Feedback Effects and Asset Prices

Feedback effects from asset prices to firm cash flows have been empirically documented. This finding raises a question for asset pricing: How are asset prices determined if price affects fundamental value, which in turn affects price? In this environment, by buying assets that others are buying, investors ensure high future cash flows for the firm and subsequent high returns for themselves. Hence, investors have an incentive to coordinate, which may generate self‐fulfilling beliefs and multiple equilibria. Using insights from global games, we pin down investors' beliefs, analyze equilibrium prices, and show that strong feedback leads to higher excess volatility.     

Corporate Investment and Asset Price Dynamics: Implications for the Cross-section of Returns

We show that corporate investment decisions can explain the conditional dynamics in expected asset returns. Our approach is similar in spirit to Berk, Green, and Naik (1999) , but we introduce to the investment problem operating leverage, reversible real options, fixed adjustment costs, and finite growth opportunities. Asset betas vary over time with historical investment decisions and the current product market demand. Book‐to‐market effects emerge and relate to operating leverage, while size captures the residual importance of growth options relative to assets in place. We estimate and test the model using simulation methods and reproduce portfolio excess returns comparable to the data.     

Presidential Address: Asset Price Dynamics with Slow‐Moving Capital

I describe asset price dynamics caused by the slow movement of investment capital to trading opportunities. The pattern of price responses to supply or demand shocks typically involves a sharp reaction to the shock and a subsequent and more extended reversal. The amplitude of the immediate price impact and the pattern of the subsequent recovery can reflect institutional impediments to immediate trade, such as search costs for trading counterparties or time to raise capital by intermediaries. I discuss special impediments to capital formation during the recent financial crisis that caused asset price distortions, which subsided afterward. After presenting examples of price reactions to supply shocks in normal market settings, I offer a simple illustrative model of price dynamics associated with slow‐moving capital due to the presence of inattentive investors.     

Distress Selling and Asset Market Feedback

This paper examines the process of distress selling and asset market feedback. It splits this process into several stages, in order to analyze what triggers distress selling, why asset prices fall, and how falling prices generate additional rounds of selling. This framework enables us to understand and compare models relevant to distress selling from diverse literatures. The paper also considers what policy options are available at each stage to mitigate the adverse economic consequences of distress selling and asset market feedback.     

资产价格与通胀预期

资产价格上升对宏观经济存在怎样的影响,这个问题已经成为目前中国宏观经济争论的焦点.本文阐述了资产价格和未来商品价格、通胀预期之间的理论关系,数据分析显示中国资产价格和商品价格之问存在较大失衡,这种失衡体现为资产价格隐含的高通胀预期,本文粗略估计了该通胀预期,认为从中央银行容忍范围和对总需求影响的角度来看,该通胀预期过高而难以实现.本文最后从总消费需求和金融稳定角度,分析了恢复均衡的另一种途径即资产价格下跌,认为资产价格下跌发生的概率较大,对宏观经济的负面影响也更小.     

Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long-Run Performance

We present a rational theory of SEOs that explains a pre‐issuance price run‐up, a negative announcement effect, and long‐run post‐issuance underperformance. When SEOs finance investment in a real options framework, expected returns decrease endogenously because growth options are converted into assets in place. Regardless of their risk, the new assets are less risky than the options they replace. Although both size and book‐to‐market effects are present, standard matching procedures fail to fully capture the dynamics of risk and expected return. We calibrate the model and show that it closely matches the primary features of SEO return dynamics.     

流动性、物价稳定与资产价格上涨——从理论模型看日本的经验教训

本文以20世纪80年代中后期的日本为对象，从理论和实证两方面研究在低利率、物价稳定的背景下，资产泡沫形成的原因，以及日本银行货币政策失误的教训，并对我国当前低利率、物价稳定、资产价格上涨并存的现象提出政策建议。本文认为，应避免汇率升值对利率产生过大的影响，维持国内利率政策的独立性；货币政策以物价稳定为主要目标，但应密切关注持续的资产价格上涨；维持稳健的货币政策，防止货币政策矫枉过正。     

货币政策与资产价格的波动

对于中央银行是否应该对资产价格的波动做出反应以及如何做出反应．在学术界仍然存在着激烈的争论。中央银行应否对资产价格的波动做出反应主要依据是看资产价格的波动能否对目标通货膨胀率造成影响，而非直接对任何的资产价格波动都做出反应。对资产价格做出反应形成的货币政策被称为“通货膨胀定标”的货币政策。我国应该根据具体国情进行货币政策的改革导向选择，并积极创造条件推行“通货膨胀定标”的货币政策。     

论货币政策与资产泡沫——兼论当前货币政策的动态微调

资产泡沫已经成为现代经济的主要特征之一,将资产价格更多地纳入货币政策的视野,符合现代全球经济变化的趋势,对促进金融经济稳定具有积极的意义.在目前我国实体经济复苏根基未稳的情况下,针对房地产和股市的双泡沫,货币政策微调的目标应该定位于在维持一定程度资产泡沫的同时打消市场对资产价格单边上涨的心理预期,逐步引导资金流向实体经济,通过实体经济的进一步复苏来维持实体经济和虚拟经济的平衡.     

The Price Impacts of Open Market Repurchase Trades

Abstract:  This paper analyzes a database of 60,000+ individual repurchase trades from the Toronto Stock Exchange. The average intraday price impact of repurchase trades is negative, since, because of execution rules, 60% are seller-initiated. Prices fall less following repurchase than matched non-repurchase trades—there is an abnormal price impact. We find evidence consistent with two hypotheses: repurchases provide price support, and the market learns that the shares are undervalued. Consistent with the latter, we find that repurchasing companies have superior timing. Share prices show abnormal losses (gains) before (after) the repurchase trades. We find no significant market reaction to the mandatory public disclosure of the trade details.     

人民币升值与国内资产价格

本文在传统的巴拉萨-萨缪尔森效应基础上,将汇率作为可控变量,并加入反映大国经济地位和国家经济政策的因素,探讨人民币汇率变动对国内资产价格调控的内在机制。本文发现,在商品市场和劳动力市场都均衡的情况下,人民币升值将使商品价格下降,并通过现金流调整和工资调整等渠道,带来资产价格的下降。     

利率扭曲与资产泡沫

本文在一般均衡的框架下,分析实际利率被扭曲时资产价格的表现。主要贡献是,为中央银行刻意压低实际利率的政策建模,并分析它对资产价格的含义。我们发现,当中央银行调整货币政策目标、压低实际利率的时候,具有抵押价值的资产,其价格会上升,从而产生资产价格泡沫。利率被扭曲的后果可以表述为,金融体系不可能同时达到以下三个政策目标:持续压低的实际利率、自由的按揭贷款,以及合理的资产价格。     

Equilibrium Correlations of Asset Price and Return

Two empirical questions concerning the equity and housing have been studied extensively: (1) Are the price and return serially correlated, and (2) What is the optimal weight of housing in the portfolio? The answer to the second question crucially depends on the cross-correlation of assets. This paper complements the literature by building a simple dynamic general equilibrium with fully rational agents, and obtain closed form solutions for the implied auto- and cross-correlations. The length of time horizon, as well as the persistence of economic shock matter. Implications and future research directions are then discussed.     

资产价格泡沫化与金融危机

本文从文献述评的角度,归纳研究了资产价格与金融危机的特征和相互作用的机理。在金融危机的孕育阶段,金融自由化、经济上升周期、货币政策、国际资本流动和心理等因素导致或助涨资产价格向上运动和泡沫化现象。金融危机通常在局部地区和市场首先触发,并向实体经济蔓延并实现国际传导,在泡沫崩溃和危机传导过程中,流动性枯竭和金融系统的脆弱性发挥了重要作用。最后,本文给出了加强金融体系改革和宏观审慎管理的几点建议。     

Logit Price Dynamics

We model retail price stickiness as the result of costly, error‐prone decision making. Under our assumed cost function for the precision of choice, the timing of price adjustments and the prices firms set are both logit random variables. Errors in the prices firms set help explain micro facts related to the size of price changes, the behavior of adjustment hazards, and the variability of prices and costs. Errors in adjustment timing increase the real effects of monetary shocks, by reducing the “selection effect.” Allowing for both types of errors also helps explain how trend inflation affects price adjustment.     

采用区间价格模型评估技术资产

技术资产的区间价格模型遵循了技术资产的定价原则，易于平衡技术资产出让方和受让方之间的利益，能对技术资产进行较全面的评估。本文对区问价格模型及其中仅值的评价指标体系进行了说明，并以一个范例说明了区间价格模型的应用。     

银行不良资产定价模式研究

资产出售是现阶段银行不良资产处置的主要手段，在实施中存在的主要问题是资产合理定价问题。银行不良资产现行的定价方式存在明显缺陷，只有对银行不良资产的价值决定及价格的宏观、中观、微观影响因素进行详细分析，才能构造我国银行不良资产定价模型。     

风险防控瞄准资产价格泡沫——访全国政协委员，上海银监局局长阎庆民

北京国际饭店,全国政协委员经济组住地,经济36组的小组讨论激烈地进行着,主题为对政府工作报告的认识和理解。     

资产价格膨胀,货币政策转向

近期,货币当局的一系列言论都涉及了一个敏感的话题,即货币政策和资产价格的关系.央行货币政策司司长张晓慧以个人名义公开发表<关于货币政策与资产价格>一文,她认为鉴于当前全球通胀机理所发生的变化,中央银行需要重新思考货币政策如何应对资产价格.此文一出,学术界纷纷揣测未来货币政策的目标是否会出现新的动向,不过监管当局随后的表态则说明,央行虽然非常关注资产价格变化及其成因,特别是宏观层面的原因,但央行目前仍不以资产价格作为货币政策直接调控目标.