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بررسی معمای صرف سهام با استفاده از تابع مطلوبیت بازگشتی اپستین و زین در بازار بورس اوراق بهادار ایران ( به وسیله توابع اویلر و روش GMM) | ||
| پژوهشنامه اقتصاد کلان Macroeconomics Research Letter | ||
| مقاله 5، دوره 12، شماره 23، شهریور 1396، صفحه 133-154 اصل مقاله (711.27 K) | ||
| نوع مقاله: علمی | ||
| شناسه دیجیتال (DOI): 10.22080/iejm.2018.12865.1560 | ||
| نویسندگان | ||
| مرجان رادنیا1؛ مصیب پهلوانی* 2؛ محمد نبی شهیکی تاش1؛ رضا روشن3 | ||
| 1دانشگاه سیستان و بلوچستان، دانشکده اقتصاد | ||
| 2دانشگاه سیستان وبلوچستان، دانشکده اقتصاد | ||
| 3عضو هیئت علمی دانشگاه خلیج فارس بوشهر | ||
| تاریخ دریافت: 11 دی 1348، تاریخ پذیرش: 11 دی 1348 | ||
| چکیده | ||
| در این مقاله پس از معرفی و تبیین مبانی نظری معمای صرف سهام، به بررسی توانایی مدل قیمت گذاری دارایی های سرمایه ای مبتنی بر مصرف با استفاده از مطلوبیت بازگشتی به کمک داده های بورس اوراق بهادار تهران طی سالهای 1367- 1393 با استفاده از روش GMM پرداخته شده است. نتایج حاصل از تحقیق گویای آن است که علاوه بر شواهد تجربی، مقدار پارامتر برآوردی ضریب ریسک گریزی نسبی در معادله اویلر مربوط به مدل CCAPM در کمترین حالت معادل07/22 بوده که وجود معمای صرف سهام را تایید می نماید. پس از تعدیل مدل فوق با استفاده از تابع مطلوبیت بازگشتی و جداسازی ضریب ریسک گریزی نسبی و کشش جانشینی بین دوره ای ، مقادیر به دست آمده برای این دو پارامتر به ترتیب برابر با 3/0 و 45/1حاصل گردید. با توجه به اختلاف قابل توجه و و نیز کاهش چشمگیر ، می توان توانایی تعدیل مدل CCAPM مبتنی بر تابع مطلوبیت بازگشتی در حل معمای صرف سهام برای بازار بورس اوراق بهادار ایران را نتیجه گرفت. | ||
| کلیدواژه‌ها | ||
| معمای صرف سهام؛ تابع مطلوبیت بازگشتی؛ مدل CCAPM؛ کشش جانشینی بین دوره ای و ضریب ریسک گریزی نسبی | ||
| عنوان مقاله [English] | ||
| Investigating Risk Permium Puzzle Using Epstien and Zin recursive utility function in Iran's stock market (By Euler's functions and GMM method) | ||
| نویسندگان [English] | ||
| marjan radnia1؛ Mosayeb Pahlavani2؛ Mohammad Nabi Shahiki Tash1؛ Reza Roshan3 | ||
| 1Departmant of Economics, University of Sistan and Baluchestan, Iran | ||
| 2Departmant of Economics, University of Sistan and Baluchestan | ||
| 3department of of Economics, Persian Gulf University Bushehr, | ||
| چکیده [English] | ||
| Several models have been proposed to explain the relationship between risk and return on capital assets, among which the most important are the use of the CCAPM model. The inadequacy of the power utility function used in the model to explain the behavior of the observations, including the inability to solve the Risk Premium Puzzle, has led to an examination of the various methods and forms of other utility functions, among which the use of the proposed recursive utility functions By Epstein and Zin (1991). In this article, after introducing and explaining the theoretical foundations of the Risk Premium Puzzle, we examine the ability of the model capital asset pricing based on consumption by using recursive utility with using Tehran Stock data for the years 1988- 2014 using the GMM method. The results of the research show that, in addition to the empirical evidence, the estimated value of the relative risk aversion coefficient in the Euler equation related to the CCAPM model is at least equal to 22.07, which confirms the existence of the Risk Premium Puzzle. After adjusting the above model, using the recursive utility function and separating the relative risk-aversion coefficient and intertemporal substituation , the values obtained for these two parameters were 0.3 and 1.45, respectively. Considering the significant difference and also the significant decrease , the ability to adjustment the CCAPM model based on recursive utility function in solving the Risk Premium Puzzle for the stock market of Iran can be concluded. | ||
| کلیدواژه‌ها [English] | ||
| Asset pricing theory, GMM, Recursive Utility, Risk Premium Puzzle | ||
| مراجع | ||
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