统计研究
統計研究
통계연구
Statistical Research
2014年
6期
98~106
,共null页
第一HJ距离 Beta表达式 最大定价误
第一HJ距離 Beta錶達式 最大定價誤
제일HJ거리 Beta표체식 최대정개오
The first HJ distance;Beta Pricing Representation;Maximal Pricing Error
模型设定检验是资产定价的核心环节,作为模型误设的新指标,第一HJ距离受到学术界的广泛关注.然而,鲜有文献比较第一HJ距离和传统的误设测度的异同.本文通过系统分析第一HJ距离的性质,并与传统的模型设定误差测度进行比较发现：①第一HJ距离将基于模型所用SDF的欧氏空间距离和最大定价误相联系,有丰富的经济含义;②第一HJ距离关注定价误差,相较于传统的模型误设测度,倾向于选择大的零Beta收益率和小的因子风险溢酬,对模型的排序有差异;③第一HJ距离的加权矩阵具有模型独立性和对测试资产组合选择的一致性.
模型設定檢驗是資產定價的覈心環節,作為模型誤設的新指標,第一HJ距離受到學術界的廣汎關註.然而,鮮有文獻比較第一HJ距離和傳統的誤設測度的異同.本文通過繫統分析第一HJ距離的性質,併與傳統的模型設定誤差測度進行比較髮現：①第一HJ距離將基于模型所用SDF的歐氏空間距離和最大定價誤相聯繫,有豐富的經濟含義;②第一HJ距離關註定價誤差,相較于傳統的模型誤設測度,傾嚮于選擇大的零Beta收益率和小的因子風險溢酬,對模型的排序有差異;③第一HJ距離的加權矩陣具有模型獨立性和對測試資產組閤選擇的一緻性.
모형설정검험시자산정개적핵심배절,작위모형오설적신지표,제일HJ거리수도학술계적엄범관주.연이,선유문헌비교제일HJ거리화전통적오설측도적이동.본문통과계통분석제일HJ거리적성질,병여전통적모형설정오차측도진행비교발현：①제일HJ거리장기우모형소용SDF적구씨공간거리화최대정개오상련계,유봉부적경제함의;②제일HJ거리관주정개오차,상교우전통적모형오설측도,경향우선택대적령Beta수익솔화소적인자풍험일수,대모형적배서유차이;③제일HJ거리적가권구진구유모형독립성화대측시자산조합선택적일치성.
Model specification test is the key step of asset pricing, as a new model misspecification measure, the first HJ distance has been paid much academic attention. However, little studies concentrate on the similarities and differences between the first HJ distance and traditional measures. We analyzed the properties of the first HJ distance systematically, and compared with the traditional model specification measure in the paper, and found that： （ 1 ） the first HJ distance has linked the Euclidean space distance of the model SDF with the maximal pricing error, having ample economic meaning; （2） the first HJ distance focused on the pricing error, Compared with the traditional measures, the first HJ distance intended to choose the larger zero beta rate and smaller factor risk premium, and ranked the models differently; （3） the first HJ distance weighting matrix is model independent invariant to the test asset portfolio.
