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K · 2023年03月03日

Risk averse 和 Large risk premium的作用

NO.PZ2015121810000042

问题如下:

Risk-averse investors demanding a large equity risk premium are most likely expecting their future consumption outcomes and equity returns to be:

选项:

A.

uncorrelated.

B.

positively correlated.

C.

negatively correlated.

解释:

B is correct.

If investors demand high equity risk premiums, they are likely expecting their future consumption and equity returns to be positively correlated. The positive correlation indicates that equities will exhibit poor hedging properties, as equity returns will be high (e.g., pay off) during "good times" and will be low (e.g., not pay off) during "bad times". In other words, the covariance between risk-averse investors’ inter-temporal rates of substitution and the expected future prices of equities is highly negative, resulting in a positive and large equity risk premium. This is the case because, in good times, when equity returns are high, the marginal value of consumption is low. Similarly, in bad times, when equity returns are low, the marginal value of consumption is high. Holding all else constant, the larger the magnitude of the negative covariance term, the larger the risk premium.

考点: equity risk premium & consumption outcomes

解析:问的是股票收益与实体经济的相关性,两者是正相关的,因为实体经济变好,股票收益率增加。正因为两者正相关,所以在经济下滑时,股票不是很好的对冲经济下滑的工具,所以要使风险厌恶的投资者投资股票,就必须给他们更高的风险补偿。

两个类似的题目都一再强调投资者风险厌恶,且要求大量的风险溢价,这个与“股票表现和消费同向变动”有逻辑联系吗?还是说只是干扰信息?

题目能做对,就是觉怀疑自己是不是没理解透。

1 个答案
已采纳答案

星星_品职助教 · 2023年03月03日

同学你好,

有关系的。这个概念为“consumption hedge”

1)当经济不好时,收入降低,消费会下滑。所以此时投资者希望可以从金融投资产品中取得收益,来对冲消费下滑。这就是consumption hedge;

2)然而,当经济差的时候,股票、房地产等投资品的收益往往也大幅下滑,相当于收入和投资收益同时减少,投资收益无法对冲消费下滑,这种产品就是“bad consumption hedge”;结合到本题,就是消费和股票收益同时下滑,两者是positively related。

3)相反,国债在经济差的时候往往价格上升,收益率上升,此时投资者可以从国债的投资中取得收益,对冲下滑的消费,所以国债是good consumption hedge。有一道题考察国债的收益和经济情况,就要选择negatively related。

4)结合上述第二第三点,可知股票无力对冲消费下滑的风险,相反还会和经济下滑一起给予投资者“双杀”,所以除非给投资者大量的风险溢价弥补,否则投资者是不愿意投资于股票的。相反,国债可以对冲消费下滑的风险,使得风险降低,自然就不需要给太多的风险溢价。

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NO.PZ2015121810000042问题如下Risk-averse investors manng a large equity risk premium are most likely expecting their future consumption outcomes anequity returns to be:A.uncorrelateB.positively correlateC.negatively correlateB is correct.If investors manhigh equity risk premiums, they are likely expecting their future consumption anequity returns to positively correlate The positive correlation incates thequities will exhibit poor heing properties, equity returns will high (e.g., poff) ring \"gootimes\" anwill low (e.g., not poff) ring \"btimes\". In other wor, the covarianbetween risk-averse investors’ inter-temporrates of substitution anthe expectefuture prices of equities is highly negative, resulting in a positive anlarge equity risk premium. This is the case because, in gootimes, when equity returns are high, the marginvalue of consumption is low. Similarly, in btimes, when equity returns are low, the marginvalue of consumption is high. Holng all else constant, the larger the magnitu of the negative covarianterm, the larger the risk premium. 考点 equity risk premium consumption outcomes解析问的是股票收益与实体经济的相关性,两者是正相关的,因为实体经济变好,股票收益率增加。正因为两者正相关,所以在经济下滑时,股票不是很好的对冲经济下滑的工具,所以要使风险厌恶的投资者投资股票,就必须给他们更高的风险补偿。老师好,我看题目问的是risk premium和未来消费(经济趋势)的相关性,老师在其他同学的提问里也回复了如下内容在经济差的情况下,消费水平会自然下跌,股票在经济差的时候也会跌,这时候无法通过卖股票获得收益维持消费水平,所以股票不能对冲风险(bconsumption hee),这个时候要求的RP就需要很高。按照上面回复理解,经济差的情况下,要求的RP很高,这就是negative correlate,为什么答案是positive correlate?谢谢!

2024-11-03 20:54 1 · 回答

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