investors have heterogeneous beliefs, and the institutional investors facing convex incentives which are associated with a benchmark portfolio's performance. Secondly, using the martingale method, we derive closed-form solutions for the risky asset’s equilibrium price and volatility. Finally, numerical results show that the stock in benchmark portfolio has higher price and volatility than the stock not in. The convex incentives to institutional investors can always boost the risky asset prices and the volatility of stock in benchmark portfolio. When institutional investors are more pessimistic than retail investors, the increase of convex incentives will reduce the volatility of the stock not in benchmark portfolio, and the increase of institutional market share will reduce the degree of bubble of stock not in benchmark portfolio.

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历史
  • 收稿日期:2021-03-25
  • 最后修改日期:2022-06-30
  • 录用日期:2022-07-02
  • 在线发布日期: 2022-08-02
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