流动性、股票定价及时变性：来自我国沪深股市的经验证据

本文在经流动性风险调整的资产定价模型的基础上,通过引进四个工具变量,构建了一个检验模型,于时间序列上对中国股票市场进行了实证分析。实证结果显示：我国的股市流动性单位风险溢价于时间序列上存在显著的时变性。从而证实了投资者之内生流动性风险对股票收益率之影响效应,进而揭示了一个货币供给量影响股市的一个作用机制,即股票价格的涨跌由于流动性水平的不同和由前者导致的流动性风险溢价要求的不同而受到影响。     

时变贝塔资本资产定价模型实证研究

自从1964年CAPM模型提出以来,学术界对它的研究就一直没有停止过。在理论层面,通过放松和改变假设得到了新的模型;在实证层面,则是应用新的实证方法验证理论模型的正确性。最新提出的多元GARCH模型具有预测多元资产条件协方差矩阵的功能,因此将这一特性应用于CAPM模型的研究中就成为了一个独特的视角。通过实证研究发现,这种时变贝塔能够更精确地刻画单个资产相对于市场组合的风险大小。     

The evolution of portfolio rules and the capital asset pricing model

The aim of this paper is to test the performance of capital asset pricing model (CAPM) in an evolutionary framework. We model an economy where a heterogeneous population of long-lived agents invest their wealth according to different portfolio rules, and prove that traders who either “believe” in CAPM and use it as a rule of thumb, or are endowed with genuine mean-variance preferences, under some very weak conditions, vanish in the long run.We show that a sufficient condition to drive CAPM or mean-variance traders’ wealth shares to zero is that an investor endowed with a logarithmic utility function enters the market.     

扁平证券市场线和融资限制——中国股票市场的实证检验

资本资产定价模型（CAPM)在国际金融市场的实证检验结果往往呈现扁平证券市场线现象。一些学者认为融资限制是该现象的产生原因。本文旨在研究扁平证券市场线现象是否存在于中国股市,同时分析融资限制对中国股市证券市场线的影响。本文采用投资组合分析法对A股主板市场进行实证检验。本文研究发现：（1)扁平的证券市场线现象同样存在于中国股票市场中;（2)在中国股票市场中,融资限制与证券市场线的斜率呈负相关,与截距呈正相关,这符合融资限制理论;（3)以上两点发现同样存在于多因子定价模型中,这表明本文研究结果具有稳健性。       

THE DISTRIBUTION OF BETAS IN PRESENCE OF NONTRADED ASSETS

This study considers a capital assets pricing model (CAPM) in an incomplete financial market wherein not all risky assets are traded and the risk from non‐traded assets is not orthogonal to that of the existing or traded assets. The model shows the extent of the divergence of the CAPM betas (true betas) from the traditional CAPM betas (perceived betas) in market equilibrium conditions in an incomplete market. Specifically, it implies that the more incomplete a financial market is, the wider is the discrepancy between the true and perceived betas, and the distribution of the perceived betas tends to centre more around 1 in an incomplete market than that of true betas. Empirical evidence in various settings support these results.     

资本资产定价理论与市场经济

资本资产定价模型(CAPM)是威廉·夏普于1964年在马克威茨的资产组合理论和托宾分离定理的基础上通过增加一些条件而建立起来的资本市场均衡定价模型。在CAPM的假设前提下,资本市场被带入一种所有的投资者持有相同风险资产市场组合的均衡状态,在这种状态下经济中所有的风险资产特别是企业资产都具有完全相同的所有权结构。从而将经济带入一种所有企业之间不存在利益冲突的"准公有制"状态,市场经济制度也将不复存在。如果我们认为这一结论是荒谬的,那问题一定出在CAPM的假设条件以及由此假设条件所推出的市场均衡,自然,建立在这种均衡状态下的资本资产定价模型的现实性也是成问题的。     

Liquidity-adjusted conditional capital asset pricing model

This paper derives a liquidity-adjusted conditional two-moment capital asset pricing model (CAPM) and a liquidity-adjusted conditional three-moment CAPM respectively based on theory of stochastic discount factor. The liquidity-adjusted conditional two-moment CAPM shows that a security's conditional expected excess return consists of three parts: its conditional expected liquidity cost, the systemic risk premium and the liquidity risk premium. The liquidity-adjusted conditional three-moment CAPM shows that a security's conditional expected excess return depends on its conditional expected liquidity cost, the conditional covariance between its return and the market return, the conditional covariance between its liquidity cost and the market liquidity cost, and the conditional coskewness of its return and the market return.     

Drivers of expected returns in Istanbul stock exchange: Fama–French factors and coskewness

We investigate the impact of coskewness on the variation of portfolio excess returns in Istanbul Stock Exchange (ISE) over the period July 1999 to December 2005. We form portfolios according to size, industry, size and book-to-market ratio, momentum and coskewness and compare alternative asset pricing models. The traditional capital asset pricing model (CAPM) and the three-factor model of Fama and French are tested in the multivariate testing procedure of Gibbons–Ross–Shanken (1989). Coskewness is introduced as a fourth factor and its incremental effect over CAPM and Fama–French factors is examined both in multivariate tests and in cross-sectional regressions. The findings reveal that coskewness is able to explain the size premium in ISE. Hence, the basic two-moment CAPM without the coskewness factor would underestimate the expected return of size portfolios. Multivariate test results indicate that coskewness reduces the pricing bias, albeit insignificantly. Cross-sectional analysis uncovers that coskewness has a significant additional explanatory power over CAPM, especially for size and industry portfolios. However, coskewness does not have a significant incremental explanatory power over Fama–French factors in ISE.     

Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market

Based on methods developed by Bollerslev et al. (2016), we explicitly accounted for the heteroskedasticity in the measurement errors and for the high volatility of Chinese stock prices; we proposed a new model, the LogHARQ model, as a way to appropriately forecast the realized volatility of the Chinese stock market. Out-of-sample findings suggest that the LogHARQ model performs better than existing logarithmic and linear forecast models, particularly when the realized quarticity is large. The better performance is also confirmed by the utility based economic value test through volatility timing.     

Market structure and the cost of capital

We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields significant errors in the estimation of the cost of capital for a sample of firms from developed and emerging countries.     

可交易价值与股票短期收益分析——基于不同市场环境的实证研究

通过对股票可交易过程的分析,提出可交易价值的概念并指出价格、流动性和波动性是构成可交易价值的主要因素,并在CAPM模型的基础上建立考虑股票可交易价值的资本资产定价模型。运用横截面回归法分别对我国沪深A股市场处于熊市和牛市阶段的行业日交易数据进行实证分析,指出以日风险收益率为代表的股票短期预期收益率不仅与传统系统风险因子有关,还受可交易价值中价格因子、流动性因子和波动性因子影响。并且,在不同市场环境下,可交易价值各因子的表现形式也不同,既反映出市场及投资者不同的心理预期,也为市场预测和监管提供了一种新的途径。     

Step-by-step computation of corrected asymptotic variance-covariance matrices of two-stage estimators in a simultaneous equations model with a mixture of four continuous and binary dependent variables

The current study presents easily computable formulas for asymptotic variance-covariance matrices of the two-stage estimators in a simultaneous equation model with a mixture of four continuous and binary dependent variables. For the sake of econometrics practitioners, the study uses an illustrative example from the current literature and demonstrates step-by-step computation of these variance-covariance matrices by using the matrix routine of a popular econometric software.     

Robustness of the market model

Summary The market model specifies that the random vector of returns on risky assets is an affine function of the return on the market portfolio plus a residual which has zero conditional expectation given the return on the market. The model is important because of its intimate relation to distributional two-fund separation and the CAPM equation. This paper shows that the market model is robust to small changes in the asset supplies only if the distribution of returns is spherically generated.     

Modeling the Taiwan Stock Market and International Linkages

This paper analyzes the Taiwan stock market and examines its price and volatility linkages with those of the United States. In particular, it tests the hypothesis that the short-term volatility and price changes spill over from the developed markets, mainly the United States, to the emerging Taiwan stock market. The model and the test are built upon Engle's ARCH (autoregressive conditional heteroskedasticity) and Engle and Kroner's M-GARCH (multivariate generalized ARCH) models. The paper differs from previous studies on the Taiwan stock market in three respects. First, instead of using daily closing prices, it uses close-to-open and open-to-close returns to avoid the problem of overlapping samples. It carefully models the day-of-the-week effect in daily data to avoid misspecification of the model. Second, to circumvent the generated regressor problem arising from the two-step estimation procedure, it also employs the M-GARCH model where all parameters are estimated simultaneously. Third, the misspecification test is carried out on various kinds of asymmetric ARCH factors. A substantial volatility spillover effect is found from the US stock market to the Taiwan stock market, especially for the model using close-to-open returns. There is also evidence supporting a spillover effect in price changes. The findings can be explained by the recent gradual opening of the Taiwan stock market to foreign investors.     

Capital asset pricing model in Portugal: Evidence from fractal regressions

We examine risk profiles of the Portuguese stock market index component stocks using a novel approach to the classical capital asset pricing model (CAPM). Specifically, we estimate the CAPM via fractal regressions that allow studying the marginal effects at selected scales. In this way, we can reveal whether the risk is perceived differently by market participants with different investment horizons. Apart from the analysis itself, we provide new statistical insights into the issue of separating and comparing the scale-specific effects with statistical validity. We find several stocks deviating from an expected risk perception homogeneity across investment horizons. This is true for both analysed periods, i.e. before and after the global financial crisis. There are also several stocks that changed their relationship to the market portfolio in between, which has strong implications for possible portfolio construction. The proposed methodology is not limited to financial topics but can be used in any discipline where the scale-specific marginal effects might be of interest.     

The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing

The present study investigates the linear and nonlinear causal linkages among six currencies denoted relative to United States dollar (USD), namely Euro (EUR), Great Britain Pound (GBP), Japanese Yen (JPY), Swiss Frank (CHF), Australian Dollar (AUD) and Canadian Dollar (CAD). The data spans two periods between 3/20/1991 and 3/20/2007. We apply a new nonparametric test for Granger non-causality by Diks and Panchenko [Diks, C., Panchenko, V., 2005. A note on the Hiemstra–Jones test for Granger noncausality. Studies in Nonlinear Dynamics and Econometrics 9 (art. 4); Diks, C., Panchenko, V., 2006. A new statistic and practical guidelines for nonparametric Granger causality testing. Journal of Economic Dynamics & Control 30, 1647–1669] and the linear Granger test on the return time series. To detect strictly nonlinear causality, we examine the pairwise VAR-filtered residuals as well as in a six-variate formulation. We find remaining significant bi- and uni-directional causal nonlinear relationships in the series. Finally, we investigate causality after controlling for conditional heteroskedasticity using a GARCH–BEKK model. Whilst the nonparametric test statistics are smaller in some cases, significant nonlinear causal linkages persisted even after GARCH filtering during both periods. This indicates that currency returns may exhibit asymmetries and statistically significant higher-order moments.     

Non-parametric and semi-parametric asset pricing

We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the widely used risk and performance measures, the beta and the alpha, are biased and inconsistent. We deduce semi-parametric measures which are non-constant under extreme market conditions in a single factor setting; on the other hand, they are not significantly different from the linear estimates of the Fama-French three-factor model. If we extend the single factor model with the Fama-French factors, the simple linear model is able to explain the US stock returns correctly.     

A characterization of the coskewness–cokurtosis pricing model

The coskewness–cokurtosis pricing model is equivalent to absence of any positive-alpha return for which the residual risk has positive coskewness and negative cokurtosis with the market. This parallels the CAPM and also the fundamental theorem of asset pricing.     

基于CAPM的中国股市羊群行为研究——兼与宋军、吴冲锋先生商榷

本文首先对宋军和吴冲锋的《基于股价分散度的金融市场羊群行为研究》一文进行了分析 ,指出其在分析方法和论证逻辑两方面存在的问题。随后 ,本文以资本资产定价模型 (CAPM)为基础 ,建立了一个更为灵敏的羊群行为检验模型 ,并据此对我国股市进行了实证检验。研究结果表明 :在政策干预频繁和信息不对称严重的市场环境下 ,我国股市存在一定程度的羊群行为 ,并导致系统风险在总风险中占有较大比例     

What does high-dimensional factor analysis tell us about risk factors in the Australian stock market?

Estimates of the cost of equity are often sensitive to the specification of the linear factor model used in their construction. In this article, we use techniques developed for high-dimensional factor models to consider the identity of systematic risk factors in the Australian equities market. Our results support the use of neither the Capital Asset Pricing Model (CAPM) nor the Fama and French model, although they provide an explanation for the empirical performance of these models. Many other model specifications are also rejected. We find that a single-factor model with an equal-weighted market index is the best model for estimating the cost of equity in the Australian context.