资本资产定价模型的逻辑悖论及资本资产的纳什议价模型

本文的主旨在于提出用非合作博弈定价理论来解释资本资产的定价在分析中国问题时更合理更优越的假说，这与APT、鞅定价、行为金融学的定价理论等相比较走了不同的路^①。具体来讲，考虑到资本资产定价模型的逻辑悖论及市场是否能达到均衡，我们尝试用非合作博弈理论来探讨资本资产的定价问题。在资本资产定价的纳什议价模型中，资产的定价受到威胁点、谈判力及谈判破裂担心程度的影响^②。更进一步说^③，资本资产定价的纳什议价模型描述了资本资产定价模型中市场是如何达到均衡的过程。     

CAPM模型与APT模型的比较

资本资产定价模型（CAPM）和套利定价理论（APT）是关于资本市场均衡的两个比较著名的模型。二种模型虽然在解释的角度、基本很设、方法、以及适用范围上均有重大区别，但是殊途同归，它们得出的结论是一致的：期望收益与风险之间存在着正相关的关系。     

基于CAPM对施工企业子公司风险评估的探究

我国证券市场存在明显的投机性与政府干预性，这与资本资产定价模型（CAPM）的基本假设严重背离，所以该模型在我国证券市场上的运用就缺乏可行性，本文旨在为该模型的有效运用提出一些想法。     

CAPM在上海股市的实证检验

资本资产定价模型(CAPM)自诞生以来,它的有效性经历了无数中外学者的实证研究和检验,有些支持和肯定,有些则提出了质疑和挑战。CAPM在上海股市是否具有适用性?笔者通过时间序列和横截面等检验方法进行了分析。结果表明,资本资产定价模型在我国上海股市并不适用。     

管理层股权激励逻辑悖论的理论解释

理论研究表明,管理层股权激励能有效解决委托代理问题,缓冲所有者和管理者之间的利益冲突,减少代理成本,提升企业绩效与价值。但实证研究却得出不一致的结论,出现股权激励逻辑悖论。本文用新制度经济学中人力资本产权理论和契约结构理论从宏观和微观两个层面对这一悖论的成因进行解释。     

资本资产定价模型(CAPM)的文献综述

20世纪60年代,夏普(William Sharpe),林特尔(John Lintner)以及莫森(Jan Mossin)等人在马克维茨投资组合理论的基础上分别建立了资本资产定价模型(Capital Asset Pricing Model,简称CAPM)。鉴于这一理论的简捷性与可操作性,该模型一经提出便对金融理论的实践和发展产生了巨大的影响,成为现代金融学的理论基础。但是,其有效性也广受国内外学者质疑。本文通过对国内外相关文献的回顾,对资本资产定价模型的争论进行一些梳理,以求为探求资本资产定价模型在中国市场上的应用提供理论参考价值。     

CAPM在上海股市的实证检验

资本资产定价模型(CAPM)自诞生以来,它的有效性经历了无数中外学者的实证研究和检验,有些支持和肯定,有些则提出了质疑和挑战。CAPM在上海股市是否具有适用性?笔者通过时间序列和横截面等检验方法进行了分析。结果表明,资本资产定价模型在我国上海股市并不适用。     

CAPM在上证A股市场的有效性检验

随着2005年下半年我国证券市场大牛市行情的出现,市场本身在制度法规等各方面进行了很多创新.但从CAPM的角度来分析上证市场效率的现状,实证的结果无法说明上证A股市场在本轮牛市中是有效的,这样也就无法验证近几年的改革创新使中国股市环境得到改善这一判断.而导致模型失败的深层因素即CAPM本身的适用性问题,也许更应该引起我们的注意.     

CAPM模型在中国资本市场中的实证检验

本文采用中国上海资本市场的交易数据对资本资产定价模型(C A PM)的适用性进行了两个方面的检验:资产的风险和收益之间是否存在线性关系;资产的风险和收益是否正相关。结果发现:2010年1月1日至2016年1月1日期间,上海资本市场股票组合的平均超额收益率与其系统风险之间存在正相关关系,与非系统风险不存在显著的线性关系,基本符合标准形式的CAPM。     

基本要素均衡汇率的逻辑结构与悖论——基于汇率杠杆属性对FEER的超越

本文从梳理基本要素均衡汇率学说(FEER)的内在逻辑出发,发现了FEER内在的逻辑悖论:以实现内外均衡为目标的均衡汇率只能在内部均衡和外部均衡分别实现平衡的情况下才能实现,FEER只能是“锋刃上的均衡”;这同时颠覆了FEER作为政策指南的初衷。FEER的逻辑悖论是由对汇率作用的认识造成的,本文基于汇率的杠杆属性提出了超越FEER的可能路径。     

债权抵押债券运作机理及其在我国的前景分析

自2008年美国次贷危机爆发以来,CDO成为人人谈之色变的毒物。本文在简单介绍CDO运作原理的基础上,着重分析其特性是否能够为我国金融市场的发展带来良好的变化与引导,同时通过分析我国市场现状,对开辟本土CDO市场提出了一些疑问与建议。     

Options Trading and the CAPM

This article studies equilibrium asset pricing when agents facenonnegative wealth constraints. In the presence of these constraintsit is shown that options on the market portfolio are nonredundantsecurities and the economy's pricing kernel is a function ofboth the market portfolio and the nonredundant options. Thisimplies that the options should be useful for explaining riskyasset returns. To test the theory, a model is derived in whichthe expected excess return on any risky asset is linearly related(via a collection of betas) to the expected excess return onthe market portfolio and to the expected excess returns on thenonredundant options. The empirical results indicate that thereturns on traded index options are relevant for explainingthe returns on risky asset portfolios.     

Sentiment-scaled CAPM and market mispricing

This study explores the conditional version of the capital asset pricing model on sentiment to provide a behavioural intuition behind the value premium and market mispricing. We find betas (β) and the market risk premium to vary over time across different sentiment indices and portfolios. More importantly, the state β derived from this sentiment-scaled model provides a behavioural explanation of the value premium and a set of anomalies driven by mispricing. Different from the static β–return relation that gives a flat security market line, we document upward security market lines when plotting portfolio returns against their state βs and portfolios with higher state βs earn higher returns.     

Paradox,accounting values,and intelligible regulation

Expected utility theory, which includes estimating the probabilities of uncertain future outcomes, is the classical model for rational economic decision making, and, by implication, rational valuation and financial reporting regulation. In Wittgensteinian terms it is a ‘hinge’ of the language game in which these practices are embedded. When rendered explicit, however, this ‘hinge’ appears to be formally incoherent. The exploration of this problem has consequences for all of our arguments over the epistemological underpinnings of accounting reports – whether realist, representational, constructivist, or otherwise.Arguably, there are two complementary primitive models that underlie real-world probability estimation. Taken together, they generate a version of Goodman's inductive paradox (other versions of which also arise for non-inductive empirical generalisation). This, in its turn, is related to Kripke's paradox, which arises when we try to give behavioural accounts of rule following, and so of participation in a language game.This paper explicates this type of paradox in the context of commercial decision making, and considers its consequences. The existence of paradoxes should render the system that generates them completely incoherent, but (paradoxically …) they seem to be generated by any attempt to give complete accounts of some of the normative fundamentals which underlie linguistic practice – such as truth-telling, validity and rule-following.Whether or not these paradoxes represent a serious threat to the coherence of the empirical or behavioural sciences, it might be objected that commercial decision making methods and financial regulation rarely aspire to the kind of rigour that these disciplines attempt to achieve. Part of the argument of this paper will be that the intelligibility of commercial language suggests an approach to these paradoxes which is not obvious from more traditional philosophical perspectives.The intentionality of belief renders certain belief claims by participants in a shared language game incorrigible (within the game), in the sense that they can be doubted only by doubting the seriousness or quality of participation. If certain statements about rule following and word meaning have this same quality, then there is a way of avoiding the consequences of Goodman's and Kripke's paradoxes, and of sterilising the probability estimation paradox for any playable commercial language game.     

Obesity,Mortality, and the Obesity Paradox

The percentage of the population who are obese has grown dramatically on a worldwide basis over the last several decades, although the growth in the prevalence of obesity has slowed recently at a high level in the United States. Although there have been numerous studies of the effect of this trend on mortality, the findings have been inconsistent and controversial, in part because of methodological differences and the complexity of the relationships between obesity and mortality. The objective of this article is to discuss the issues surrounding these relationships and to shed light on the likely effects of the obesity epidemic on mortality. Of particular interest is the so-called obesity-mortality paradox, where mortality experience is lower for overweight and in some cases obese individuals than for those of normal weight. Although more recent studies of the relationship between mortality and obesity seem to indicate those who are obese have experienced a reduced percentage of additional mortality, this may in part be due to the shorter average time those currently obese have been exposed to their condition, the heterogeneity of the normal and obese populations, measurement issues including treatment of smokers and those who are ill, and study design limitations. An increased number of premature deaths may arise as more individuals who are obese are exposed for a longer period to excess adiposity. Although public policy issues surrounding obesity are being addressed with a great deal of activity and publicity, they have and will continue to prove quite challenging for both individuals and society to manage and overcome. The prevalence of obesity has had and will continue to have a significant effect on the mortality experience in most areas of actuarial practice. As a result, it is important for actuaries to enhance their understanding of these effects.     

Actual share repurchases,timing and liquidity

Research on the impact of open market share repurchases has been hindered by the lack of data available on actual share repurchases in many countries, including the US. Using a previously unused database containing detailed information on 36,848 repurchases made by 352 French firms, we show that corporate share repurchases have a significant adverse effect on liquidity as measured by bid–ask spread or depth. Our results also indicate that share repurchases largely reflect contrarian trading rather than managerial timing ability.     

CAPM and APT-like models with risk measures

The paper deals with optimal portfolio choice problems when risk levels are given by coherent risk measures, expectation bounded risk measures or general deviations. Both static and dynamic pricing models may be involved. Unbounded problems are characterized by new notions such as (strong) compatibility between prices and risks. Surprisingly, the lack of bounded optimal risk and/or return levels arises for important pricing models (Black and Scholes) and risk measures (VaR, CVaR, absolute deviation, etc.). Bounded problems present a Market Price of Risk and generate a pair of benchmarks. From these benchmarks we introduce APT and CAPM-like analyses, in the sense that the level of correlation between every available security and some economic factors explains the security expected return. The risk level non correlated with these factors has no influence on any return, despite the fact that we are dealing with risk functions beyond the standard deviation.     

The Conditional CAPM and the Cross-Section of Expected Returns

Most empirical studies of the static CAPM assume that betas remain constant over time and that the return on the value-weighted portfolio of all stocks is a proxy for the return on aggregate wealth. The general consensus is that the static CAPM is unable to explain satisfactorily the cross-section of average returns on stocks. We assume that the CAPM holds in a conditional sense, i.e., betas and the market risk premium vary over time. We include the return on human capital when measuring the return on aggregate wealth. Our specification performs well in explaining the cross-section of average returns.