Consumption and Portfolio Choice over the Life Cycle

This article solves a realistically calibrated life cycle modelof consumption and portfolio choice with non-tradable laborincome and borrowing constraints. Since labor income substitutesfor riskless asset holdings, the optimal share invested in equitiesis roughly decreasing over life. We compute a measure of theimportance of human capital for investment behavior. We findthat ignoring labor income generates large utility costs, whilethe cost of ignoring only its risk is an order of magnitudesmaller, except when we allow for a disastrous labor incomeshock. Moreover, we study the implications of introducing endogenousborrowing constraints in this incomplete-markets setting.     

Industry‐Specific Human Capital,Idiosyncratic Risk,and the Cross‐Section of Expected Stock Returns

Human capital is one of the largest assets in the economy and in theory may play an important role for asset pricing. Human capital is heterogeneous across investors. One source of heterogeneity is industry affiliation. I show that the cross‐section of expected stock returns is primarily affected by industry‐level rather than aggregate labor income risk. Furthermore, when human capital is excluded from the asset pricing model, the resulting idiosyncratic risk may appear to be priced. I find that the premium for idiosyncratic risk documented by several empirical studies depends on the covariance between stock and human capital returns.     

消费金融资产证券化与系统性风险管理研究

在强大的市场需求和金融科技支持下,消费金融公司自正式试点以来呈现良好的发展态势,其中资产证券化成为消费金融公司的重要融资方式。资产证券化在助力消费金融公司增资扩容、改善流动性和提高运营稳健性的同时,也促使消费金融行业风险高并导致诉讼案件的增加。本文基于捷赢个人消费贷款资产支持证券的经验证据,明确了消费金融创新、消费金融风险与金融市场系统性风险管理之间的内在联系,揭示可以通过大数据精准获客、规范催收行为和智能风险防控等措施为消费金融市场发展保驾护航。因此,针对消费金融资产证券化,政府应制定专门的政策法规以强化风险管理,不断完善消费金融资产的监管机制,借助系统性风险管理来规避套利和资金风险,进而促进消费金融资产证券化的稳健有序发展。     

The Implications of Nonmarketable Income for Consumption-Based Models of Asset Pricing

A new representation of nonmarketable (NM) income is introduced in this essay. Using this representation and continuous trading, there exists a set of individuals who do not participate in the asset market and who consume at the rate of nonmarketable income derived from human capital. Because these individuals remain nonparticipants for a range of stochastic processes governing the NM income, consumption betas are not generally unique in value and the consumption-based CAPM (CCAPM) does not obtain. However, the intertemporal CAPM (ICAPM) of Merton remains valid.     

动态资本资产定价理论评述

本文主要讨论了动态资产定价理论的产生和发展.默顿和布里登使用贝尔曼开创的动态规划方法和伊藤随机分析技术,重新考察在由随机过程驱动的不确定环境下,个人如何连续地做出消费/投资决策,使得终身效用最大化.无须单期框架中的严格假定,他们也获得了连续时间跨期资源配置的一般均衡模型--时际资产定价模型(ICAPM)以及消费资产定价模型(CCAPM).这些工作开启了连续时间金融方法论的新时代.     

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.     

政策性金融改革与浙江民间资本对接

本文介绍了美日等发达国家和国内一些地区以政策性金融、商业性金融和民间资本相结合的融资创新模式,在借鉴这些经验的基础上,指出要建立一套政策性、商业性金融机构、企业主体和财政共担风险的机制,从而打造一个规范的政策性金融体系.     

Estimating the cost of capital with basis assets

Instead of using industry groups or asset pricing models to estimate the cost of capital we propose using risk equivalent classes known as basis assets. A basis asset is constructed by grouping firms together whose returns indicate they share a common risk exposure, which in theory permits a precise and accurate expected return estimate. Thus, knowing to which basis asset a firm belongs, the firm’s cost of capital can be obtained. Empirically, we show that basis assets lead to superior cost of capital estimates when compared with widely used industry groupings. This means we are no longer reliant on asset pricing models or industry groups to estimate the cost of capital of a firm.     

Future labor income growth and the cross-section of equity returns

This paper examines the equilibrium relation between future labor income growth and expected asset returns; it proposes revisions in the expectation of future labor income growth as a macroeconomic state variable and suggests a three-factor model, including a factor related to this variable, along with the consumption growth factor and the market factor. The proposed future labor income growth factor is positively associated with the Fama-French factors and subsumes their explanatory power in explaining the cross-section of stock returns. These results provide a possible economic explanation for the roles of the Fama-French factors: they are compensation for higher exposure to the risk related to changes in the value of human capital. This paper also compares the performance of the proposed three-factor model with other competing models and finds that the proposed model specification better captures cross-sectional variation in average returns than any of the competing asset pricing models considered.     

Housing,Illiquidity, and Wealth

This article develops a model of asset allocation relevant for the representative consumer. Consumption is composed of two items: housing, and other goods and services. The representative household's balance sheet consists largely of a house and a mortgage. Its income statement is dominated by labor earnings, constraining cash expenditures. Housing-market behavior thus underlies intertemporal wealth and consumption allocation. With a housing-dominated portfolio and a maximizing plan, a plausible bound on the intertemporal marginal rate of substitution in consumption can be estimated for a typical household. The model takes account of idiosyncratic characteristics of housing returns and finance. Underwriting standards oblige borrowers to secure mortgage debt with a housing asset and with cash flow, usually from labor income. Access to the mortgage market depends on the loan-to-value ratio, or leverage and debt size, and the debt-coverage ratio, or cash solvency. If there are seasonals or predictable patterns in house returns, their magnitude is amplified for the typical liquidity-constrained household. Empirical results for the aggregate U.S. market confirm predictability and serial correlation in house capital gains. There are seasonals in housing returns. While there is no January effect, above-average returns are obtained during the summer months.     

Capital and Risk Revisited: A Structural Equation Model Approach for Life Insurers

The role of risk in the capital structure decision of firms is a vast topic in finance. Commonly, models of the interrelationship between risk and capital enumerate as many risk factors as possible by appropriate proxies, with the goal of detailing their individual effects. In this study of the life insurance industry for 1994 through 2000, we take a broader, holistic view of enterprise risk, identifying two groups of insurer risk factors that arise from the major activities of life insurers: investing and underwriting. We call the group of risk factors associated with investing asset risk, and the group associated with underwriting product risk. After specifying other important determinants of capital structure as controls, we allow all other risk factors to find expression in residual error. Within this framework, our focus is to compare two candidate measures for the role of proxy for asset‐related risks. One measure, called regulatory asset risk (RAR), derives from the regulatory tradition of concern with solvency and is related to the C‐1 component of risk‐based capital. The other measure, called opportunity asset risk (OAR), is motivated by traditional finance concerns with market risk and reflects volatility of returns. Product‐related risks are proxied by underwriting exposures in different product lines. We employ structural equation modeling (SEM), which uses longitudinal factor analysis. SEM is an innovative technique for such studies, in dealing effectively with multiple structural equations, autocorrelated panel data, unobserved underlying factors, and other issues that are not simultaneously addressed in other methodologies. We find that RAR and OAR are not equivalent proxies for asset risks. Although overlapping to some extent, each illuminates different aspects of the asset risk–capital interrelationship. In particular, RAR does not seem to affect the capital structure decision of small firms, although OAR does. We interpret this to suggest that small firms as a whole are not as sensitive in their capital decisions to the proxy of regulatory concerns as to the proxy of market opportunity. This contrasts with large insurers, for whom both RAR and OAR have significant effects on capital that comport with the finite risk hypothesis. More detailed analysis suggests that the lack of effect of RAR for small insurers may result from RAR's proxying some factors that induce finite risk for part of the small insurer sample, and other factors that favor the excessive risk hypothesis.     

农村金融发展影响农民收入增长的机制研究

本文运用1986-2007年的数据实证研究了我国农村金融发展与农民收入之间的相关性关系及影响机制.本文的研究表明,农村人均固定资产投资、农村人力资本、农村劳动力的转移与农民收入之间存在着显著的正相关性;农村金融规模和农村金融结构与农村人均固定资产投资、农村人力资本和农村劳动力转移都是正相关的,但是农村金融效率与农村人均固定资产投资、农村人力资本和农村劳动力转移却呈负向关系;我们认为,农村金融资金由于种种原因导致的配置低效率是阻碍农民收入增长的主要因素.     

A DERIVATION OF THE CAPM FOR PEDAGOGICAL USE

A central paradigm in modern finance theory is the capital asset pricing model (CAPM). While the CAPM is invariably taught in introductory finance courses, a derivation is commonly reserved for postgraduate courses. This is primarily because the available CAPM derivations usually assume an advanced knowledge of pure mathematics. This note provides a simple derivation of the CAPM which requires only an understanding of very basic mathematical concepts. The derivation explicitly highlights the link between the capital market line and the security market line which students often fail to comprehend. Our simple derivation can easily be adopted by instructors at all levels.     

Housing,consumption and asset pricing

This paper considers a consumption-based asset pricing model where housing is explicitly modeled both as an asset and as a consumption good. Nonseparable preferences describe households’ concern with composition risk, that is, fluctuations in the relative share of housing in their consumption basket. Since the housing share moves slowly, a concern with composition risk induces low frequency movements in stock prices that are not driven by news about cash flow. Moreover, the model predicts that the housing share can be used to forecast excess returns on stocks. We document that this indeed true in the data. The presence of composition risk also implies that the riskless rate is low which further helps the model improve on the standard CCAPM.     

A Lintner Model of Payout and Managerial Rents

We develop a dynamic agency model in which payout, investment, and financing decisions are made by managers who attempt to maximize the rents they take from the firm, subject to a capital market constraint. Managers smooth payout to smooth their flow of rents. Total payout (dividends plus net repurchases) follows Lintner's (1956) target adjustment model. Payout smooths out transitory shocks to current income and adjusts gradually to changes in permanent income. Smoothing is accomplished by borrowing or lending. Payout is not cut back to finance capital investment. Risk aversion causes managers to underinvest, but habit formation mitigates the degree of underinvestment.     

Dynamic portfolio choice with deferred annuities

We derive the optimal life-cycle portfolio choice and consumption pattern for households facing uncertain labor income, risky capital market, and mortality risk. In addition to stocks and bonds, the households have access to deferred annuities. Deferred payout life annuities are financial contracts providing life-long income to the annuitant after a specified period of time conditional on survival. We find that deferred annuities play an important role in household portfolios and generate significant welfare gains. Households with high benefits from state pensions, moderate risk aversion and moderate labor income risk purchase deferred annuities from age 40 and gradually increase their portfolio share. At retirement, deferred annuities account for 78% of total financial wealth. Households with low state pensions and high labor income risk purchase more annuities and earlier. Uncertainty with respect to future mortality rates has the same effect, i.e. household hedge against longevity risks using deferred annuities.     

Asset allocation and location over the life cycle with investment-linked survival-contingent payouts

This paper shows how survival-contingent investment-linked payouts can enhance investor wellbeing in the context of a portfolio choice model which integrates uninsurable labor income and asymmetric mortality expectations. In exchange for illiquidity, these products provide the consumer with access to mutual-fund style portfolio choice, as well as the survival credit generated from pooling mortality risk. Our model generates optimal asset location patterns indicating how much to hold in liquid versus illiquid survival-contingent payouts over the lifetime, and also asset allocation paths, showing how to invest in stocks versus bonds. We show that the investor who moves her money out of liquid saving into survival-contingent assets gradually from middle age to retirement and beyond, will enhance her welfare by as much as 50%. The results are robust to the introduction of uninsurable consumption shocks in housing expenses, income flows during the worklife and retirement, sudden changes in health status, and medical expenses.     

会计信息可比性与劳动收入份额北大核心

利用2006-2019年沪深A股数据,本文考察了会计信息可比性对企业劳动收入份额的影响。研究发现,会计信息可比性的增强显著提高了企业的劳动收入份额,表明会计信息质量的提高有助于员工更好地分享企业的发展成果。进一步研究结果表明,(1)降低资本成本及增大自主研发强度是会计信息可比性提高企业劳动收入份额的两大作用路径;(2)会计信息可比性的增强主要提高了普通雇员的劳动收入份额,对高管劳动收入份额的影响并不显著;(3)会计信息可比性对劳动收入份额的影响存在一定异质性,当企业自身融资约束程度较高、信息透明度较低,或可比公司的会计盈余质量较强时,会计信息可比性与劳动收入份额的正相关关系更强;(4)会计信息可比性通过提高劳动收入份额,提升了企业的价值创造能力。     

Asset pricing and energy consumption risk

This paper proposes energy consumption in the US as a new measure for the consumption capital asset pricing model. We find that (i) industrial energy growth produces reasonable values for the relative risk aversion coefficient and the implied risk-free rate; (ii) compared to alternative consumption measures, industrial energy performs well in explaining the cross-sectional variation in stock returns with the lowest implied risk aversion and pricing errors; (iii) the industrial energy consumption risk model performs equally well as the Fama–French three-factor model in the cross-sectional asset pricing tests; and (iv) total energy consumption risk is priced in the presence of the Fama–French factor risks.     

Earnings,dividend policy,and present value relations: Building blocks of dividend policy invariant cash flows

In a Modigliani-Miller world, dividend policy is irrelevant for asset pricing. This article searches for cash flows with two characteristics: like dividends, asset prices can be calculated from their present values and, unlike dividends, they are invariant with respect to changes in dividend policy. Segmented and aggregate residual income measures with these features are identified under two assumptions: dividend policy does not alter risk premiums and income earned from investments associated with dividend policy includes unrealized capital gains and losses. The results hold for otherwise arbitrary risk premiums in the general no-arbitrage approach to the valuation of uncertain income streams.