共查询到20条相似文献,搜索用时 15 毫秒
1.
Laurent-Emmanuel Calvet Jean-Michel Grandmont Isabelle Lemaire 《Research in Economics》2018,72(1):117-146
Given a competitive equilibrium in complete asset markets, we propose a method that aggregates heterogeneous individual beliefs into a single “market probability,” which, if commonly shared by investors, generates the same marginal valuation of assets by the market as well as by each individual investor. As a result of the aggregation process, the market portfolio may have to be scalarly adjusted, upward or downward, a reflection of an aggregation bias due to the diversity of beliefs. From a dual viewpoint, the standard construction of an expected utility-maximizing aggregate investor designed to represent the economy in equilibrium, is shown to be also valid in the case of heterogeneous beliefs, modulo the above scalar adjustment of the market portfolio, thereby generating an Adjusted version of the Consumption based Capital Asset Pricing Model (ACCAPM). We analyze how the allocation of aggregate and individual risks relates to deviations of individual beliefs from the aggregate market probability. Finally, we identify the channels through which the distribution of beliefs and other microeconomic characteristics (incomes, attitudes toward risk) across investors impact the pricing of risky assets an may contribute to explaining the equity premium puzzle. 相似文献
2.
In this article, we propose MFCAPM panel models with fixed effects and test theories associated with risk exposures and anomalies postulated by Fama and French, and we assess their out-of-sample predictive performances. Based on the portfolios formed by French, we construct 10 panel models, each consisting of 10 portfolios grouped by size deciles, and another 10 panels by value deciles. In the presence of cross-section dependence, the MFCAPM panel model is estimated by the feasible generalized least squares (FGLS) method for the sample period 1963(1)-2018(9). The results show that the market, firm-size and value risk exposures are significant and robust across three-, five- and six-factor panel models. Significant time-fixed effects indicate that there are several portfolios resilient to dot.com bubble peak in 2000, while some others resilient to GFC in 2007. We estimate the models for the in-sample period 1963(1)–1999(12) and generate the out-of-sample portfolio returns for the period 2000(1)–2018(9). We find that portfolio returns forecasts generated by the six-factor panel model are superior to other MFCAPM panel models, mostly due to the momentum factor (investor behaviour) explaining large return variations and volatility exposures. The findings have implications for investors, security traders and portfolio risk managers. 相似文献
3.
Ruxing Xu 《Economic Modelling》2011,28(5):2143-2153
This paper proposes a new lattice framework for valuing convertible bonds (CBs) and asset swaps on CBs (CBASs) with market risk and counterparty risk, where interest rate is assumed to follow a mean-reverting square root process. The reduced-form approach is generalized to include a constant elasticity of variance (CEV) process for equity price prior to default. In order to approximate the CEV process while taking into account stochastic interest rate and the correlation between stock price and interest rate, I first propose a transform that is uncorrelated with interest rate, and then construct a new lattice method which can ensure the validity of branching probabilities for all nodes. The lattice framework performs properly when it is used to value European call options. Based on the empirical results in Duffie et al. (J. Fin. Econ. 83(3): 635-665, 2007) and Jankowitsch et al. (J. Bank. Fin. 32(7): 1269-1285, 2008), a novel default intensity process is constructed which is specified as a function of time, stock price, and interest rate. When valuing the asset swaps, the counterparty risk is taken into consideration. Based on the results of the numerical experiments, the impacts of different parameters on the prices of CBs and CBASs are explained. 相似文献
4.
随着经济全球化的不断深入,国际资本市场的一体化程度也在不断加强,敌对国际资产定价问题的探讨显得颇为重要。尤其对开放条件下的国际资产定价理论与实证研究进行系统的梳理与分类,并对该领域现有研究中存在的问题提出未来研究的方向,更有学术价值。 相似文献
5.
Summary. General equilibrium analysis is difficult when asset markets are incomplete. We make the simplifying assumption that uncertainty
is small and use bifurcation methods to compute Taylor series approximations for asset demand and asset market equilibrium.
A computer must be used to derive these approximations since they involve large amounts of algebraic manipulation. We use
this method to analyze the allocative and welfare effects of introducing a new security. We find that adding any nontrivial
derivative security will raise the price of the risky security relative to the bond when risks are small.
Received: April 1, 2000; revised version: January 10, 2001 相似文献
6.
Summary. Consider a general equilibrium model where agents may behave strategically. Specifically, suppose some firm issues new shares.
If the primary market price is controlled by the issuing institution and investors' expectations on future equity prices are
constant in their share purchases, the share price on the primary market cannot exceed the secondary market share price. In
certain cases this may imply strict underpricing of newly issued shares. If investors perceive an influence on future share
prices overpriced issues may occur in equilibrium. This provides an example of strategic price manipulation in general equilibrium
models with sequential markets.
Received: March 14, 2000; revised version: May 15, 2001 相似文献
7.
Suleyman Basak 《Economic Theory》1997,10(3):437-462
Summary. This paper develops a pure-exchange model to study the consumption-portfolio problem of an agent who acts as a non-price-taker,
and to analyze the implications of his behavior on equilibrium security prices. The non-price-taker is modeled as a price
leader in all markets; his price impact is then recast as a dependence of the Arrow-Debreu prices on his consumption, allowing
a tractable formulation. Besides the aggregate consumption, the endowment of the non-price-taker appears as an additional
factor in driving equilibrium allocations and prices. Comparisons of equilibria between a price-taking and a non-price-taking
economy are carried out.
Received: March 29, 1996; revised version October 29, 1996 相似文献
8.
论竞争、垄断与规制的动态均衡 总被引:1,自引:0,他引:1
通过对以往竞争、垄断和规制理论的系统梳理与批判,提出了竞争与垄断之间存在着内在转化趋势的假说,详细阐释了二者相互转化机制,并把规制作为二者转化过程中的外生因素来处理,界定了规制有效的条件,主要结论如下:其一,竞争与垄断客观上存在着互相转化的趋势,市场结构总是处于二者的中间状态;其二,规制对竞争与垄断间的相互转化起着调节或制约作用;其三,在竞争-垄断-规制动态均衡中,竞争的激励作用和潜在进入者打破垄断的强烈动机会促进技术进步和生产效率的提高,从而使得市场经济效率在长期中螺旋式上升。 相似文献
9.
The purpose of the paper is to introduce a tighter definition for the marginal (cost) pricing rule. By means of an example,
we illustrate the improvements that one gets with the new definition with respect to the former one using Clarke’s normal
cone, and we discuss its consequences in terms of the existence of equilibria.
相似文献
10.
For a market with an atomless continuum of assets, we formulate the intuitive idea of a “well-diversified” portfolio, and present a notion of “exact arbitrage”, strictly weaker than the more conventional notion of “asymptotic arbitrage”, and necessary and sufficient for the validity of an APT pricing formula. Our formula involves “essential” risk, one based on a specific index portfolio constructed from factors and factor loadings that are endogenously extracted to satisfy an optimality property involving a finite number of factors. We illustrate how our results can be translated to markets with a large but finite number of assets. 相似文献
11.
The goal of this study is to measure market prices of risk and foreign exchange risk premia. Estimations of minimum variance
pricing kernels permit to determine market prices of risk, which, in an international no-arbitrage framework, allow to measure
foreign exchange risk premia. Market prices of risk are time-varying and surge during financial turmoils. Foreign exchange
risk premia are on average small in comparison to interest rate differentials and exhibit significant variation from the early
1970s onwards, when the Bretton Woods exchange rate system collapsed. At times, foreign exchange risk premia dominate interest
rate differentials.
We are indebted to Baldev Raj, Robert Kunst, the associate editor of Empirical Economics and two anonymous referees for their
valuable comments. We also thank seminar participants at the European Central Bank, the Bank of England and Queen Mary University
of London.
The views expressed in this paper are those of the authors and do not necessarily reflect those of the European Central Bank
or the Eurosystem. 相似文献
12.
Summary. In this article we study the effects of transaction costs on asset prices. We assume an overlapping generations economy with
two riskless assets. The first asset is liquid while the second asset carries proportional transaction costs. We show that
agents buy the liquid asset for short-term investment and the illiquid asset for long-term investment. When transaction costs
increase, the price of the liquid asset increases. The price of the illiquid asset decreases if the asset is in small supply,
but may increase if the supply is large. These results have implications for the effects of transaction taxes and commission
deregulation.
Received: December 5, 1997; revised version: March 19, 1998 相似文献
13.
Lakshman Alles 《Applied economics》2017,49(43):4336-4350
As downside risk has been identified as a separate risk exposure to investors, we investigate whether downside beta and co-skewness exposure impact on the return to investors in Australian equities. Although considered as a developed market, the Australian Securities Exchange merits separate investigation, as it is small and concentrated on some sectors, when compared with the major developed markets. As realized returns are a proxy for expected returns, we separately examine conditional returns in upturn and downturn periods. We find that both downside risks are separately priced by investors, and that our results are unaffected by the inclusion of a range of company characteristics. We subsequently confirm that returns to each downside risk are not related. In robustness tests, we conclude that the return to downside risk cannot be explained by a size, a value, or a momentum premium. Although it also has explanatory power, the inclusion of a leverage factor also does not reduce the explanatory power of downside risk. 相似文献
14.
公司购并利益相关者的利益均衡吗?——基于公司购并动因的风险溢价套利分析 总被引:22,自引:1,他引:22
本文利用信息经济学与博弈论理论 ,从公司利益相关者的利益均衡角度对公司购并进行动态博弈分析。为刻画行为主体利益动态均衡过程 ,论文应用Rubinstein讨价还价模型 ,揭示公司购并过程中利益均衡及其对公司购并的推动作用。为解开“购并公司股东损益之谜” ,论文引进购并公司信息占优条件下的风险套利模型 ,分析购并公司溢价购并损失在市场背后的风险套利补偿。在此基础上 ,采用市场分析法对上市公司购并利益分配进行实证 ,检验结果显示中国证券市场同样存在“购并公司股东损益之谜”。 相似文献
15.
现代金融市场的迅猛发展,使全球金融市场联动性增强,同时也使得市场风险成为金融机构和投资者面临的主要风险,20世纪90年代以来发生的一些金融灾难性事件使得人们越发意识到风险管理的重要性。因此,从投资组合理论开始梳理资产配置分析中的风险度量工具。 相似文献
16.
17.
We analyze the institutional determinants of U.S. financial market regulation with a general model of the policy-making process in which legislators delegate authority to regulate financial risk at both the firm and systemic levels. The model explains changes in U.S. financial regulation leading up to the financial crisis. We test the predictions of the general model with a novel, comprehensive data set of financial regulatory laws enacted specifically between 1950 and 2009. The theoretical and empirical analysis finds that economic and political factors impact Congress’ decision to delegate regulatory authority to executive agencies, which in turn impacts the stringency of financial market regulation, and our estimation results indicate that political factors may have been stronger and resulted in inefficiencies. 相似文献
18.
2008年的全球性金融危机引发了世界各国对系统性风险的格外关注。文章讨论系统性风险含义及其识别指标,基于2004-2012年中国宏观经济与金融系统的实证数据,采用主成分分析方法构建了系统性风险评估指标体系,实证评估分析了中国系统性风险综合水平与结构分布的演绎特征。分析表明在研究期内系统性风险综合水平经历了下降、震荡与上升三个阶段,2009年中期至2012年属于系统性风险上升期,其中,房地产市场泡沫、政府债务、经济增长方式与金融体制效率等风险形式是现阶段系统性风险的主要构成因素。因此,研究认为系统性风险防控极为必要,而且从改革财政税收体制、完善政府债务管理制度、理顺收入分配机制以及推动金融自由化等方面提出了系统性风险防控的具体措施。 相似文献
19.
ABSTRACT We investigate how bank charter value affects risk for a sample of OECD banks by using standalone and systemic risk measures before, during, and after the global financial crisis of 2007–2008. Prior to the crisis, bank charter value is positively associated with risk-taking and systemic risk for very large ‘too-big-too-fail’ banks and large U.S. and European banks but such a relationship is inverted during and after the crisis. A deeper investigation shows that such a behaviour before the crisis is mostly relevant for very large banks and large banks with high growth strategies. Banks’ business models also influence this relationship. We find that for banks following a focus strategy, higher charter value amplifies both standalone and systemic risk for large U.S. and European banks. Our findings have important policy implications and cast doubts on the relevance of the uniform more stringent capital requirements introduced by Basel III. 相似文献
20.
Summary. The paper constructs a theoretical framework in which the value of information in general equilibrium is determined by the interaction of two opposing mechanisms: first, more information about future random events leads to better individual decisions and, therefore, higher welfare. This is the ‘Blackwell effect’ where information has positive value. Second, more information in advance of trading limits the risk sharing opportunities in the economy and, therefore, reduces welfare. This is the ‘Hirshleifer effect’ where information has negative value. We demonstrate that in an economy with production information has positive value if the information refers to non-tradable risks; hence, such information does not destroy the Blackwell theorem. Information which refers to tradable risks may invalidate the Blackwell theorem if the consumers are highly risk averse. The critical level of relative risk aversion beyond which the value of information becomes negative is less than 0.5. Received: May 14, 2001; revised version: March 5, 2002 相似文献