行为资产定价理论述评

标准金融的资产定价理论无法解释金融异象的原因在于其远离现实的基本假设,而行为金融的资产定价理论从人的心理特点出发建立了更加符合现实的基本假设,对金融市场异象作出了合理的解释。但由于人的心理的复杂性,一个成熟统一的行为资产定价理论还远未形成。     

行为资产定价理论综述

如何刻画投资者行为是资产定价理论 50年来发展的主要脉络。在消费资本资产定价模型基础上 ,通过修正投资者的效用函数而发展起来的行为资产定价理论 ,对投资者行为的认识达到了新的高度。本文构造了行为资产定价的一般均衡研究框架 ,指出了此框架与行为金融理论的区别 ,并在此框架下 ,综述了当前流行的行为资产定价模型。文章最后分析了行为资产定价理论的下一步发展方向。     

有限理性条件下的资产定价理论综述

传统的资产定价理论基于新古典经济学的研究框架,假定投资者是完全理性的,在这个基础上研究资产收益率的决定。然而,完全理性的投资者在现实中并不存在,并且基于完全理性的分析不能完全解释市场上的种种异象。与传统的研究方法不同,有限理性的资产定价理论认为:投资者是有限理性的,应按照一些基于经验的认知捷径来形成对未来的认识,并以此为基础进行投资。通过引入这种更符合现实的投资者,有限理性的资产定价理论研究资产收益率的决定,试图更好地解释各种市场现象。     

资产定价理论的逻辑问题研究

资产定价理论是现代金融经济学的核心内容,但由于资产定价理论存在的局限性,所以它们在不断接受着各种实践检验的挑战,这些问题的根源在于没有认识到经典资产定价理论存在着认识论和方法论上的悖论,这些悖论突显了资产定价基本思想在未来资产定价理论发展上的重要意义.     

资产定价理论:逻辑悖论与展望

资产定价理论是现代金融经济学的核心内容,但由于资产定价理论存在的局限性,所以它们在不断接受着各种实践检验的挑战.这些问题的根源在于没有认识到经典资产定价理论存在着认识论和方法论上的悖论,这些悖论突显了资产定价基本思想在未来资产定价理论发展上的重要意义.     

异质信念资产定价研究

从随机游走、行为金融到混沌,从现代资产定价理论、行为资产定价理论到异质信念资产定价理论,3种学说和3种定价理论同时存在干当今资本市场的研究中,它们分别从不同方面、不同视角解释了资产价格的波动。本文的研究理清了3种重要定价理论之间的关系：理性与有限理性,线性与非线性,价格波动的外在机制与内在机制,为人们进一步研究资产定价理论提供了清晰的脉络。     

CAPM及APT在我国的应用

一、引言 资产定价理论（asset pricing theory）是近几十年来西方金融理论中发展最快的一个领域,也是金融经济学最重要的主题之一,它试图解释不确定条件下未来支付的资产的价格或价值。以资产组合理论为基础的夏普（1964）资本资产定价理论（CAPM）,是建立在严格的假设条件基础上的市场均衡定价理论,其假设条件使经验验证变得很困难,而且距离现实也比较远。这迫使经济学家对假设条件加以修改,其中一个解决办法是抛弃CAPM,在新的假设基础上构建新的资产定价理论,如套利定价理论（APT）。经过几十年金融资产定价理论的发展和完善,其在金融实践中的作用也越来越大。下面以CAPM与APT为例,结合我国市场的有效性与投资者所外行为特征,分析标准金融资产定价理论在我国的应用。     

市场分割下中国股市反馈交易实证研究——来自A股、B股和H股市场的经验证据

文章在行为资本资产定价模型(BCAPM)的基础上,通过借鉴Watanabe(2002)的方法,建立了GJR-GARCHM(1,1)-M模型,充分考虑中国股票市场处于分割状态的现状,使用基本覆盖A股、B股和H股市场全部交易历史的市场指数日收盘价数据,对A股、B股和H股市场的反馈交易行为进行研究和比较,结果显示:A股和B股市场都存在显著的正反馈交易效应,反馈交易行为主要取决于波动率水平和市场涨跌两个因素;与成熟股票市场类似,H股和红筹股市场的正反馈交易行为不显著;A股市场的反馈交易行为受市场涨跌因素影响更大,而B股市场的反馈交易行为主要由波动率水平决定;深市比沪市更容易出现正反馈交易者主导市场的现象。文章的研究不仅对行为资本资产定价理论的成立提供了经验性证据,而且对投资经理的实践操作和政策制定者的监管调控都具有一定的参考价值。     

行为财务理论基础研究述评

行为财务关于公司决策中存在的行为偏差的理论比较分散,仍旧没有形成一个完整的理论体系,基本上以Kahneman和Tversky提出的期望理论为核心,主要包括期望理论、行为资本资产定价理论、行为资产组合理论、羊群效应模型、过度自信、心理账户等。     

行为金融学与非理性决策

现代金融理论是建立在资本资产定价模型（CAPM）和有效市场假说（EMH）两大基石上的。由于理性经济人假设与实际的偏差,经典现代金融学遇到了一些被称为未解之谜的现实问题,行为金融学是从人们的实际决策行为出发来研究和解释金融市场的相关问题。     

中国居民消费、习惯偏好与资产收益研究

习惯模型是行为资产定价理论的重要组成部分,该模型将经济主体的习惯因素纳入到资产定价之中,由此推进了消费资本资产定价理论的发展。习惯模型已经在欧美等国家和地区得到了广泛研究,而在资本市场蓬勃发展的中国则处于被人遗忘的尴尬境地。本文利用外在习惯偏好模型对我国居民消费、习惯偏好与资产收益进行分析。GMM结果是混合性的,模型可以较好地拟合数据,GMM结果无法否定外在习惯偏好模型,因而无法否定习惯因素在消费与资产收益分析中的重要性。     

持续性不平等的原因及其动态演化综述

该文综述了国内外行为研究中金融资产定价异常现象的文献,提出绝大部分金融资产定价异常可按偏离类型归为横截面定价异常、基础衍生定价异常二个维度.金融资产定价异常二维分类方法简单,具有排他性和完备性,同时解决了目前行为金融研究分散、无逻辑和内涵模糊的问题,为其发展打开了新空间;更重要的是二维体系有望将红利贴现模型、CAPM、Fama&French的三因素模型和APT模型统一,形成一个包含二维定价因子的新资产定价模型.     

A flexible approach to estimate the equity premium

In this article, we estimate the risk aversion for households accounting for their lifetime consumption risk. Households take into account the overall lifetime uninsured consumption risk when optimizing their resources, which based on micro data varies across households. Thus, representing households’ consumption by merging cross-sectional micro data into the single Euler equation (the common approach for estimating risk aversion based on consumption-based asset pricing theory) may be too rough an approximation, leading to biased results with respect to risk aversion. Our results suggest that consumption-based asset pricing models that were rejected in several studies do in fact fit the data when we account for households’ lifetime consumption risk. This finding also has implications for long-run aggregate consumption-based asset pricing models.     

A unified beta pricing theory

This paper derives Ross's mutual fund separation theory and a new, equilibrium version of Ross's arbitrage pricing theory as special cases of a general theory. The paper also reveals that the two theories are identical in their predictions of asset prices and portfolio returns. The capital asset pricing model (a restricted case of the mutual fund separation theory) receives special treatment.     

Asset pricing theory and the valuation of Canadian paintings

Abstract.  The valuation of Canadian paintings is analysed empirically. Using a sample of auction prices for major Canadian painters for the period 1968–2001, we run hedonic regressions to analyse the influence of various factors, including painter identity, on auction prices, as well as to construct a market price index. This index is used in a second‐stage analysis in which we analyse the properties of Canadian art viewed as an investment asset. We apply standard asset pricing theory, as incorporated in the capital asset pricing model (CAPM), to the analysis of price movements in the market for Canadian paintings.     

PORTFOLIO BEHAVIOUR AND ASSET PRICING IN A CHARACTERISTICS FRAMEWORK

We have applied the characteristics model to the problem of portfolio behaviour and asset pricing. By defining assets in terms of characteristics, we generated individual demands for assets which depended on the prices of assets, the technological relationship between assets and asset characteristics, and the individual's preferences for different characteristics. In general, the characteristics model cannot be readily aggregated across individuals. However, when we assumed that the assets-characteristics technology had a simple form which was common to all individuals, market-clearing conditions could be used to derive an asset pricing model. Finally, we showed that the characteristics model provides a unified approach to the problem of preference-based portfolio behaviour and asset pricing. A number of existing models can be interpreted as characteristics models: the state-preference model, the parameter-preference model, the capital asset pricing model and the inter-temporal capital asset pricing model.     

An examination of the economic significance of stock return predictability in UK stock returns

We explore the out-of-sample performance of domestic UK asset allocation strategies that use forecasts of expected returns from a linear predictive regression and those that are implied by asset pricing models such as the capital asset pricing model (CAPM) or arbitrage pricing theory (APT). Our findings suggest that using forecasts of expected returns from the predictive regression generate significant benefits in out-of-sample performance. We find the performance of the strategies using expected return forecasts implied by the CAPM or APT is lower than the predictive regression strategy. However, with binding investment constraints, the performance of the APT matches that of the predictive regression.