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.     

Option Pricing Bounds and the Elasticity of the Pricing Kernel

In this paper we use power functions as pricing kernels to derive option-pricing bounds. We derive option pricing bounds given the bounds of the elasticity of the true pricing kernel. The bounds of the elasticity of the true pricing kernel are closely related to the bounds of the representative investor's coefficient of relative risk aversion. This methodology produces a tighter upper call option bound than traditional approaches. As a special case we show how to use the Black–Scholes formula to obtain option pricing bounds under the assumption of lognormality.     

Alternate approach to unify CAPM and APT

We utilize the joint elliptical distribution to model a multi-factor return generating process and derive an equilibrium multi-beta capital asset pricing model (CAPM) in which the market portfolio and a set of nonelliptical factors are sufficient to price all financial assets. Most important, it is shown that the market portfolio, while generally nonelliptical, can proxy all elliptical factors and hence: including elliptical factors in addition to the market portfolio in the pricing equation contribute nothing to asset pricing. While the representative investor prices the exposure of aggregate wealth to various nonelliptical systematic risk factors, individual securities are priced in accordance to their contributions to different aspects of the risk of aggregate wealth. The present model collapses to the Sharpe-Lintner CAPM when either the market investor is neutral to nonelliptical risk factors or when all risk factors follow a joint spherical distribution. When residuals cancel out of the market portfolio, the present model collapses to Conner (1984) pricing model.     

A general class of distortion operators for pricing contingent claims with applications to CAT bonds

ABSTRACT

The current paper provides a general approach to construct distortion operators that can price financial and insurance risks. Our approach generalizes the (Wang 2000) transform and recovers multiple distortions proposed in the literature as particular cases. This approach enables designing distortions that are consistent with various pricing principles used in finance and insurance such as no-arbitrage models, equilibrium models and actuarial premium calculation principles. Such distortions allow for the incorporation of risk-aversion, distribution features (e.g. skewness and kurtosis) and other considerations that are relevant to price contingent claims. The pricing performance of multiple distortions obtained through our approach is assessed on CAT bonds data. The current paper is the first to provide evidence that jump-diffusion models are appropriate for CAT bonds pricing, and that natural disaster aversion impacts empirical prices. A simpler distortion based on a distribution mixture is finally proposed for CAT bonds pricing to facilitate the implementation.     

A Fair Pricing Approach to Weather Derivatives

This paper proposes a consistent approach to the pricing of weather derivatives. Since weather derivatives are traded in an incomplete market setting, standard hedging based pricing methods cannot be applied. The growth optimal portfolio, which is interpreted as a world stock index, is used as a benchmark or numeraire such that all benchmarked derivative price processes are martingales. No measure transformation is needed for the proposed fair pricing. For weather derivative payoffs that are independent of the value of the growth optimal portfolio, it is shown that the classical actuarial pricing methodology is a particular case of the fair pricing concept. A discrete time model is constructed to approximate historical weather characteristics. The fair prices of some particular weather derivatives are derived using historical and Gaussian residuals. The question of weather risk as diversifiable risk is also discussed. 1991 Mathematics Subject Classification: primary 90A12; secondary 60G30; 62P20 JEL Classification: C16, G10, G13     

我国推行跨国公司预约定价问题研究

作为一种新兴的转移定价事前调整方法,预约定价的优势得到征纳税双方的普遍认可,不但较好地解决了转移定价的滥用问题,避免事后调整带来的处罚,还能维护纳税人国内法定权限的确定性,降低由于征纳纷争给企业带来的干扰。本文针对我国目前在预约定价立法与实践存在的问题,分析了在我国的推行预约定价制度的必要性,提出我国加快推行预约定价制度的相应对策。     

Mixing and matching: Prospective financial sector mergers and market valuation

Which types of mergers are likely to be most productive for banks and other financial firms in the US? From a management perspective, mixing disparate firms may be difficult, but may offer significant gains from diversification. The opposite applies to matching similar firms. This paper considers life insurance, property and casualty insurance, securities, and commercial firms as potential matches for banks. It examines a measure of diversification gains from potential consolidation, based on option pricing, and a model of the “building blocks” of the industries, based on arbitrage pricing theory. The results identify potential diversification gains from virtually all combinations involving banking and insurance, which arise because common factors are combined in different ways and because insurance is already well diversified.     

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.     

我国转让定价税务管理中存在的问题及改进建议

外资企业在我国投资、经营过程中,存在运用转让定价等手段转移利润、逃避税收负担的问题。为了消除转让定价避税带来的危害,我国出台了一系列转让定价税务管理法律法规,不断建立健全转让定价税务管理制度,取得了一定的成效。但我国转让定价税务管理还存在诸如管理制度不完善等问题。本文认为,针对我国转让定价税务管理的现状,我们要在建立科学、完备的转让定价税收法律法规体系,扩大转让定价审计的数量和范围等方面下功夫,不断改进我国转让定价税务管理。     

国外转让定价罚则的现状及在我国的进展

本文介绍了各国转让定价罚则的现状、转让定价罚则在我国的发展概况,并结合《中华人民共和国企业所得税法》中转让定价罚则的相关内容,论述了转让定价罚则在我国的三个现实意义:填补立法空白、提高税法遵从、推动税务管理实践的发展。     

An outcome-based assessment of international transfer pricing policy

Instead of concentrating on the selection of the optimal transfer pricing method, this paper focuses on the consequences of international transfer pricing for multinational entities. A sample of U.S.-based multinational firms is employed to determine if transfer pricing results in measurable financial outcomes. Results of the study indicate that firms employ international transfer pricing to meet a variety of objectives. The dollar value of international transfers and the foreign sales percentage are both significant explanatory variables for the financial outcomes of these objectives.     

中国与东盟成员国转让定价税务管理的比较

中国和东盟成员国同属发展中国家,都实行对外开放和吸引外资的经济政策,而且也都面临着外商投资企业滥用转让定价的问题。本文通过比较中国和东盟成员国转让定价税务管理的立法情况、审查和调整方法、预约定价管理、文档管理、处罚规定和审查力度等方面的异同,发现中国现阶段转让定价税务管理中的不足之处,并提出切实可行的改进建议。     

利率市场化背景下县域农村金融机构的贷款定价策略——以农村商业银行为例

为适应利率市场化,农村金融机构需要设计出更加科学的利率定价机制。本文通过现有农村金融机构贷款定价机制与利率市场化内在要求的比较和与国有银行贷款定价策略的对比。分析农村金融机构现有贷款定价体系建设的滞后因素以及在利率市场化背景下影响农村金融机构贷款定价的诸多因子和程度。探索符合县域农村金融机构贷款利率定价机制,逐步提高利率定价在配置资金方面的效率。     

Transfer pricing as a tax compliance risk

This paper studies the role of transfer pricing as a critical compliance issue. Specifically, we analyse whether and to what extent the perceived risk associated with transfer pricing responds to country-, industry- and firm-specific characteristics. Empirically, transfer pricing risk awareness is measured as a professional assessment reported by the person with ultimate responsibility for transfer pricing in their company. Based on a unique global survey conducted by a Big 4 accounting firm in 2007 and 2008, we estimate the number of firms reporting transfer pricing being the largest risk issue with regard to subsequent tax payments. We find that transfer pricing risk awareness depends on variables accounting for general tax and transfer pricing specific strategies, the types and characteristics of intercompany transactions the multinational firms are involved in, their individual transfer pricing compliance efforts and resources dedicated to transfer pricing matters.     

Shibor对湖北金融机构产品定价的渗透及影响

该文从Shibor的培植和辐射力对湖北金融机构产品定价的渗透效应入手,探讨了Shibor与金融机构货币市场产品、票据业务、内部转移定价间的比价关系和逻辑关系,展示7Shibor的生命力,分析了影响Shibor作为金融产品定价基准的制约因素,并提出了进一步培植Shibor基准地位、稳步推进利率市场化的构想。     

Option Prices Under Generalized Pricing Kernels

In this paper analytical solutions for European option prices are derived for a class of rather general asset specific pricing kernels (ASPKs) and distributions of the underlying asset. Special cases include underlying assets that are lognormally or log-gamma distributed at expiration date T. These special cases are generalizations of the Black and Scholes (1973) option pricing formula and the Heston (1993) option pricing formula for non-constant elasticity of the ASPK. Analytical solutions for a normally distributed and a uniformly distributed underlying are also derived for the class of general ASPKs. The shape of the implied volatility is analyzed to provide further understanding of the relationship between the shape of the ASPK, the underlying subjective distribution and option prices. The properties of this class of ASPKs are also compared to approaches used in previous empirical studies. JEL Classification: G12, G13, C65 Erik Lüders is an assistant professor at Laval University and a visiting scholar at the Stern School of Business, New York University.     

Risk measure pricing and hedging in incomplete markets

This article attempts to extend the complete market option pricing theory to incomplete markets. Instead of eliminating the risk by a perfect hedging portfolio, partial hedging will be adopted and some residual risk at expiration will be tolerated. The risk measure (or risk indifference) prices charged for buying or selling an option are associated to the capital required for dynamic hedging so that the risk exposure will not increase. The associated optimal hedging portfolio is decided by minimizing a convex measure of risk. I will give the definition of risk-efficient options and confirm that options evaluated by risk measure pricing rules are indeed risk-efficient. Relationships to utility indifference pricing and pricing by valuation and stress measures will be discussed. Examples using the shortfall risk measure and average VaR will be shown. The work of Mingxin Xu is supported by the National Science Foundation under grant SES-0518869. I would like to thank Steven Shreve for insightful comments, especially his suggestions to extend the pricing idea from using shortfall risk measure to coherent ones, and to study its relationship to utility based derivative pricing. The comments from the associate editor and the anonymous referee have reshaped the paper into its current version. The paper has benefited from discussions with Freddy Delbaen, Jan Večeř, David Heath, Dmitry Kramkov, Peter Carr, and Joel Avrin.     

Option pricing with random volatilities in complete markets

This article presents the theory of option pricing with random volatilities in complete markets. As such, it makes two contributions. First, the newly developed martingale measure technique is used to synthesize results dating from Merton (1973) through Eisenberg, (1985, 1987). This synthesis illustrates how Merton's formula, the CEV formula, and the Black-Scholes formula are special cases of the random volatility model derived herein. The impossibility of obtaining a self-financing trading strategy to duplicate an option in incomplete markets is demonstrated. This omission is important because option pricing models are often used for risk management, which requires the construction of synthetic options.Second, we derive a new formula, which is easy to interpret and easy to program, for pricing options given a random volatility. This formula (for a European call option) is seen to be a weighted average of Black-Scholes values, and is consistent with recent empirical studies finding evidence of mean-reversion in volatilities.Helpful comments from an anonymous referee are greatly appreciated.     

The impact of exchange rates on stock market returns: new evidence from seven free-floating currencies

This paper provides evidence of a significant exchange rate effect on stock index returns using data from seven selected countries practicing free-floating exchange rate regimes. This research uses parity and asset pricing theories, thus placing it within the monetary-cum-economics framework for international asset pricing. In this study, we apply a system of seemingly unrelated regression to control for unobserved heterogeneity and cross-sectional dependence. The findings constitute evidence of a statistically significant exchange rate impact on stock index returns across selected countries. These findings can be considered as falling under the arbitrage pricing approach of the international capital asset pricing model of Solnik who also used the parity-theoretical framework on exchange rate determination.