随机游走、行为金融、混沌与资产定价理论的新发展

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,三种学说和三种定价理论同时存在于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。本文的研究理清了三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。     

随机游走、行为金融、混沌与资产定价理论的新发展

从随机游走、行为金融到混沌,从理代资产定价理论、行为资产定价理论到异质信念资产定价理论,三种学说和三种定价理论同时存在于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.本文的研究理清了三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.     

浅论资产价格分布及衍生品定价

文章认为不仅资产价格的随机游走不能精确预知,而且资产价格随机游走的趋势也同样不能精确预知.这样,资产价格随机游走的趋势就同样具有风险,表征游走趋势的量也应是随机变量.本文构造了资产价格随机游走趋势为随机变量的资产价格分布,指出建立在其基础上的衍生品之风险不能被此资产对冲,从而其衍生品不具有无套利价格,只能通过风险资产定价来计算均衡价格.     

浅论资产价格分布及衍生品定价

文章认为不仅资产价格的随机游走不能精确预知,而且资产价格随机游走的趋势也同样不能精确预知。这样,资产价格随机游走的趋势就同样具有风险,表征游走趋势的量也应是随机变量。本文构造了资产价格随机游走趋势为随机变量的资产价格分布,指出建立在其基础上的衍生品之风险不能被此资产对冲,从而其衍生品不具有无套利价格,只能通过风险资产定价来计算均衡价格。     

浅论资产价格分布及衍生品定价

文章认为不仅资产价格的随机游走不能精确预知,而且资产价格随机游走的趋势也同样不能精确预知。这样,资产价格随机游走的趋势就同样具有风险,表征游走趋势的量也应是随机变量。本文构造了资产价格随机游走趋势为随机变量的资产价格分布,指出建立在其基础上的衍生品之风险不能被此资产对冲,从而其衍生品不具有无套利价格,只能通过风险资产定价来计算均衡价格。     

经济周期、投资者心理偏差与资产定价

新兴的行为资产定价理论存在的重大缺陷是未全面、系统地研究投资者心理偏差的变动机理和行为偏差的形成根源,以及它们对资产定价的影响,从而削弱了模型的解释力。投资者心理偏差随经济周期动态变化,不同周期阶段下呈现出不同态势(方向或强度),使得人们相应产生各种非理性程度不一的投资预期,进而导致资产价格偏离基础价值。而这种偏离又会反作用于投资者心理偏差与经济周期波动,从而相互影响,不规则地循环反复。文章将投资者心理偏差置于经济周期这一宏观背景下,提出"经济周期-心理偏差-行为偏差-资产定价"的研究新思路,以期揭示心理偏差影响下投资者行为与资产定价之间的作用与反作用机理,打开"心理偏差-资产定价"的"过程黑箱"。     

资产定价:理论演进及应用研究

资产定价理论是现代金融理论的核心.本文通过对资产定价理论的综述,揭示了从传统资产定价理论到行为资产定价理论的演进脉络,并对各理论及相应模型的内涵和应用进行了描述,最后对传统资产定价理论和行为资产定价理论进行了比较,以期对我国金融理论和实践的发展有所帮助.     

多标的资产期权定价的Monte Carl模拟方法及其应用研究

鉴于一般的偏微分解析方法和传统数值方法处理高维期权定价问题存在很大困难,本文在单标的资产价格随机模型的基础上,推导了具相关性的多标的资产价格的随机过程公式,以此构造蒙特卡罗模拟高维欧式期权定价的随机模型,给出模拟算法,并分析了影响蒙特卡罗模拟效果的几个关键因素,模拟算例的结果显示模拟效果较好.     

基于投资结果的情绪资产定价模型及应用

通过考虑投资者在不同时期的情绪变化建立了受投资结果影响的情绪资产定价模型,模型分析表明:若有信息投资者在不同时期收到符号相同的信号,则投资者的市场情绪加重,表现为资产价格继续上涨或下跌,反之,资产价格保持不变。模型的意义在于能够很好地解释短期收益惯性、长期收益反转以及资产价格泡沫等现象,并论证了认知风险与认知收益呈负相关的实证结论。     

投资者情绪与资产定价的研究分析

当今,传统的资产定价理论假设已经很难解释资本市场异化现象.将行为金融学纳入其中,从影响投资者的情绪几方面因素出发,投资决策的非稳健性,从而影响资产定价.最后,为稳定资本市场,保护投资者权益,提出一些建议.因此,研究次问题对解释金融资产异化现象具有一定的现实意义.     

Presidential Address: Liquidity and Price Discovery

This paper examines the implications of market microstructure for asset pricing. I argue that asset pricing ignores the central fact that asset prices evolve in markets. Markets provide liquidity and price discovery, and I argue that asset pricing models need to be recast in broader terms to incorporate the transactions costs of liquidity and the risks of price discovery. I argue that symmetric information‐based asset pricing models do not work because they assume that the underlying problems of liquidity and price discovery have been solved. I develop an asymmetric information asset pricing model that incorporates these effects.     

完全市场中的资产定价——有限离散时间情形

研究完全市场中有限离散时间情形下的资产定价问题。首先,给出了无风险收益的概念,借助无风险收益定义了一种风险中性概率。基于这个概率,得到了资产的价格等于随机现金流与随机贴现因子乘积的期望,而且资产的价格还等于资产支付关于q的期望对无风险收益的贴现值。其次,借助无风险概率考虑了资产在多期情形下的资产定价,得出了相应的股票期权公式,尤其作为推论给出了欧式看涨期权的定价公式,并对资产价格过程的鞅性作了讨论。     

Benchmarking in two price financial markets

No arbitrage for two price economies with no locally risk free asset implies that suitably benchmarked prices are nonlinear martingales. However, both the benchmarking asset and the measure change depend on the process being benchmarked. Further assumptions allow the nonlinear martingales in discrete time to become expectations with respect to a nonadditivity probability. Such nonlinear expectations are imminently reasonable given the lack of experience with tail events on both sides of the gain loss spectrum. Continuous time extensions employ measure distortions. The general valuation of economic activities and the leveraging of stability in benchmarked price processes is then addressed. Traditional asset pricing questions and investigations are then reopened for benchmarked prices. In particular, the analytics for benchmarked option pricing and the asset pricing theory for benchmarked prices in a limiting stationary state are developed.     

Pricing double barrier options under a volatility regime-switching model with psychological barriers

The prices of lots of assets have been proved in literature to exhibit special behaviors around psychological barriers, which is an important fact needed to be considered when pricing derivatives. In this paper, we discuss the valuation problem of double barrier options under a volatility regime-switching model where there exist psychological barriers in the prices of underlying assets. The volatility can shift between two regimes, that is to say, when the asset price rises up or falls down through the psychological barrier, the volatility takes two different values. Using the Laplace transform approach, we obtain the price of the double barrier knock-out call option as well as its delta. We also provide the eigenfunction expansion pricing formula and examine the effect of the psychological barrier on the option price and delta, finding that the gamma of the option is discontinuous at such barriers.     

Explaining the Poor Performance of Consumption-based Asset Pricing Models

We show that the external habit-formation model economy of Campbell and Cochrane (1999) can explain why the Capital Asset Pricing Model (CAPM) and its extensions are betterapproximate asset pricing models than is the standard onsumption-based model. The model economy produces time-varying expected eturns, tracked by the dividend–price ratio. Portfolio-based models capture some of this variation in state variables, which a state-independent function of consumption cannot capture. Therefore, though the consumption-based model and CAPM are both perfect conditional asset pricing models, the portfolio-based models are better approximate unconditional asset pricing models.     

The Relationships between Real Estate Price and Expected Financial Asset Risk and Return: Theory and Empirical Evidence

In pricing real estate with indifference pricing approach, market incompleteness is shown to significantly alter the conventional pricing relationships between real estate and financial asset. Specifically, we focus on the pricing implication of market comovement because comovement tends to be stronger in financial crisis when investors are especially sensitive to price declines. We find that real estate price increases with expected financial asset return but only in weak market comovement (i.e., a normal market environment) when investors enjoy diversification benefit. When market comovement is strong, real estate price strictly declines with expected financial asset return. More importantly, contrary to the conventional positive relationship from real option studies, real estate price generally declines with expected financial asset risk. With realistic market parameters, we show that there is a nonlinear relationship between real estate price and financial risk. When the market comovement is strong, real estate price only increases with financial asset risk when the risk is low but eventually declines with the risk when it becomes high. Our cross-country empirical results also show that the relationship between financial market risk and real estate price is non-monotonic, conditional on the degree of market comovement.     

Sources of the stock price fluctuations in Chinese equity market

This paper proposes a latent factor approach based on a state–space framework in order to identify which factor, if any, dominates price fluctuations in the Chinese stock markets. We also illustrate the connection of such stock price decomposition with several general equilibrium asset pricing models and show that the decomposition results can potentially offer useful insights with regard to the empirical relevance of asset pricing models. We use quarterly data of the Chinese A-Share equity market over the period 1995Q3–2011Q1 and find that the estimates of the state–space model suggest that the expected return is the primary driving force behind price fluctuations in the Chinese stock market. We show that the time-varying expected returns appear to be counter-cyclical and this result seems to be consistent with the habit formation model of Campbell and Cochrane [1999. By force of habit: A consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107, no. 2: 205–51.]. However, we also note that there is a great deal of uncertainty with respect to this variance decomposition due to the resulting small signal-to-noise ratio in the estimated state–space model.     

When are Options Overpriced? The Black--Scholes Model and Alternative Characterisations of the Pricing Kernel

An important determinant of option prices is the elasticityof the pricing kernel used to price all claims in the economy.In this paper, we first show that for a given forward priceof the underlying asset, option prices are higher when the elasticityof the pricing kernel is declining than when it is constant.We then investigate the implications of the elasticity of thepricing kernel for the stochastic process followed by the underlyingasset. Given that the underlying information process followsa geometric Brownian motion, we demonstrate that constant elasticityof the pricing kernel is equivalent to a Brownian motion forthe forward price of the underlying asset, so that the Black–Scholesformula correctly prices options on the asset. In contrast,declining elasticity implies that the forward price processis no longer a Brownian motion: it has higher volatility andexhibits autocorrelation. In this case, the Black–Scholesformula underprices all options.     

无套利定价理论及未来研究方向

本文首先对以无套利假设作为理论基础的经典金融资产定价理论进行了梳理。然后,基于经典理论的预测结果与实际金融市场数据不能很好吻合的事实,以及行为金融学所指出的无套利定价理论的局限性,提出以一价定律作为金融资产定价的理论出发点具有重要的理论和现实意义。