Asset volatility

We examine whether fundamental measures of volatility are incremental to market-based measures of volatility in (i) predicting bankruptcies (out of sample), (ii) explaining cross-sectional variation in credit spreads, and (iii) explaining future credit excess returns. Our fundamental measures of volatility include (i) historical volatility in profitability, margins, turnover, operating income growth, and sales growth; (ii) dispersion in analyst forecasts of future earnings; and (iii) quantile regression forecasts of the interquartile range of the distribution of profitability. We find robust evidence that these fundamental measures of volatility improve out-of-sample forecasts of bankruptcy and help explain cross-sectional variation in credit spreads. This suggests that an analysis of credit risk can be enhanced with a detailed analysis of fundamental information. As a test case of the benefit of volatility forecasting, we document an improved ability to forecast future credit excess returns, particularly when using fundamental measures of volatility.     

资产结构的喜与忧

梳理A股上市公司流动资产占总资产比率居高位的至少有四种情况：一是包括银行、保险及券商等在内的金融企业，二是具有“类金融”特点的房地产公司，三是传统行业中的“轻资产”型公司，四是刚刚成功运作IPO的上市公司。不同的资产结构，管理层面临不同的经营问题，比如严格资金流转与审批制度、     

Diagnosing Asset Pricing Models Using the Distribution of Asset Returns

This paper develops a set of diagnostic tests which can shed light on why a particular model is failing and indicate what steps might be taken to make the model consistent with asset returns. Theoretical bounds on the moments of a stochastic discount factor are derived as a function of the moments of observed asset returns. Particular attention is paid to restrictions on moments other than the variance. These bounds can also be used to measure the information about the distribution of the discount factor contained in the moments of various asset returns. As an application of this methodology, bounds on the discount factor are estimated using size-based portfolios, and the results are used to analyze the small firm effect. Empirical results indicate, for the period 1926–1975, that moments of the returns of small firms contain information about the discount factor that is not contained in the moments of the returns of large firms and/or a proxy of the aggregate wealth portfolio. However, this difference disappears when more recent data is included.     

Rational Asset Prices

The mean, covariability, and predictability of the return of different classes of financial assets challenge the rational economic model for an explanation. The unconditional mean aggregate equity premium is almost seven percent per year and remains high after adjusting downwards the sample mean premium by introducing prior beliefs about the stationarity of the price–dividend ratio and the (non)forecastability of the long–term dividend growth and price–dividend ratio. Recognition that idiosyncratic income shocks are uninsurable and concentrated in recessions contributes toward an explanation. Also borrowing constraints over the investors' life cycle that shift the stock market risk to the saving middle–aged consumers contribute toward an explanation.     

Asset pricing dynamics

This paper is concerned with the issue of dynamics in financial data and asset pricing models such as the CAPM. A literature review in this area is undertaken and highlights the need for a modern time series econometric approach in asset pricing. Such an approach is discussed and deals with problems related to structural breaks and microstructures, dynamics in the mean and variance process, and non-stationary regressions and cointegration. An empirical application using UK stock market data demonstrates the merit of the proposed methodology in correcting market model regressions.     

Complex Asset Markets

Investors' individual arbitrage models introduce idiosyncratic risk into complex asset strategies, driving up average returns and Sharpe ratios. However, despite the attractive risk-return trade-off, participation is limited. This is because effective Sharpe ratios in complex asset markets vary with investors' expertise. Investors with higher expertise, better models, and lower resulting idiosyncratic risk exposures realize higher Sharpe ratios. Their demand deters entry by less sophisticated investors. As predicted by our model, market dislocations are characterized by an increase in idiosyncratic risk, investor exit, and persistently elevated alphas and Sharpe ratios. The selection effect from higher expertise agents' more favorable Sharpe ratios is unique to our model and key to our main results.     

Renegade Asset Markets

Local markets with tight land use controls result in prices rising relative to wages and affordability. Affordability is eased by unconventional but risky finance. Tight land use and loose financing in these renegade markets concentrates the impact of national or international shocks. A positive demand shock raises prices in these tight markets. If ongoing price momentum is expected, households switch to ownership and landlords reduce the rental stock. House prices, rents and occupancy rise and fall together in these markets. A five-equation sequential structure in land use, financial contracts, house prices, rents and vacancy for 17 United States cities confirms geographical concentration. Coastal California and South Florida are fundamentally risky markets. Discount rates there are three percentage points higher than the sample median. Two percentage points are attributable to land use and the other to unconventional finance. National and international financial crises are highly concentrated regionally.     

银行资产证券化问题研究

资产证券化是国际商业银行业务发展的重要内容之一，在我国尚未开展相关业务，为尽快与国际接轨，有必要对此进行认真研究。     

Asset Wealth and Asset Decumulation among Households in the Retirement Survey

This paper examines the asset positions of households at and around retirement in Britain using the Retirement Survey ‘waves’ of 1988–89 and 1994. The data provide the first panel evidence on retirement behaviour and asset evolution for a sample of older households in Britain. The analysis in this paper shows the importance of housing and private pension wealth for this age-group in Britain, and also the differential wealth holdings between surviving respondents and those who died or failed to respond for other reasons in 1994. It provides some preliminary evidence as to whether households decumulate assets after retirement in accordance with the ‘textbook’ version of the Life-Cycle Hypothesis of consumption.     

Efficient Post-Retirement Asset Allocation

Abstract

To examine post-retirement asset allocation, an extension to the classic Markowitz risk-return framework is suggested. Assuming that retirees make constant (real dollar) annual withdrawals from their portfolios, reward and risk measures are defined to be the mean and standard deviation of wealth remaining at end of life. Asset returns and time of death are both treated as random variables. Assuming constant lifetime asset allocation, the risk and reward measures can be evaluated analytically, and an efficient frontier can be determined. Life annuities can be used to extend the left-hand (low-risk) side of the efficient frontier. The desired level of wealth at end of life can be used to choose a desirable portfolio on the efficient frontier. The desirable portfolio strongly depends on the withdrawal rate. It is suggested (although not proven) that asset allocations strategies that vary with age do not add efficiency in this model, and asset allocation strategies that vary with wealth can add efficiency.     

Assessing Asset Pricing Anomalies

The optimal portfolio strategy is developed for an investorwho has detected an asset pricing anomaly but is not certainthat the anomaly is genuine rather than merely apparent. Theanalysis takes account of the fact that the parameters of boththe underlying asset pricing model and the anomalous returnsare estimated rather than known. The value that an investorwould place on the ability to invest to exploit the apparentanomaly is also derived and illustrative calculations are presentedfor the Fama and French SMB and HML portfolios, whose returnsare anomalous relative to the CAPM.     

资产重组扑朔迷离

引起广泛关注的郑百文事件,最终将以"重组"方式解决.据悉,郑百文董事会否决了公司破产的方案,通过了由郑州市政府和信达资产管理公司协商的重组方案.     

Comparing Asset Pricing Models

A Bayesian asset pricing test is derived that is easily computed in closed form from the standard F‐statistic. Given a set of candidate traded factors, we develop a related test procedure that permits the computation of model probabilities for the collection of all possible pricing models that are based on subsets of the given factors. We find that the recent models of Hou, Xue, and Zhang (2015a, 2015b) and Fama and French (2015, 2016) are dominated by a variety of models that include a momentum factor, along with value and profitability factors that are updated monthly.     

Asset Pricing without Garbage

This paper provides an explanation for why garbage implies a much lower relative risk aversion in the consumption‐based asset pricing model than National Income and Product Accounts (NIPA) consumption expenditure: Unlike garbage, NIPA consumption is filtered to mitigate measurement error. I apply a simple model of the filtering process that allows one to undo the filtering inherent in NIPA consumption. “Unfiltered NIPA consumption” well explains the equity premium and is priced in the cross‐section of stock returns. I discuss the likely properties of true consumption (i.e., without measurement error and filtering) and quantify implications for habit and long‐run risk models.     

Multifactor Asset Pricing Models

Since the early 1960s, the mean-variance Capital Asset Pricing Model (CAPM) has been a dominant paradigm in modern finance. Recently, the accumulation of anomalous evidence, and a realisation that empirical tests of the model are tautologically related to the efficiency of the market index, have pushed that paradigm to a point of crisis. This paper reviews alternative asset pricing models which coexisted with the CAPM and may provide plausible substitutes. The major distinguishing feature of these models is that they predict multiple risk factors and, with the exception of the Arbitrage Pricing Theory (APT), are extensions of the CAPM.     

Asset pricing with partial-moments

I bridge the current pricing kernel framework with the early partial-moment pricing models of the beta framework, thereby reconciling and clarifying these bodies of literature. I argue for the inclusion of powers of min and max functions within a generalized kernel, and form a generalized beta model. Polynomial kernels and the kernel underpinning the partial-moment analogue of the Sharpe-Lintner CAPM are nested. I derive the partial-moment analogue to the Black CAPM, thus completing a theoretical parallelism, and compare the kernel-implied and canonical risk-neutral probabilities. A new model involving both lower and upper partial-moments, accommodating various kernel shapes present in the literature, is developed in the context of preference regularity conditions.     

Asset Pricing with Garbage

A new measure of consumption, garbage, is more volatile and more correlated with stocks than the canonical measure, National Income and Product Accounts (NIPA) consumption expenditure. A garbage‐based consumption capital asset pricing model matches the U.S. equity premium with relative risk aversion of 17 versus 81 and evades the joint equity premium‐risk‐free rate puzzle. These results carry through to European data. In a cross‐section of size, value, and industry portfolios, garbage growth is priced and drives out NIPA expenditure growth.     

Asset returns and inflation

We estimate the extent to which various assets were hedges against the expected and unexpected components of the inflation rate during the 1953–1971 period. We find that U.S. government bonds and bills were a complete hedge against expected inflation, and private residential real estate was a complete hedge against both expected and unexpected inflation. Labor income showed little short-term relationship with either expected or unexpected inflation. The most anomalous result is that common stock returns were negatively related to the expected component of the inflation rate, and probably also to the unexpected component.