Evaluation of risk premium in financial market and its application to asset pricing and risk management

在本研究中，我们首先在考虑投资者风险偏好的消费型资本资产定价模型框架下估计股权风险溢价。在日本，我们发现股市的连续下跌是由于经济的低增长。提出了基于贝塔风险模型的投资组合策略，并对模型的性能进行了检验。其次，作为相关的主要结果，我们从金融市场或宏观经济数据中估计了各种风险因素的风险溢价，如流动性风险、通货膨胀风险等，并将其用于资产定价或风险管理。

In this research, we firstly estimate equity risk premium in the frame of consumption-based capital asset pricing model with the risk preference of investors. In Japan, we find that the consecutive decline of the equity market is due to the low growth of the economy. We also propose portfolio strategy using the beta-risk model and examine the performance of the model. Secondly, as the related major results, we evaluate the risk premium of various kinds of risk factors such as the liquidity risk, the inflation risk and so on from financial market or macro-economic data and utilize them in asset pricing or risk management.