投资者情绪对资产定价的影响分析——基于Fama-french三因子模型的实证研究

本文采用2004年1月至2020年6月的综合A股市场月度数据,分析检验投资者情绪对资产定价的影响。本文首先运用主成分分析法,构建出投资者情绪指数,其次将所构建的情绪指数作为影响因子,纳入经典的Fama-French三因子模型之中,实证检验投资者情绪对股票收益产生的影响,证明加入投资者情绪因子的情绪资产定价模型的理论和实证可靠性,得出投资者情绪因子可以成为资产定价模型风险因子的研究结论,最后根据实证研究结论得出相关启示,以期促进金融市场的良性发展。     

Fama-French五因子模型在A股市场的适用性检验

本文以沪深A股1995年1月至2019年12月数据为样本,以股改为分界点,考察Fama-French五因子模型在中国股市不同时期的适用性,并引入流动性指标进一步探索更适用于中国的资产定价模型。实证结果表明,股改前后投资效应不显著;股改有效提升中国资本市场的定价效率,五因子模型解释力提高,但投资因子CMA仍为冗余因子;中国市场存在流动性溢价,全样本下使用换手率因子TO替换投资因子CMA的换手率五因子模型优于Fama-French五因子模型。本研究为进一步揭示中国资本市场定价、找到适合中国市场的定价因子提供可借鉴的思路与样本区间。     

CAPM在深圳A股市场的实证检验

本文利用深圳A股市场的权重股日收益率数据对资本资产定价模型进行了实证检验,结果表明CAPM理论不适用于深圳A股市场,并说明了相关原因。     

IPO定价模型建立

通过以沪深两市13只银行股作为样本,基于国内及国外对IPO定价的相关分析,从影响股票IPO定价的内在、外在因素中进行初步选取相关因素作为解释变量,采用因子分析法构建IPO定价模型。进行变量合理性分析后不难发现:二级市场平均市盈率是衡量股价高低和企业盈利能力的一个重要指标;企业净利润增长率越高,IPO发行价应当越高,两者之间是正相关的关系;从内部因素上看,影响银行类公司IPO定价的主要因素是成长能力和经营效益,市场因子以及安全因子对银行类公司IPO定价并不十分显著;股票IPO价格对利率的敏感性逐渐下降,利率对银行股发行定价影响较小等。     

我国A股首发定价中的问题与对策分析

A股首发定价是目前资本市场亟待解决的问题,发行者的动机、投资者的目的、承销商的偏好、政府的干预分别对A股首发的供给、需求、估值、定价产生影响.发行者的动机可以从供给和需求两个方面对于A股首发起着促进和阻碍作用;投资者的不同目的导致A股首发的供给和需求失衡;承销商基于自身利益的考虑对A股首发的估值偏好抑价;政府对A股首发定价的干预形成了“寻租”行为.针对这些问题,应该规范承销商的行为、完善证券发行中的保荐人制度、调节发行市场与流通市场价差、加大司法监营和惩罚力度,以提高A股首发定价的科学性.     

资产价格高阶跳跃下的衍生品定价

文章认为资产价格的连续性与资产价格变化的高阶连续性不能相提并论。在研究几何分数布朗运动、多因子模型等衍生品定价理论的基础上,论文指出在资产价格连续、无套利、方差有限的情况下,由于资产价格高阶变化可能不连续,衍生品不能进行无套利定价。并由此推广到多因子模型下,由于无法保证因子高阶变化的连续性,因此多因子模型的无套利定价也是难以实现的。     

基于可交易价值的股票定价模型实例研究

可交易价值是股票定价的影响因素,对股票的短期价格行为作用明显,名义股价因子、流动性因子和波动性因子均对我国沪深A股市场股票组合的周收益具有良好的解释能力,且表现形式在很大程度上取决于市场环境的不同以及由此而不断变化的投资者偏好。     

我国沪深A股IPO折价问题再研究

通过普通最小二乘法对我国沪深A股IPO折价现象的多元线性回归分析发现,沪深A股IPO的折价程度不断减弱,定价逐渐趋于理性。实证分析中只有网上超额认购倍数、发行日与上市日之间的间隔期和我国在不同的历史时期采取的不同定价发行方式对IPO折价程度具有统计上的显著性。股票发行定价方式的改变是影响我国A股IPO折价程度高的主要原因。     

上证A股指数的宏观因素分析

根据罗斯在1976年提出的套利定价理论的观点,认为影响风险资产的收益率的因素除应包括资产内部风险以外,还应包括其他多种因素。以上证A股指数的月变化率为考察对象,以同期物价指数和银行同业拆借利率变化为自变量,分析以其为代表的宏观因素对上证A股指数的变化的影响     

中国A股房地产业股票收益率的实证研究——基于Fama-French多因子模型

本文选取中国A股市场68只房地产企业股票,利用Fama-French三因子模型及五因子模型,对其2007年7月至2021年6月的月度收益率数据进行实证分析。研究表明,五因子模型对于我国A股房地产企业股票的解释效果更佳,加入CMA因子对三因子模型解释能力的提升效果相较RMW因子而言会更好。在A股房地产业股票中,规模效应、账面市值比效应和投资效应较为显著,其效应体现与我国股市以散户为主的投资者结构、房企高周转的运作模式有关。本文为探究多因子模型在我国重要行业的适用性研究提供借鉴意义。     

Pricing Discrete European Barrier Options Using Lattice Random Walks

This paper designs a numerical procedure to price discrete European barrier options in Black-Scholes model. The pricing problem is divided into a series of initial value problems, one for each monitoring time. Each initial value problem is solved by replacing the driving Brownian motion by a lattice random walk. Some results from the theory of Besov spaces show that the convergence rate of lattice methods for initial value problems depends on two factors, namely the smoothness of the initial value (or the value function) and the moments for the increments of the lattice random walk. This fact is used to obtain an efficient method to price discrete European barrier options. Numerical examples and comparisons with other methods are carried out to show that the proposed method yields fast and accurate results.     

物流外包的价格形成及应对策略

通过创建模型,对不完全信息和完全信息条件下物流外包的讨价还价进行分析,揭示了影响物流外包价格的一些重要因素,并论述了这些因素对物流外包谈判的一些启示。     

Empathic cultural consumers: Pay what you want in the theater

Pay what you want (PWYW) is an increasingly popular sales strategy in which consumers voluntarily decide how much to pay for a product or service. PWYW has often been described as an exercise in the “empathy economy,” where consumers' payment choices might be seen as empowered expressions of their tastes and preferences, and sellers have a stronger incentive for empathizing with them. Beyond their economic interest, PWYW experiences also deserve significant attention in the social sciences given that they challenge several key assumptions of rational choice and neoclassical economic theory, as well as conventional consumer behavior and pricing theories. This paper analyzes three plays performed at the Beckett Theater in Barcelona using PWYW with very profitable outcomes. Our analysis shows that socio-psychological factors, such as payments attributed to others and satisfaction with the play, are the best predictors of customer payments.     

法律判决经济价值效应的金融学分析

法律判决不仅体现了法律对当事人在事件中关系的判断与处置,也会由此产生对当事人乃至全社会的经济价值效应。对于前者,判决体现的是法律的判断;对于后者,传统理论普遍认为是一个零和游戏。然而,从金融学的资产定价理论出发,却发现法律判决的社会经济价值效应并非零和,而且这些价值不仅影响了社会经济活动的行为判断,还对某些资产定价的传统理论提出了挑战。     

Selling to strategic customers with cost uncertainty

Production cost can be influenced by previous sales in an uncertain way. In reality, production cost may decrease in the number of initial buyers due to the learning effect, or increase in the number of initial buyers due to the quality-improving pressure from negative comments of unhappy users. Taking this uncertainty into account, this paper studies the optimal intertemporal pricing strategies of a firm when selling to strategic customers in two periods where production cost in the second period randomly changes with the number of buyers in the first period. Our results suggest how firms should adjust their optimal pricing strategies under different market circumstances.     

A membership pricing policy to facilitate service scale-expansion

This paper proposes a multi-year membership pricing policy for a service business like a gym chain. In the pricing policy, the equivalent membership price per year is relatively low to attract customers, and the multi-year membership fees must be prepaid in full. The prepaid cash provides resources for scale-expansion by opening new stores. We develop a nonlinear mixed integer programming model to formulate the pricing decisions. Numerical experiments reveal that the multi-year membership pricing policy, from a long-term perspective, is substantially better than the business-as-usual pricing policy (1-year membership) in cash balance, profit, and market share. Yet, the performances of the two pricing policies do not differ much from a short-term perspective. These findings indicate that the multi-year pricing policy may be a good strategy, because it initially attracts less attention of competitors; suddenly it emerges and substantially outperforms its competitors in cash balance, profit, and market share.     

Pricing and Cost Recovery for Internet Services: Practical Review,Classification, and Application of Relevant Models

Suitable pricing models for Internet services represent one of the main prerequisites for a successfully running implementation of a charging and accounting system. This paper introduces general aspects influencing the choice of a pricing model in practical situations and presents a survey as well as a classification of relevant and advanced approaches to be found in the scientific literature. First performance results on charging extensions within the Internet are presented, which are completed by a set of market price simulations for dynamic pricing models within the same implementation environment. Based on cost model investigations some detailed insights into price and cost issues from an Internet Service Provider's (ISP) point of view are given. Moreover, current challenges as well as problems are discussed in a practical context as investigated in the Swiss National Science Foundation project Charging and Accounting Technology for the Internet (CATI).     

资本资产定价模型的扩展及其在保险中的应用

传统的资本资产定价模型是在一系列过于严格化、理想化的条件下建立起来的。针对现实资本市场情况,通过对资本资产定价模型的应用条件的部分修改,如增加保险公司存在违约风险、交易费用和税收的条件,并且讨论交易费用分别为固定值和保费的函数时的情形以及税收分为固定值和变量的情形,对保费定价问题进行模型扩展。理论推导结果显示,在存在违约风险情况下,保险公司所收保费应该更低;承保费用越少,所需保费就越少;存在税负条件下的公平保费与税收水平有关。     

Razor-and-Blades pricing revisited

From razors and blades to printers and ink cartridges to smartphones and monthly usage charges to media devices and content, razor-and-blades pricing is commonplace. The argument for such a business model is compelling: entice consumers to adopt with a low initial price for the ‘razor,’ build up an installed base, and more than make up for the initial subsidy by charging a high price for replacement ‘blades.’ The problem is, many consumer enticement, customer lock-in, and competitive lock-out mechanisms look less and less tenable given modern-day developments such as the Internet, Google searches, social media, the hacker revolution, the ‘maker movement,’ rapidly improving technology, leaky supply chains, and global markets. This article characterizes the what, why, and how of razor-and-blades pricing; then examines the present-day tenability of such a pricing practice; and concludes with an impetus and a call for innovation—innovation in, perhaps, the pricing of and the purchasing arrangement for the initial razor; the value proposition from the razor and the razor-and-blades system; the architecture of the razor-and-blades system; and the delivery, especially in terms of customer experience, of value from the razor-and-blades system.     

第三方物流服务的定价分析框架

第三方物流服务价格是第三方物流关系能否成功最重要影响因素之一。针对第三方物流服务定价实践和研究缺乏系统性这一特点,从产品角度介绍定价概念模型,将其扩展并形成第三方物流服务定价的概念模型,根据第三方物流服务交易过程及其特点,结合概念模型,提出第三方物流服务定价的分析框架,为第三方物流服务定价建模及决策提供了一种系统思维方式。