股权溢价之谜

作为金融市场上的异象之一,股权溢价之谜自被提出之时就引起了金融经济学术界的广泛关注,大量的研究人员试 图以不同的方式对传统模型进行修正来解释股权溢价之谜。本文将试图从古典经济学和行为金融学两个方面对理论学界对 股权溢价之谜的解释进行综述。     

Another Look at the Equity Risk Premium Puzzle

The model of Mehra and Prescott (1985, J. Econometrics, 22, 145–161) implies that reasonable coefficients of risk‐aversion of economic agents cannot explain the equity risk premium generated by financial markets. This discrepancy is hitherto regarded as a major financial puzzle. We propose an alternative model to explain the equity premium. For normally distributed returns and for returns far away from normality (but still light tailed), realistic equity risk premia do not imply puzzlingly high risk aversions. Following our approach, the ‘equity premium puzzle’ does not exist. We also consider fat‐tailed return distributions and show that Pareto tails are incompatible with constant relative risk aversion.     

Life with habit and expectation: A new explanation of equity premium puzzle

Previous writers have attempted to resolve the equity premium puzzle by employing a utility function that depends on current consumption minus (or relative to) past habit consumption. This paper points out that an individual's current utility may also depend upon how well off in the recent past he or she had expected to be today. Hence we add the concept “expectation formation” to the utility modification term in a model with a habit‐formation utility function. We apply the model to the equity premium puzzle and find that it is able to fit the data with a relatively low coefficient of relative risk aversion. Furthermore, we introduce an updated data sample and apply different values of discounting factors, and find that in all circumstances, the model is able to generate coefficients of risk aversion that are consistent with theory. Hence we conclude that the model is able to resolve the equity premium puzzle.     

基于高斯冲击和习惯形成的资产定价模型

在卢卡斯提出的资产定价模型中,消费增长率是独立同分布的和投资者效用函数是可分的。卢卡斯模型无法解释著名的股票溢价之谜和无风险利率之谜,对卢卡斯模型做的两个修改是:消费增长率服从一阶高斯自回归随机过程和投资者偏好是具有习惯形成的效用函数,修改后的模型,一是存在资产定价的显示解;二是可以解释股票溢价之谜和无风险利率之谜。     

基于效用成本风险异质性的消费资本资产定价模型

资产定价既是现代金融的核心,也是许多困惑之所在,其中最著名的就是股权溢价之谜和无风险利率之谜。本文对消费资本资产定价模型中的效用成本做了重新思考,引入"效用成本风险异质性"的概念,并将效用成本区分为"消费效用成本"和"风险效用成本"。在此基础上,本文提出了消费资本资产定价模型的新形式,并对股权溢价之谜和无风险利率之谜进行解释。     

Moving costs, nondurable consumption and portfolio choice

The substantial adjustment cost for housing affects nondurable consumption and portfolio allocations, as well as the frequency of housing transactions. A simple theoretical model, roughly calibrated, is used to assess the quantitative impact of adjustment costs on those decisions. The impact on portfolios is found to be significant, suggesting that housing wealth should be useful in empirical studies of portfolio choice. The welfare loss from the transaction cost is also substantial. The effect on nondurable consumption is small, however, so adjustment costs can explain only a small part of the equity premium puzzle.     

Equity market valuation,systematic risk and monetary policy

This study examines the relationship between equity market valuation and risk indicators that portend economic downswings. The indicators are implied options volatility, Treasury-Eurodollar (TED) spread and exchange rate. While implied volatility captures market risk in that it reflects the fear factor embedded in the price of an option, TED spread reflects the default risk premium that is priced into a key short-term credit instrument. Equity markets often show a tendency to reflect the incidence of these risk factors. And because they provide valuable information about the health of the economy, many have argued that equity market valuation be taken into account in the formulation of monetary policy. Results of this study not only show a statistically significant inverse relationship between the stock market and these risk factors, but also evidence of a cointegration. In a variance decomposition of the series, we find that equity valuation is a major contributor to the forecast error variances of each of the risk indicators, a finding that lends tacit support to the argument that risk indicators associated with the equity market be considered in monetary policy decisions.     

社会地位、非期望效用函数、资产定价和经济增长

本文利用非期望偏好结构 ,讨论消费和资产收益的时间序列行为。在这种递归偏好结构中 ,投资者积累财富不仅仅为了消费 ,也为了财富所带来的社会地位 ,我们研究这一假设对消费、投资组合策略、证券市场价格以及经济增长的影响 ,并利用所得到的定价方程讨论风险溢金问题。     

Still puzzling: evaluating the price puzzle in an empirically identified structural vector autoregression

The price puzzle, an increase in the price level associated with a contractionary monetary shock, is investigated in a rich, 12-variable SVAR in which various factors that have been mooted as solutions are considered jointly. SVARs for the pre-1980 and post-1990 periods are identified empirically using a graph-theoretic causal search algorithm combined with formal tests of the implied overidentifying restrictions. In this SVAR, the pre-1980 price puzzle depends on the characterization of monetary policy, and the post-1990 price puzzle is statistically insignificant. Commonly suggested theoretical resolutions to the price puzzle are shown to have causal implications inconsistent with the data.     

中国居民消费与资产收益:基于收入群体的分析

The equity premium puzzle is found during the test of the Consumption-based Capital Asset Pricing Model (CCAPM) with aggregate consumption data. Because of income disparity, many consumers lack financial assets to intertemporally allocate their consumptions under income constraints. Thus, it is likely to lead to a specification error by employing aggregate consumption data to test the CCAPM. This paper examines the impacts of the economically constrained (low-income) consumers and unconstrained (high-income) consumers on the CCAPM using urban consumption expenditures in China delineated by consumer income, and tests the income constraint hypothesis. The empirical results show that the CCAPM is not more consistent with the consumption pattern of the higher-income consumers. Including the income constraint into the analyses of the consumption and asset returns does not unravel the equity premium puzzle.      

Some recent developments in capital market theory: A survey

This paper surveys some recent developments in the theory of capital markets. Particular emphasis is given to two strands of the literature. The first covers some recent and fundamental extensions to the theory of risk aversion and the demand for risky assets. These papers are concerned with the effect of non-hedgeable background risk on risk attitudes. The important implications for finance are for the size of the risk premium (the equity premium puzzle) and for the demand for and pricing of contingent claims. For example, background risk may help to explain the apparent over-pricing of options on equity indices. The second topic is interest rate term structure models. Stochastic term structure models try to capture the possible future shapes of the term structure of interest rates. This is relevant for the pricing of contingent claims, in particular for the pricing of interest rate derivatives such as American-style swaptions. The paper will survey the most important recent models in the literature, each of which satisfies the fundamental no-arbitrage property. It will discuss the implications of the models for the pricing of both European-style and American-style options.     

The Gender Impact of Social Protection Policies: A Critical Review of the Evidence

Abstract

Over the course of the neoliberal era, social protection policies have been transformed dramatically; these changes have had profound gender implications. Since the early 1980s, welfare state regimes around the world have shifted away from ‘universalism' towards ‘targeting'. More recently, there has been a further shift—especially in industrialized countries—away from the male-breadwinner to the adult worker model. Despite the progressivity implied by this latter shift, important issues of gender inequality remain unresolved (even in Nordic countries where levels of gender equity are higher than elsewhere). This paper presents a critical review of social protection policies, examined from a gender perspective. The analysis presents a conceptual framework on gender and the welfare state, and examines the experience of major industrialized and developing countries in engendering social policy. In particular, this paper provides a careful examination of care-related programs, since this domain is particularly important to understanding the gendered effects of social protection policies. Finally, the gendered implications of the global crisis and subsequent policy measures are examined.     

Epstein–Zin Utility in DICE: Is Risk Aversion Irrelevant to Climate Policy?

Climate change involves uncertain probabilities of catastrophic risks, and very longterm consequences of current actions. Climate economics, therefore, is centrally concerned with the treatment of risk and time. Yet conventional assumptions about utility and optimal economic growth create a perverse connection between risk aversion and time preference, such that more aversion to current risks implies less concern for future outcomes, and vice versa. The same conflation of risk aversion and time preference leads to the equity premium puzzle in finance. A promising response to the equity premium puzzle, the recursive utility of Epstein and Zin, allows separation of risk aversion and time preference—at the cost of considerable analytic complexity. We introduce an accessible implementation of Epstein–Zin utility into the DICE model of climate economics, creating a hybrid “EZ-DICE” model. Using Epstein–Zin parameters from the finance literature and climate uncertainty parameters from the science literature, we find that the optimal climate policy in EZ-DICE calls for rapid abatement of carbon emissions; it is similar to standard DICE results with the discount rate set to equal the risk-free rate of return. EZ-DICE solutions are sensitive to the intertemporal elasticity of substitution, but remarkably insensitive to risk aversion. Insensitivity to risk aversion may reflect the difficulty of modeling catastrophic risks within DICE. Implicit in DICE are strong assumptions about the cost of climate stabilization and the certainty and speed of success; under these assumptions, risk aversion would in fact be unimportant. A more realistic analysis will require a subtler treatment of catastrophic climate risk.     

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。     

State-dependent preferences can explain the equity premium puzzle

We introduce state-dependent recursive preferences into the Mehra–Prescott economy. We show that such preferences can match the historical first two moments of the returns on equity and the risk-free rate. Other authors have reported similar results using state-dependent expected utility preferences. These authors have tended to emphasize the importance of countercyclical risk aversion in explaining the equity premium puzzle. We find that countercyclical risk aversion plays an important role but only when combined with modest cyclical variation in intertemporal substitution.     

公司购并利益相关者的利益均衡吗?——基于公司购并动因的风险溢价套利分析

本文利用信息经济学与博弈论理论 ,从公司利益相关者的利益均衡角度对公司购并进行动态博弈分析。为刻画行为主体利益动态均衡过程 ,论文应用Rubinstein讨价还价模型 ,揭示公司购并过程中利益均衡及其对公司购并的推动作用。为解开“购并公司股东损益之谜” ,论文引进购并公司信息占优条件下的风险套利模型 ,分析购并公司溢价购并损失在市场背后的风险套利补偿。在此基础上 ,采用市场分析法对上市公司购并利益分配进行实证 ,检验结果显示中国证券市场同样存在“购并公司股东损益之谜”。     

Envy, leisure, and restrictions on working hours

Abstract.  We present a simple model of capital accumulation where agents care about their consumption relative to the consumption of other members of society, 'envy,' In this context we quantify the extent of the distortions and welfare costs associated with envy. Under conservative estimates of envy we find that the implied welfare losses are substantial. We explore the implications of alternative policy arrangements designed to minimize the effects of the consumption externality. Our results suggest that if the optimal tax policy is not politically feasible, restrictions on working hours provide an alternative tool to induce a market outcome that resembles the efficient allocation achieved under a benevolent central planner. JEL classification: D62, H21     

Epstein–Zin Utility,Asset Prices,and the Business Cycle Revisited

This paper discusses the advantages of Epstein and Zin (1989) (EZ) preferences when building dynamic stochastic general equilibrium (DSGE) models that are consistent with well‐known stylized facts of both the business cycle and asset markets. To this end, we combine EZ preferences with several building blocks from the DSGE literature that has tried to solve the equity premium puzzle and to replicate characteristic statistics of the labor market. Our goal is to guide researchers in this area to useful modeling devices and to discuss EZ preferences vis‐a‐vis the standard time‐additive expected utility function. EZ preferences separate the attitude toward risk from the attitude toward intertemporal substitution. We demonstrate that this additional degree of freedom allows us to closely match the empirical facts already in a frictionless production economy with endogenous labor supply. Our study follows Heer and Maußner (2013). We examine models that consider adjustment costs of capital accumulation, consumption habits, and frictions in the allocation of labor. Our empirical targets are estimated from German data.     

Likelihood Evidence on the Asset Returns Puzzle

Standard equilibrium models are unable to replicate the average return on equity and the risk-free rate during 1889–1978, the well-known asset returns puzzle. The present paper, motivated by the excess of outliers in the data, proposes a normal-scale mixture stochastic process for output that is compatible with leptokurtosis. Using formal likelihood-based methods, it is shown that observed asset returns are compatible with posterior distributions implied by the model.     

Macroeconomic implications of financial policy

This paper studies the effects of financial policy in a model with heterogeneous agents, incomplete markets and portfolio restrictions. For an economy calibrated to replicate key aspects of the U.S. wealth distribution, we find that the quantitative effects of financial policy are relatively small. The reason is that the households determining aggregate behavior are relatively well insured and can therefore offset the actions of the firm by modifying their portfolio allocations. However, financial policy has important effects on asset prices. Whereas a higher level of debt in the capital structure of the firm introduces more risk into the economy by increasing the volatility of the equity return, it enhances the liquidity of households by increasing the supply of bonds. In an economy with a substantial amount of heterogeneity, this last effect dominates and leverage leads to a decrease in the equity premium. This is in contrast to the findings in representative agent models, in which leverage unambiguously increases the premium through a higher equity return volatility.