资产定价理论的逻辑问题研究

资产定价理论是现代金融经济学的核心内容,但由于资产定价理论存在的局限性,所以它们在不断接受着各种实践检验的挑战,这些问题的根源在于没有认识到经典资产定价理论存在着认识论和方法论上的悖论,这些悖论突显了资产定价基本思想在未来资产定价理论发展上的重要意义.     

行为公设与资产定价理论

资产定价理论的核心是行为公设,行为公设是对人的行为的公理化概括,资产定价理论是行为公设在资产选择问题上的具体应用。资产定价理论的正确性在现实中经受检验,当资产定价理论被现实证明存在缺陷时,最终必然追溯到行为公设上。资产定价理论与行为公设之间存在着因果和反馈关系,行为公设为因,资产定价理论为果,同时资产定价理论对行为公设作出反馈。要消除资产定价理论对实际结果的偏离,最终必然落实到行为公设上,因此必须加强对行为公设的研究。     

我国金融结构宏微观悖论新解:融资权约束

通过对我国金融资产结构的实证分析,可以发现我国金融结构宏微观变量间存在着相背离的悖论.经典的金融制度结构理论对此悖论的解释是苍白乏力的.在探讨我国金融结构悖论的形成机理时,需要引入"中国特色"变量:融资选择权约束、银行效率、企业成长周期和居民资产组合偏好与内外部约束等因素,从而构建新的逻辑框架来解释这一悖论.     

市场化条件下商业银行定价策略探讨

商业银行的定价区分为负债和资产定价,并且两者存在相对应的关联关系,资产业务定价必须考虑资金成本、风险对价、经营费用、资本回报等相关因素。理论而言,这些定价的策略必须考虑市场环境、客户接受意愿等因素。     

均衡价格定理的三个悖论

均衡价格定理是西方经济学的理论核心和基本信念.在经济哲学的视域中,均衡价格定理存在着三个悖论,即经济人理性与非理性的悖论、消费者主权与生产者专制的悖论、竞争与垄断的悖论.经济人理性与非理性的悖论反映出均衡价格定理对经济活动主体的片面认识.消费者主权与生产者专制的悖论暴露出均衡价格理论的折中主义方法难以揭示现实中的经济矛盾.竞争与垄断的悖论则体现出均衡价格理论的机会主义思想特征.均衡价格定理的三个悖论挑战着它的理论完满性和理想性,折射出其理论的庸俗性.     

有限理性条件下的资产定价理论综述

传统的资产定价理论基于新古典经济学的研究框架,假定投资者是完全理性的,在这个基础上研究资产收益率的决定。然而,完全理性的投资者在现实中并不存在,并且基于完全理性的分析不能完全解释市场上的种种异象。与传统的研究方法不同,有限理性的资产定价理论认为:投资者是有限理性的,应按照一些基于经验的认知捷径来形成对未来的认识,并以此为基础进行投资。通过引入这种更符合现实的投资者,有限理性的资产定价理论研究资产收益率的决定,试图更好地解释各种市场现象。     

异质信念资产定价研究

从随机游走、行为金融到混沌，从现代资产定价理论、行为资产定价理论到异质信念资产定价理论，3种学说和3种定价理论同时存在干当今资本市场的研究中，它们分别从不同方面、不同视角解释了资产价格的波动。本文的研究理清了3种重要定价理论之间的关系：理性与有限理性，线性与非线性，价格波动的外在机制与内在机制，为人们进一步研究资产定价理论提供了清晰的脉络。     

投资学理论模型的应用实践

对马科维茨投资组合理论、单因素模型、资本资产定价模型和套利定价理论的主要内容进行简单阐述,分析各投资理论的缺陷以及各理论之间的关联性,并根据自己对中国现实问题的观察和思考,总结出了这些投资理论对现实投资的指导意义.     

套利定价理论文献综述

1976年,美国学者斯蒂芬·罗斯在《经济理论杂志》上发表了经典论文"资本资产定价的套利理论",提出了一种新的资产定价模型,此即套利定价理论(APT理论)。对套利定价理论的可检验研究与实证研究两方面文献进行整理,并深入对影响APT实证研究的几个因素进行分析。     

期望效用理论与前景理论的一致性

经济中存在着大量的不确定性,人们在不确定情况下的决策行为是公司资本结构、期权定价等问题的理论基础.自从冯?诺伊曼和摩根斯坦的经典著作《博弈论和经济行为》问世以来,期望效用理论一直被奉为理性人在不确定情况下进行决策的准则,在期望效用理论的基础上,建立起了资本资产定价模型、有效市场等一系列经济理论.然而随着实验经济学的发展,经济学家发现人们在实际决策中会出现一些违反期望效用准则的异象.1979年,卡尼曼和特沃斯基的论文前景理论,解释了这些异象,并成为行为金融学的理论基础.该文在介绍这两种理论主要思想的基础上证明,在一个理性人应当遵循的代数结合律公理的条件下,前景理论和期望效用理论的结论是一样的.     

有限理性下中美投资者对财富和消费偏好的比较研究

投资和消费是人们最重要的经济决策,而投资和消费的选择是由对财富和消费的偏好决定的。在效用最大化的前提下,构建有限理性的效用函数,来比较中国和美国投资者对于消费和财富的偏好。研究的结果表明,相对中国人而言美国人是更加偏好消费的,而中国人更偏重于财富。这样的差异形成的原因可能在于中国的金融市场发达程度不如美国,中国的社会保障体系不如美国完善。     

PORTFOLIO BEHAVIOUR AND ASSET PRICING IN A CHARACTERISTICS FRAMEWORK

We have applied the characteristics model to the problem of portfolio behaviour and asset pricing. By defining assets in terms of characteristics, we generated individual demands for assets which depended on the prices of assets, the technological relationship between assets and asset characteristics, and the individual's preferences for different characteristics. In general, the characteristics model cannot be readily aggregated across individuals. However, when we assumed that the assets-characteristics technology had a simple form which was common to all individuals, market-clearing conditions could be used to derive an asset pricing model. Finally, we showed that the characteristics model provides a unified approach to the problem of preference-based portfolio behaviour and asset pricing. A number of existing models can be interpreted as characteristics models: the state-preference model, the parameter-preference model, the capital asset pricing model and the inter-temporal capital asset pricing model.     

商业银行产品定价理论综述

本文对国外商业银行产品定价理论与模型进行系统梳理与比较,介绍西方商业银行产品定价的一般方法与模型;对我国商业银行产品定价实践及其理论探索路径进行归纳,针对中小企业贷款及其定价方法进行分析。本文旨在为我国商业银行建立科学合理的产品定价模型、实现创新发展提供理论启示。     

Euler equation errors

The standard, representative agent, consumption-based asset pricing theory based on CRRA utility fails to explain the average returns of risky assets. When evaluated on cross-sections of stock returns, the model generates economically large unconditional Euler equation errors. Unlike the equity premium puzzle, these large Euler equation errors cannot be resolved with high values of risk aversion. To explain why the standard model fails, we need to develop alternative models that can rationalize its large pricing errors. We evaluate whether four newer theories at the vanguard of consumption-based asset pricing can explain the large Euler equation errors of the standard consumption-based model. In each case, we find that the alternative theory counterfactually implies that the standard model has negligible Euler equation errors. We show that the models miss on this dimension because they mischaracterize the joint behavior of consumption and asset returns in recessions, when aggregate consumption is falling. By contrast, a simple model in which aggregate consumption growth and stockholder consumption growth are highly correlated most of the time, but have low or negative correlation in severe recessions, produces violations of the standard model's Euler equations and departures from joint lognormality that are remarkably similar to those found in the data.     

The double exponential jump diffusion model for pricing European options under fuzzy environments

The interest rate and volatility may have different values in the different commercial banks and financial institutions. Moreover, the fluctuations of the underlying assets are rare events, and there are not enough historical data to estimate the jump intensity in a precise sense. This paper considers European option pricing problems with the fuzzy interest rate, fuzzy drift, fuzzy volatility and fuzzy jump intensity. We present the fuzzy pricing formula of European options based on the Kou's double exponential jump diffusion model. We also obtain the crisp possibilistic mean option pricing formula in fuzzy double exponential jump diffusion model by using the crisp possibilistic mean values of the fuzzy numbers. Comparing with B-S formula, numerical analysis and empirical results show that the fuzzy double exponential jump diffusion formula and the crisp possibilistic mean option pricing formula are reasonable and can be taken as reference pricing tools for the financial investors.     

Pricing of New Assets in an Infinite-Horizon Frictional Economy

This paper studies the pricing of new assets in an infinite-horizon frictional economy. It uses results on state prices to establish conditions under which the valuation structure of the economy (defined as the collection of all state price processes) is unaffected by the introduction of new assets and conditions under which the new assets do not give rise to arbitrage.     

宏观经济状态对资产定价因子的影响

为刻画资产定价因子随宏观经济状态时变性,本文通过经济增长和通货膨胀两个指标定义经济状态,建立宏观经济状态下的条件资产定价模型。研究发现在中国资本市场上此模型能够显著改进CAPM模型的效力,其定价效力甚至优于多因子模型。进一步研究表明,宏观经济通过两个维度影响资产价格：第一,多数资产在衰退时期对市场风险更敏感,其代表市场因子的贝塔系数大于复苏与过热阶段;第二,小市值公司的贝塔系数均值及波动性大于大公司,在经济衰退时承担更高的风险收益。     

THE DISTRIBUTION OF BETAS IN PRESENCE OF NONTRADED ASSETS

This study considers a capital assets pricing model (CAPM) in an incomplete financial market wherein not all risky assets are traded and the risk from non‐traded assets is not orthogonal to that of the existing or traded assets. The model shows the extent of the divergence of the CAPM betas (true betas) from the traditional CAPM betas (perceived betas) in market equilibrium conditions in an incomplete market. Specifically, it implies that the more incomplete a financial market is, the wider is the discrepancy between the true and perceived betas, and the distribution of the perceived betas tends to centre more around 1 in an incomplete market than that of true betas. Empirical evidence in various settings support these results.     

房地产虚拟资产特性的理论和实证分析

从虚拟经济的行为基础——资本化定价方式入手,对房地产的虚拟资产的性质进行深入剖析。研究房产和地产二者各自的虚拟性,然后加以汇总得出一个关于房地产虚拟性的基本结论:房地产是除金融资产以外的另一种典型的虚拟资产,其虚拟性介于一般商品和金融资产之间。文章同时指出,正是房地产的虚拟资产性质特性使其成为联系实体经济与虚拟经济的纽带。在一定意义上,房地产对宏观经济的运行具有稳定作用。