Asset Pricing with idiosyncratic income risk

具有特殊收入风险的资产定价

• 批准号: 234800321
• 负责人: Professor Dr. Joachim Grammig
• 金额: --
• 依托单位: Lehrstuhl für Statistik, Ökonometrie und Empirische Wirtschaftsforschung
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2013
• 资助国家: 德国
• 起止时间: 2012-12-31 至 2014-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/234800321?language=en
• 关键词: Asset; Pricing; idiosyncratic; income; risk

The turmoil of the financial crisis provokes the question whether price processes in modern financial markets evolve independently of real economic processes and rather arise from irrational exuberance. This question emphasizes the importance of theoretical and empirical work that links financial price processes to the real economy. We place our research proposal in this context. In particular, we intend to investigate the role of idiosyncratic income risk in asset pricing. We are not the first to address this issue, but extant studies suffer from substantial weaknesses: The micro-data on consumption used in previous empirical work are notoriously prone to measurement errors, the assumptions about the individual income processes do not match empirical facts observed in individual income data, and the impact of rare but disastrous income changes is neglected. In Constantinides and Duffie's (1996) base model it is only the cross-sectional variance of income changes which has asset pricing implications. We deal with these weaknesses by developing a coherent measure of idiosyncratic income risk, and by generalizing the income process to allow for rare but severe idiosyncratic shocks. Our empirical analyses will be based on data which are less prone to measurement errors.

金融危机的动荡引发了一个问题，即现代金融市场的价格过程是否独立于真实的经济过程而演变，而是源于非理性繁荣。这个问题强调了将金融价格过程与真实的经济联系起来的理论和实证工作的重要性。我们的研究计划就是在这种背景下提出的。特别是，我们打算调查的特殊收入风险在资产定价中的作用。我们不是第一个解决这个问题的人，但现存的研究存在重大缺陷：以前的实证工作中使用的消费微观数据非常容易出现测量错误，关于个人收入过程的假设与个人收入数据中观察到的经验事实不符，罕见但灾难性的收入变化的影响被忽视。在Constantinides和Duffie（1996）的基础模型中，只有收入变化的横截面方差才具有资产定价含义。我们处理这些弱点，通过开发一个连贯的措施的特质收入风险，并通过概括的收入过程，以允许罕见的，但严重的特质冲击。我们的实证分析将基于不易出现测量误差的数据。