资产定价理论及其发展

资产定价理论的发展过程在一定程度上体现了金融经济学的进步。本文回顾了理想经济状态下的资产定价理论,如CAPM、APT;结合"股权溢价之谜",探讨标准资产定价模型的拓展及其对股权溢价的解释能力,并初步分析资产定价与宏观经济波动之间的内在联系。     

企业并购的财务风险评价研究

首先对企业并购中存在的对目标企业定价、并购融资、并购价值支付及在并购后对于目标企业的财务整合风险等财务风险进行了概述,在此基础上提出了企业并购决策中财务风险评价指标体系,然后构建了企业并购中财务风险评价的二级模糊综合评价模型。最后对运用一案例对财务风险评价模型进行了实证研究,验证了模型的可行性。     

股权众筹平台与新三板服务业行业风险对比分析——基于卡方检验的研究北大核心

众筹业整体规模呈猛增之势,股权众筹更是成为融资方和投资者偏好的投融资方式,然而股权众筹融资企业往往为初创型企业,企业规模小,成立时间短,同时现有风险模型较少涉及此类企业的信用风险分析,因此股权众筹融资企业存在逆向选择的可能性。文章运用Z评分模型分析了新三板和股权众筹平台餐饮行业、酒店行业、教育行业和零售行业的整体风险情况,并利用卡方检验分析两个平台上述行业风险是否存在较大偏差,最后对投资者在股权众筹平台的投资以及股权众筹平台对融资项目信用风险管理提出了相关建议。     

对于换股并购中换股比率确定方法的探讨

随着我国上市公司并购的不断发展和并购程度的加深,换股并购将逐步成为主要的并购方式。本文分析了换股并购所存在的溢价支付风险,指出了约束换股并购风险的关键是科学地确定换股比率。然后文章进一步探讨了目标企业的价值评估以及确定换股比率的各种模型,以期为降低目标企业的估价风险提供思路。     

可转换公司债券发行人与投资者的博弈分析

本文通过建立博弈模型对可转换公司债券发行人与投资者之间的博弈行为进行分析,并在博弈模型的基础上分析了所得税、股权溢价和企业收益不确定性对博弈均衡的影响。     

企业价值评估中股权流动性溢价研究

在企业价值评估实践中,要考虑流动性的影响。本文采用2006年4月至2007年5月,沪市65个进行法人股权转让的上市公司,共84个转让事件作为样本,分析影响流动性溢价的因素。通过研究,笔者发现流动性溢价主要受到公司经营规模、股票价格风险、每股净资产和每股收益的影响,因此评估人员在企业价值评估实践中应该结合这些因素来确定流动性溢价。     

企业价值评估中股权流动性溢价研究

在企业价值评估实践中。要考虑流动性的影响。本文采用2006年4月至2007年5月,沪市65个进行法人股权转让的上市公司,共84个转让事件作为样本,分析影响流动性溢价的因素。通过研究,笔者发现流动性溢价主要受到公司经营规模、股票价格风险、每股净资产和每股收益的影响,因此评估人员在企业价值评估实践中应该结合这些因素来确定流动性溢价。     

公司风险视角下上市国企管理层股权激励研究

在允许国有控股上市公司实施股权激励的背景下,考察了其不同种类风险与经营者股权激励强度的关系。先界定了风险的类型,再通过构建基于风险的两种股权激励模型,并进一步推导得出：若国有上市企业的管理层不能（可以）买卖公司以外的市场证券组合时,其最优股权激励强度与公司特别性风险成反向变化关系,而与公司整体性风险的相关关系不确定（无关）,这为正在实践中摸索的国有上市企业管理层股权激励合同的设计提供了进一步的理论建议。     

资本成本估算:理论与实践

文章回顾了自MM理论以来对计算资本成本有指导作用的资本成本理论,包括MM理论、CAPM模型、风险债的资本成本。以此为线索,将资本成本估算方法分为两大类:一类是以股票价格作为股权价值,采用现金流量折现的内含报酬率法;一类是采用各种风险估计,在无风险收益率或债务资本成本基础上加上风险溢价的风险补偿法,并指出内含报酬率法存在着内生外生不明的缺陷,风险补偿法存在着先验后验不分的缺陷。     

物流业上市公司股权结构与风险实证研究

选取了2010年12月31日沪深两市69家物流业上市公司为样本,股权结构选取股权集中度、控股股东性质、管理层持股比例以及股东活跃程度4个指标来衡量,企业风险用Z-Score模型进行计算。在总结已有文献的基础上提出假设,运用Eviews6.0软件对物流业上市公司股权结构与企业风险之间的关系进行多元回归分析。     

Determination of expected cost of equity with the CAPM: Theoretical extension using the law of error propagation

The determination of the expected return on equity based on the capital asset pricing model (CAPM) is an internationally recognized method, although the underlying theory is not without criticism and therefore leaves sufficient room for interpretation. Strictly speaking, the expected return on equity cannot be determined per se, as all parameters of the CAPM have to be estimated and contain measurement errors. The statistical measurement errors would have to be included in the calculation of the expected return on equity. The paper discusses the current view on how the expected return on equity is determined in the Germen‐speaking countries and presents an approach to transfer the measurement errors of the parameter risk‐free rate, market risk premium, and company beta to the calculated return on equity using the Gaussian law of error propagation.     

从价值创造的角度看我国合理的MBO定价

我国管理层收购中的焦点问题之一是定价的不合理,本文从并购中价值创造的角度出发,综合考虑管理层收购这种收购形式的特殊性,借鉴国外定价的成功经验,指出我国合理的管理层收购定价不应当以每股净资产作为唯一的定价标准,应以投资资本净现金流为衡量价值的标准,综合考虑控制权溢价和流动性折价,并且引入市场竞争机制,真正实现以市场为舞台的双赢。     

资产定价模型(CAPM)在住房抵押贷款证券化(MBS)定价中的应用

20世纪80年代以来,住房抵押贷款证券化(MBS)在我国有了长足的发展,为了对住房抵押贷款证券化产品进行合理定价,本文引入CAPM模型来确定正确反应证券风险的贴现率,并且分析了CAPM模型的产生以及发展过程,最后对其进行动态的修正.     

Risk sharing and counter-cyclical variation in market correlations

I present a consumption-based dynamic asset pricing model in which international market correlations vary counter-cyclically over time. The driving force in the model is the time-varying effective risk aversion induced by external habit formation. Market returns are driven by fundamental outputs and discount rates. When risk aversion is high, the effect of discount rates on market returns rises with the market price of risk. To the extent that countries share risk, the cross-country correlation of discount rates exceeds the cross-country correlation of fundamental outputs. In bad times, market correlations rise as returns are mostly driven by discount rates. Thus, consistent with the empirical evidence, periods of high risk aversion are associated with high market correlations and high market volatility. After calibration, my model is consistent with the observed variation in market correlations, as well as other features of asset prices including the equity premium and market volatility.     

Returns-to-scale and the equity premium puzzle

A model of heterogenous firms facing idiosyncratic risk is proposed which generates an equity premium of 6 per cent and a risk-free rate of 1.5 per cent even if aggregate returns are risk-free. The premium in this model reflects diminishing returns-to-scale and the fact that equity shares are equal claims to firm output. In the bond market, the risk-free rate reflects trade in assets at marginal rates of return with a linear technology and thus the equity premium in excess returns reflects a comparison of average returns with marginal returns. In the model, credit constraints lower the equity premium and, absent such constraints, the equity premium would roughly double. Since the model may be interpreted as a model of entrepreneurship, this paper also presents estimates from a structural model of entrepreneurship using data from the Survey of Consumer Finances and also finds only a modest level of risk aversion is sufficient to replicate entrepreneurial returns.     

The equity premium in an overlapping-generations economy

In a recent paper, Constantinides, Donaldson and Mehra (CDM) present a convincing economic story that could simultaneously explain a high equity premium and a low risk-free rate. The argument is based on the effect of a borrowing restriction in an overlapping-generations model (OLG) with three generations. This paper investigates the effect of borrowing restrictions on the size of the equity premium in a model similar to CDM, but with a complete structure of contingent claims. The main conclusion of the analysis is that the results obtained by CDM follow from the particular market structure adopted in the model rather than the effects of the life cycle. Once the markets are completed, the equity premium and the risk-free rate in the OLG economy are identical to those obtained in a representative-agent (RA) economy.     

Deriving equity risk premium using dividend futures

In this paper I present a simple stock price decomposition model using the dividend discount model and dividend futures. The main contribution of this paper is the use of dividend futures which represent the risk-adjusted expectations of future dividends. This allows for the calculation of the implied equity risk premium and the decomposition of stock price movements into individual components. Due to the use of daily market data, this method can take into account the structural changes associated with falling interest rates and the Covid-19 pandemic. I empirically show the risk premium development of the S&P 500 Index and Euro Stoxx 50 Index in the last decade.     

基于KMV-Merton模型的上市公司信用风险度量研究

本文结合KMV-Merton模型,对上市公司信用风险度量方法进行比较研究。首先,求得权益收益的条件标准差;其次,通过改进的迭代过程估计KMV-Merton模型中不可观测的资产市值和波动率,进而根据预期违约概率评估上市公司的信用状况,并对两类模型分别得到的违约距离进行了比较分析。     

Asset Pricing with Observable Stochastic Discount Factors

The stochastic discount factor model provides a general framework for pricing assets. By specifying the discount factor suitably it encompasses most of the theories currently in use, including CAPM and consumption CAPM. The SDF model has been based on the use of single and multiple factors, and on latent and observed factors. In most situations, and especially for the term structure, single factor models are inappropriate, whilst latent variables require the somewhat arbitrary specification of generating processes and are difficult to interpret. In this paper we survey the principal different implementations of the SDF model for bonds, equity and FOREX and propose a new approach. This is based on the use of multiple factors that are observable and modelling the joint distribution of excess returns and the factors using a multi–variate GARCH–in–mean process. We argue that in general single equation and VAR models, although widely used in empirical finance, are inappropriate as they do not satisfy the no–arbitrage condition. Since risk premia arise from conditional covariation between the returns and the factors, both a multi–variate context and having conditional covariances in the conditional mean process, is essential. We explain how apparent exceptions, such as the CIR and Vasicek models, in fact meet this requirement — but at a price. We explain our new approach, discuss how it might be implemented and present some empirical evidence, mainly from our own researches. Partly, to enable comparisons to be made, the survey also includes evidence from recent empirical work using more traditional approaches.     

Cost of equity for Canadian and U.S. sectors

A two-stage CAPM approach is used to generate cost-of-equity estimates and sources of their uncertainty for 10 GICS sectors in Canada and the U.S. under the assumption of relatively integrated North American economies and equity markets. The estimated cost of equity for the Canadian sectors is, on average, about the same as that of the U.S. sectors, but with a higher estimation error. The estimation error of the market risk premium is the most important uncertainty component for the equity cost estimates, except for Canadian Utilities where beta uncertainty is the most important component. Beta and interaction effects play a relatively more important role in Canada due to relatively more volatile sector betas in Canada. Our study suggests that: (1) Canadian cost of equity should be estimated in an integrated market rather than a segmented market and (2) higher importance should be given to estimating the dynamics of betas for the Canadian sectors.