宏观经济状态对资产定价因子的影响

为刻画资产定价因子随宏观经济状态时变性,本文通过经济增长和通货膨胀两个指标定义经济状态,建立宏观经济状态下的条件资产定价模型。研究发现在中国资本市场上此模型能够显著改进CAPM模型的效力,其定价效力甚至优于多因子模型。进一步研究表明,宏观经济通过两个维度影响资产价格：第一,多数资产在衰退时期对市场风险更敏感,其代表市场因子的贝塔系数大于复苏与过热阶段;第二,小市值公司的贝塔系数均值及波动性大于大公司,在经济衰退时承担更高的风险收益。     

Time-varying beta: a boundedly rational equilibrium approach

The conditional CAPM with time-varying betas has been widely used to explain the cross-section of asset returns. However, most of the literature on time-varying beta is motivated by econometric estimation using various latent risk factors rather than explicit modelling of the stochastic behaviour of betas through agents’ behaviour, such as momentum trading. Misspecification of beta risk and the lack of any theoretical guidance on how to specify risk factors based on the representative agent economy appear empirically challenging. In this paper, we set up a dynamic equilibrium model of a financial market with boundedly rational and heterogeneous agents within the mean-variance framework of repeated one-period optimisation and develop an explicit dynamic behaviour CAPM relation between the expected equilibrium returns and time-varying betas. By incorporating the two most commonly used types of investors, fundamentalists and chartists, into the model, we show that there is a systematic change in the market portfolio, risk-return relationships, and time varying betas when investors change their behaviour, such as the chartists acting as momentum traders. In particular, we demonstrate the stochastic nature of time-varying betas. We also show that the commonly used rolling window estimates of time-varying betas may not be consistent with the ex-ante betas implied by the equilibrium model. The results provide a number of insights into an understanding of time-varying beta.     

Capital asset pricing model in Portugal: Evidence from fractal regressions

We examine risk profiles of the Portuguese stock market index component stocks using a novel approach to the classical capital asset pricing model (CAPM). Specifically, we estimate the CAPM via fractal regressions that allow studying the marginal effects at selected scales. In this way, we can reveal whether the risk is perceived differently by market participants with different investment horizons. Apart from the analysis itself, we provide new statistical insights into the issue of separating and comparing the scale-specific effects with statistical validity. We find several stocks deviating from an expected risk perception homogeneity across investment horizons. This is true for both analysed periods, i.e. before and after the global financial crisis. There are also several stocks that changed their relationship to the market portfolio in between, which has strong implications for possible portfolio construction. The proposed methodology is not limited to financial topics but can be used in any discipline where the scale-specific marginal effects might be of interest.     

Asset pricing with time-varying betas for stocks traded on S&P 500

This study uses a novel approach for capturing time variation in betas whose pattern is treated as a function of market returns. A two-factor model (TFM) is constructed using estimated coefficients of a nonlinear regression. The model is tested against the CAPM and the Fama and French three-factor model in the context of time series regressions. The used stocks are traded on S&P 500. The period spans from 1993 to 2011. The time series regression results depict the superiority of the TFM in explaining portfolio returns including momentum ones. We also provide evidence that the particular portfolios employed at the construction of the new model accommodate different fundamental characteristics and different risk levels.     

Time varying CAPM betas and banking sector risk

This paper employs the [Bai and Perron, 1998] and [Bai and Perron, 2003] structural break methodology to investigate whether the CAPM betas for banking sector stocks are time invariant. I find evidence for three large structural shifts in my monthly (1941.02-2008.01) sample. The third break corresponds with a decline in the perceived riskiness of banking stocks in the period starting in 2000.04. The banking sector was thus priced to be less risky during the period associated with rising leverage and financial sector risk.     

金融投资中介化、噪声交易与金融危机模型的微观建构

随着金融市场的发展,投资者更多地通过金融中介间接参与金融市场投资。然而,金融中介的风险转移倾向容易导致风险资产的均衡价格偏离其基础价值,形成价格泡沫。长期存在的噪声交易者与金融投资中介化引发的资产泡沫相互推动,最终形成金融危机。即使在经济稳定的环境下,同样会由于金融市场本身发展的内在矛盾而导致危机的发生。     

Asset Pricing and Cost of Equity in the Tunisian Banking Sector: Panel Data Evidence

In spite of popularity and theoretical simplicity of the one-factor Capital Asset Pricing Model (CAPM) used in the valuation of financial assets, researchers are more concerned with the important extension proposed by Fama and French (1993) , that is, the Three-Factor Pricing Model (TFPM). Alongside beta, average stock returns could be explained by some size and book-to-market supplementary effects. With these two complementary models, estimation of the cost of equity is carried out for the Tunisian banking sector. In order to account for inter-individual heterogeneity, estimation of parameters is conducted according to random coefficient specifications within the context of panel data analysis.     

The capital asset pricing model in economic perspective

The capital asset pricing model (CAPM) is theoretically incomplete in its demand-side focus, risk-averse investors and internally inconsistent homogeneous beliefs; is not conclusively supported empirically; and yet it legitimizes a notion that investors can earn higher returns by bearing undiversifiable risk. Our article does not merely extend the CAPM with more realistic assumptions, it completes its original framework by including (1) risk-taking investors in the investor population, (2) investors who can have heterogeneous expectations or beliefs – an overlooked but required condition for the CAPM to be an internally consistent and meaningful model of competitive financial asset pricing under uncertainty and (3) a positive-sloped short-run supply curve based on a reasonable interpretation of the nature of financial asset trade. Upon a complete economic interpretation, it is shown that the equilibrium (systematic) risk-rate of return relationship depends on whose aggregate trading activity dominates, risk-averse or risk-taking investors’. There is no universal, or even general, positive relationship between systematic risk and rate of return. This has far-reaching implications for investors and investment advisors who serve them.     

Liquidity-adjusted conditional capital asset pricing model

This paper derives a liquidity-adjusted conditional two-moment capital asset pricing model (CAPM) and a liquidity-adjusted conditional three-moment CAPM respectively based on theory of stochastic discount factor. The liquidity-adjusted conditional two-moment CAPM shows that a security's conditional expected excess return consists of three parts: its conditional expected liquidity cost, the systemic risk premium and the liquidity risk premium. The liquidity-adjusted conditional three-moment CAPM shows that a security's conditional expected excess return depends on its conditional expected liquidity cost, the conditional covariance between its return and the market return, the conditional covariance between its liquidity cost and the market liquidity cost, and the conditional coskewness of its return and the market return.     

Conditions for a CAPM equilibrium with positive prices

This paper examines the conditions required to guarantee positive prices in the CAPM. Positive prices imply an upper bound on the equity premium. This upper bound depends on the degree of diversity of firms’ fundamentals, and it is independent of investors’ preferences. In economies with realistically diverse assets the only positive-price CAPM equilibrium theoretically possible is a degenerate one, with zero equity premium. Furthermore, when specific standard investors’ preferences are assumed, the CAPM equilibrium with positive prices may be altogether impossible. A possible solution to these fundamental problems may be offered by the segmented-market version of the model.     

资本资产定价理论与市场经济

资本资产定价模型(CAPM)是威廉·夏普于1964年在马克威茨的资产组合理论和托宾分离定理的基础上通过增加一些条件而建立起来的资本市场均衡定价模型。在CAPM的假设前提下,资本市场被带入一种所有的投资者持有相同风险资产市场组合的均衡状态,在这种状态下经济中所有的风险资产特别是企业资产都具有完全相同的所有权结构。从而将经济带入一种所有企业之间不存在利益冲突的"准公有制"状态,市场经济制度也将不复存在。如果我们认为这一结论是荒谬的,那问题一定出在CAPM的假设条件以及由此假设条件所推出的市场均衡,自然,建立在这种均衡状态下的资本资产定价模型的现实性也是成问题的。     

时变贝塔资本资产定价模型实证研究

自从1964年CAPM模型提出以来,学术界对它的研究就一直没有停止过。在理论层面,通过放松和改变假设得到了新的模型;在实证层面,则是应用新的实证方法验证理论模型的正确性。最新提出的多元GARCH模型具有预测多元资产条件协方差矩阵的功能,因此将这一特性应用于CAPM模型的研究中就成为了一个独特的视角。通过实证研究发现,这种时变贝塔能够更精确地刻画单个资产相对于市场组合的风险大小。     

Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds

We examine the long term investment problem, under stochastic interest and inflation rates and within financial market incompleteness. Four basic financial assets are available on the financial market: a money market account (the cash), a real consumption good, a financial stock index and a bond with constant maturity. In this incomplete framework, we provide the general solution of the expected utility maximization. We compute the monetary loss from not having access to an inflation-indexed bond, in order to be hedged against the inflation risk. We show that this latter one usually reaches high levels (more than 1% per year). Thus, the magnitude of such costs reaches those of management fees or transaction costs. They highlight the significant value of introducing inflation-indexed bonds in the financial markets.     

Production and financial policies under asymmetric information

We propose an extension of the standard general equilibrium model with production and incomplete markets to situations in which (i) private investors have limited information on the returns of specific assets, (ii) managers of firms have limited information on the preferences of individual shareholders. The extension is obtained by the assumption that firms are not traded directly but grouped into ‘sectorial’ funds. In our model the financial policy of the firm is not irrelevant. We establish the existence of equilibria and discuss the nature of the inefficiencies introduced by the presence of asymmetric information. We also illustrate the properties of the model in three simple examples. We would like to thank Alberto Bisin, Armando Dominioni, Piero Gottardi, Tito Pietra, Paolo Siconolfi, and an anonymous referee for useful suggestions and comments.     

Pareto improving financial innovation in incomplete markets

Summary. In this paper we develop a differential technique for investigating the welfare effects of financial innovation in incomplete markets. Utilizing this technique, and after parametrizing the standard competitive, pure-exchange economy by both endowments and utility functions, we establish the following (weakly) generic property: Let S be the number of states, I be the number of assets and H be the number of households, and consider a particular financial equilibrium. Then, provided that the degree of market incompleteness is sufficiently larger than the extent of household heterogeneity, S−I≥2H−1 [resp. S−I≥H+1], there is an open set of single assets [resp. pairs of assets] whose introduction can make every household better off (and, symmetrically, an open set of single assets [resp. pairs of assets] whose introduction can make them all worse off ). We also devise a very simple nonparametric procedure for reducing extensive household heterogeneity to manageable size, a procedure which not only makes our restrictions on market incompleteness more palatable, but could also prove to be quite useful in other applications involving smooth analysis. Received: August 14, 1995; revised version: April 14, 1997     

Market structure and the cost of capital

We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields significant errors in the estimation of the cost of capital for a sample of firms from developed and emerging countries.     

On trees and logs

In this paper we contrast the main workhorse model in asset pricing theory, the Lucas (1978) tree model (LT-Model), to a benchmark model in financial equilibrium theory, the real assets model (RA-Model). It is commonly believed that the two models entail similar conclusions since the LT-Model is a special case of the RA-Model. But this is simply wrong: implications of these models can be strikingly at odds. Indeed, under the widely used log-linear specification of households’ preferences, we show that for a large set of initial endowments the LT-Model—even with potentially complete financial markets—admits only peculiar financial equilibria in which the stock market is completely degenerate, in that all stocks offer the same investment opportunity—and yet, allocation is Pareto optimal. We investigate why the LT-Model is so much at variance with the RA-Model, and uncover new results on uniqueness of financial equilibria and introduction of portfolio constraints obtaining in the LT-Model, but not in the RA-Model.     

DEGREASING THE WHEELS OF FINANCE

Can there be too much trading in financial markets? We construct a dynamic general equilibrium model, where agents face idiosyncratic liquidity shocks. A financial market allows agents to adjust their portfolio of liquid and illiquid assets in response to these shocks. The optimal policy is to restrict access to this market because portfolio choices exhibit a pecuniary externality: Agents do not take into account that by holding more of the liquid asset, they not only acquire additional insurance against these liquidity shocks, but also marginally increase the value of the liquid asset, which improves insurance for other market participants.     

Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks

We investigate the relationship between Bitcoin and conventional financial assets from a perspective on the connectedness of asset networks. We adopt the method of measuring connectedness proposed by Diebold and Yilmaz (2009, 2012, and 2014) in a VAR system to study the dynamic interdependence between returns in Bitcoin, stocks, oil, and gold. We find that the connectedness between bitcoin and conventional assets is weak. The separation of positive and negative returns in the Bitcoin market shows the existence of an asymmetric pattern of the spillover effects between Bitcoin and conventional assets. A rolling window analysis finds that although Bitcoin prices experience a rising link to other financial assets, the magnitude is proven to be moderate. However, connectedness via negative returns is much stronger than via positive ones and exhibits a clearly increasing trend in recent periods. Our results in application are generally robust to other popular cryptocurrencies, such as ETH and Ripple. The findings presented in this paper have important implications for financial market participants, policymakers, and researchers in light of projected increases in the adoption of Bitcoin, as well as the rapid development of cryptocurrency.     

EQUILIBRIUM INDETERMINACY IN A MODEL OF CONSTRAINED FINANCIAL MARKETS

I present a general equilibrium model with incomplete markets in which assets pay in units of a numéraire good. In this economy, agents are constrained to negotiate the same amount of assets in different states of the world. Different from the standard result of economies with real assets, equilibrium indeterminacy can arise, depending on the structure of the financial markets. Equilibrium fails to be unique when it is not possible to transfer wealth between states in which consumers trade a pair of assets that face the same restriction.