证券资产定价理论的比较研究——基于现代金融理论与行为金融理论的比较

现代金融理论以投资者理性和有效市场假说为基础,应用新古典经济学的分析范式将证券资产定价转化为风险与收益的均衡关系,实现证券资产的间接定价。行为金融理论以心理学对人的决策过程的研究成果为基础．重新审视证券资产定价问题并提出相应的理论模型,但这些理论模型间缺乏内在一致的分析框架,尚未突破现代金融理论的分析范式。     

资产定价理论的内在矛盾问题研究和展望

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。     

异质信念与资产定价研究综述

在传统金融理论中,投资者被假设为同质的,具有一致的理性预期,这与现实并不相符,也无法对"股权溢价之谜"等金融异象提供合理的解释.行为金融中的异质信念理论与现实更加符合,也为解释这些异象提供了理论支持.本文以异质信念的来源为线索,对投资者的异质信念与资产定价的关系进行了综述.     

Stephen A.Ross资产定价理论文献综述

<正>资产定价是财务学研究的重点领域,也是现代证券投资理论的核心,Stephen A.Ross对资产定价进行了深入的研究。本文从两个方面对相关文献进行整理:一是从假设和应用等方面对资本资产定价模型提出质疑,二是套利定价理论的提出和实证检验。     

经济周期、前景理论与BHS资产定价模型修正

行为资产定价研究引起了国内外的广泛关注,但由于现实资本市场中诸多异象的存在,导致人们对经典资产定价模型的质疑。经济周期波动会对投资者的理性产生显著影响,而非理性投资可能引发金融危机。据此,引入经济周期这一独特视角,剖析前景理论对资产定价的作用机理;提出相关假设,对BHS模型进行修正,以适应经济周期影响下的行为资产定价问题研究。     

行为如何影响资产定价——理论模型与实证分析

本文基于金融经济学中状态价格与随机折现因子等理论的分析,认为资产定价会受到行为因素的影响.在此基础上本文提出了状态价格函数,并建立了行为影响资产定价的多项式模型.     

随机游走、行为金融、混沌与资产定价理论的新发展

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,三种学说和三种定价理论同时存在于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。本文的研究理清了三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。     

随机游走、行为金融、混沌与资产定价理论的新发展

从随机游走、行为金融到混沌,从理代资产定价理论、行为资产定价理论到异质信念资产定价理论,三种学说和三种定价理论同时存在于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.本文的研究理清了三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.     

市场非有效框架下资产定价理论及其应用

本文依据围绕有效市场假说的争论与金融资产定价理论发展的密切关系,以有效市场假说是否成立为线索,分析了资产定价理论发展的内在联系与发展脉络,并以行为金融资产定价理论与非均衡资产定价理论为代表,对市场非有效前提下金融资产的定价理论及其应用进行了分析。     

次贷危机之后金融产品定价模式的变迁

本文回顾了资产定价理论的发展历程,研究了金融产品定价模式转变与金融市场创新发展的相互关系,指出金融产品定价模式从风险定价主导转向套利定价主导的变迁是次贷危机的深层次原因,并探讨了次贷危机之后,金融产品定价模式可能的变迁之路.     

动态资本资产定价理论评述

本文主要讨论了动态资产定价理论的产生和发展.默顿和布里登使用贝尔曼开创的动态规划方法和伊藤随机分析技术,重新考察在由随机过程驱动的不确定环境下,个人如何连续地做出消费/投资决策,使得终身效用最大化.无须单期框架中的严格假定,他们也获得了连续时间跨期资源配置的一般均衡模型--时际资产定价模型(ICAPM)以及消费资产定价模型(CCAPM).这些工作开启了连续时间金融方法论的新时代.     

Extending the capital asset pricing model: the reward beta approach

This paper offers an alternative method for estimating expected returns. The proposed reward beta approach performs well empirically and is based on asset pricing theory. The empirical section compares this approach with the capital asset pricing model (CAPM) and the Fama–French three‐factor model. In out‐of‐sample testing, both the CAPM and the three‐factor model are rejected. In contrast, the reward beta approach easily passes the same test. In robustness checks, the reward beta approach consistently outperforms both the CAPM and the three‐factor model.     

Skewed distributions in finance and actuarial science: a review

That the returns on financial assets and insurance claims are not well described by the multivariate normal distribution is generally acknowledged in the literature. This paper presents a review of the use of the skew-normal distribution and its extensions in finance and actuarial science, highlighting known results as well as potential directions for future research. When skewness and kurtosis are present in asset returns, the skew-normal and skew-Student distributions are natural candidates in both theoretical and empirical work. Their parameterization is parsimonious and they are mathematically tractable. In finance, the distributions are interpretable in terms of the efficient markets hypothesis. Furthermore, they lead to theoretical results that are useful for portfolio selection and asset pricing. In actuarial science, the presence of skewness and kurtosis in insurance claims data is the main motivation for using the skew-normal distribution and its extensions. The skew-normal has been used in studies on risk measurement and capital allocation, which are two important research fields in actuarial science. Empirical studies consider the skew-normal distribution because of its flexibility, interpretability, and tractability. This paper comprises four main sections: an overview of skew-normal distributions; a review of skewness in finance, including asset pricing, portfolio selection, time series modeling, and a review of its applications in insurance, in which the use of alternative distribution functions is widespread. The final section summarizes some of the challenges associated with the use of skew-elliptical distributions and points out some directions for future research.     

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.     

Pension benefits, wealth accumulation, and capital market equilibrium: a life cycle hypothesis-based dynamic model

This paper examines the impacts of pension benefits on capital asset pricing in conjunction with wealth accumulation and retirement, and derives and tests a dynamic capital asset pricing model (CAPM) within the framework of a life cycle hypothesis-based dynamic model. The life cycle hypothesis-based dynamic model maximizes the expected utility of the individual's lifetime wealth in a continuous time process. An optimal solution of the individual's wealth path, incorporating the ages of retirement and death, is obtained and, based on the optimal wealth path, an analysis of comparative dynamics is pursued. The dynamic CAPM is then derived from the optimal wealth path; simulation and nonparametric tests are undertaken to evaluate the performance of the dynamic CAPM as compared to the traditional model which does not consider the impacts of pension benefits and the static model that incorporates the effects of pension benefits. The test results suggest that the proposed dynamic CAPM closely states the expected rate of return for a capital asset; that the new dynamic CAPM is preferable over the static model that is preferable over the traditional model; and that the three models considered are statistically distinguishable from one another.     

Dividend policy under conditions of capital market and signaling equilibria

This article develops a generalized capital asset pricing model with dividend signaling under the assumption of asymmetric information between corporate insiders and outside investors. The generalized capital asset pricing model is derived under reasonably plausible conditions that are sufficient for the existence of dividends. The model provides a theoretical framework for testing the effect of dividends on equity price and returns. Further, if dividends serve as a credible signal and the cost of signaling is positive, paying higher dividends results in higher systematic risk.     

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.     

The World Price of Foreign Exchange Risk: Some Synthetic Comments

International asset pricing requires to take into account currency risk. Equilibrium models of the international capital market show that risk premia should be associated with currency risks. This is supported by empirical evidence. This paper reviews the existing theoretical and empirical literature and discusses their practical implications.     

基于资本属性的混合资本债券定价因素研究

作为一种新型金融衍生产品，混合资本债券以其特有的资本属性形成了区别于传统债券的定价模式。本文通过混合资本债券定价模型对其价值决定因素进行研究，从而揭示其与传统债券定价因素的区别和联系，并对我国发展混合资本债券提出相关建议。