On Influence of Company Risk Preference on Company Expected Rate of Return

We build a model for Company Expected Rate of Return(CERR)based on the companies' capital growth by introducing the recursion utility function,and construct the CERR measurement model taking into consideration of the companies' risk preference.We further perform simulation of CERR under different conditions with different preference parameters.The result show that the inference of subjective discount factor on ERR is negative,and the bigger subjective discount factor is,the smaller absolute value of the Marginal ARR on subjective discount factor.However,the influence of the Marginal CERR on the elasticity of inter-temporal substitution and coefficient of relative risk aversion is positive while the influence on CERR of inter-temporal substitution and coefficient of relative risk aversion varies in different scopes of inter-temporal substitution and coefficient of relative risk aversion.