摘要债券投资收益除了持有期的时间价值，还包括投资者对债券价格波动的不确定性提出 的风险补偿，持有债券的风险溢价是学术界和实务界研究中长期关注的一个焦点。分析债 券风险溢价的可预测性对投资者决策和管理债券组合有重要意义。本文以利率期限结构、 CPI 同比、风险厌恶指标、动量指标以及投资者的“学习能力”指标为解释变量，对中期 国债的风险溢价建立预测模型，以此来预测未来一段投资期内，长期国债与短期国债持有 期回报的差额，并依此构建了针对中国国债投资的策略。样本外回归测试表明，动态投资 策略与市场指数及债券型基金相比，取得了良好的收益风险比。81193

毕业论文关键词 纯预期理论 风险溢价 久期管理 交易策略

Title The Research on Bonds Investment Strategy Based on The Prediction Model of Risk Premium   

Abstract Bond investment income includes the risk compensation required by investors for the uncertainty of bond price volatility in addition to the time value of holding period。  The academia and practice circle have paid attention to the risk premium for holding bonds during long-term research。 It’s important for investors’ decision-making and management of bond portfolios to analyse about the predictability of the bond risk premium。 In order to predict the difference of holding period return of long-term debt and short-term debt during future period of investment, we establishes the prediction model of risk premium, recognizing term structure of interest rates, the consumer-price index, index of risk aversion, the momentum index as well as the investors ‘learning ability’ index as the explained variable。 Moreover, we will build investment strategy on national debt in accordance with predicting outcomes of the prediction model 。Out-of-sample regression test indicated that the dynamic investment strategy achieved good revenue compared with the market index and investment in bond funds。

Keywords: Pure Expectations Theory, Risk Premium, Duration Management, Trading Strategies

目 次

1 引言 1

1。1 研究背景 1

1。2 研究的理论意义与价值 1

2 文献综述 2

2。1 纯预期理论 2

2。2 时变超额回报的影响因素 3

2。3 国外风险溢价预测模型的研究 3

2。4 国内风险溢价预测模型的研究 4

2。5 文献综述总结 4

2。6 文章内容安排 5

3 风险溢价模型构建及实证检验 6

3．1 指标选取 6

3。1。1 期限利差 6

3。1。2 CPI 同比 7

3。1。3 风险厌恶指标 7

3。1。4 动量指标 8

3。1。5 超额持有期回报 9

3．2 实证检验 10

3。2。1 数据统计检验 10

3。2。2 模型样本内回归检验