股权溢价之谜：经济含义及对中国的启示

股权溢价之谜自被提出来起就引起了广泛关注，是金融经济学和资产定价理论近二十年来的热门话题。中国对此问题的研究才刚刚开始，得出的结论也不尽一致。对股权溢价之谜的经济含义进行了详细分析，对中国相关经济政策的制定具有重要启示。     

理性定价、选择偏差与消费资本资产定价谜团——来自中国证券市场的经验证据

股权溢价之谜和无风险利率之谜的存在集中反映了收益与风险不对等的关系,对现代金融理论的理性定价思想构成强有力的挑战,是消费资本资产定价模型实证检验中急待解决的难题。本文以中国1991年至2003年期间的证券市场为研究对象,讨论了研究方法的选择偏差对两大谜团可能产生的影响。实证研究发现:由于存在研究方法的选择偏差,两大谜团存在与否的结论本身不具备很强的稳定性和可靠性,并不能为理性定价学派与非理性定价学派孰是孰非提供直接的证据。     

预防性储蓄、流动性约束与中国居民消费计量分析

一、引言 近年来,消费理论研究领域出现了两个引人注目的分支:预防性储蓄和流动性约束假说,这对于分析中国的居民消费行为提供了一个崭新的视角,因为1978年以来的消费波动确实存在着许多传统理论难以解释的问题。目前,国内已经有学者开始运用这些新理论对消费问题进行研究。宋铮(1999)较早地把收入的不确定性对中国居民储蓄的影响定量化,这无疑是一个很重要的开端,但他对预期值的处理过于简单化,不确定性变量的选取也欠准确。之     

中国居民消费/储蓄行为的一个理论模型

本文在随机动态优化的框架下,考虑中国经济的具体特征,重新建立了我国居民消费/储蓄行为的理论模型.其要点是:消费支出本身就具有外生不确定性;"摸着石头过河"改革中制度变量的演进具有马尔科夫性.在一般性的不确定性设定下,我们解出了解析解并论证:支出和收入的双重不确定性增强了居民的预防性储蓄动机,中国式改革的性质导致了消费的过度敏感性,我国平均消费倾向将呈现一个"U"形变动.文章最后给出了刺激消费的政策建议.     

居民收入、消费与储蓄关系的分析与思考

居民收入、消费与储蓄关系的分析与思考周富贵，梁心雷，李云霞，柳祖忠，许正超居民储蓄伴随经济高速增长出现持续、高幅增长。储蓄与居民收入、物价、消费等因素相互关联，对国家制定宏观货币、投资政策影响深远，因此对储蓄内在机制及增长规律的剖析，具有很强的现实意...     

浅谈储蓄与消费

<正> 近年来我国的储蓄存款出现了巨额增长,卖方市场却出现了疲软局面。在这种情况下,理论界对储蓄与消费的关系问题提出异议。有些同志认为“储蓄增长过猛,因而抑制了消费,引起了市场疲软”,有的还提出“降低储蓄利率,使储蓄存款转化为即期消费,以活跃卖方市场。”笔者对此,试就当前的储蓄与消费及市场疲软谈一点粗浅的看法。     

我国资产价格对居民银行储蓄的溢价效应:理论分析及实证检验

本文从投资者的获利动机出发,提出资产价格对居民银行储蓄存在着溢价效应。然后用资本资产定价模型(CAPM)分析其作用机理,并以向量误差修正模型(VECM)检验了该效应在中国资产市场上的存在性,结论为溢价效应同时存在于股票和房地产市场上。若要该效应发挥效力,就需要从金融产品创新、金融监管、金融体系改革等方面着手用力。     

预防性储蓄假说与中国居民储蓄行为研究综述

中国居民储蓄持续高增长引起了广泛关注,不少学者运用预防性储蓄假说来解释中国居民储蓄行为,试图为中国经济可持续发展提供良方。文章在回顾预防性储蓄假说学术思想和研究进展的基础上,对中国居民储蓄行为的研究进行述评。     

基于风险基金的资本资产定价模型

本文提出并证明了基于风险基金的CAPM模型。基于风险基金的CAPM模型描述了资产的收益与风险之间的线性关系 ,其中资产的风险定义为资产收益率与风险基金收益率的协方差除以风险基金收益率的方差。作为应用例子 ,本文使用基于风险基金的CAPM模型证明了著名的CCAPM模型。     

公司治理、股票估值与资产定价

鉴于公司治理的重要性,上市公司越来越重视公司治理信息的披露,监管部门等机构出台了相关的公司治理披露政策,进而使得投资者购买公司股票时,能够考虑公司治理因素。由内在价值理论和相对估值理论组成的传统估值理论没有考虑公司治理因素,公司治理是否影响股票价格和如何影响股票价格问题有待深入研究。在资产定价模型中,单因素模型和多因素模型的解释能力不是很理想,公司治理风险因子的提出将有利于完善定价模型,治理溢价这个市场异例的本质、检测和存在原因将是未来公司治理关注的焦点之一。     

Wealth Inequality and Asset Pricing

In an Arrow–Debreu exchange economy with identical agents except for their initial endowment, we examine how wealth inequality affects the equilibrium level of the equity premium and the risk-free rate. We first show that wealth inequality raises the equity premium if and only if the inverse of absolute risk aversion is concave in wealth. We then show that the equilibrium risk-free rate is reduced by wealth inequality if the inverse of the coefficient of absolute prudence is concave. We also prove that the combination of a small uninsurable background risk with wealth inequality biases asset pricing towards a larger equity premium and a smaller risk-free rate.     

Stochastic Dominance, Pareto Optimality, and Equilibrium Asset Pricing

This paper introduces the concept of a factor subspace in competitive equilibrium asset pricing. A factor subspace contains the market portfolio and is such that every marketed contingent claim is second-order stochastically dominated by a claim from the factor subspace. Conditions are given for the existence of equilibrium, and it is shown how APT and CAPM can be interpreted in the framework of the paper. If sufficiently many call options on the market portfolio are traded, then the space spanned by these options can be used as the factor subspace.     

Rational Pessimism, Rational Exuberance, and Asset Pricing Models

The paper estimates and examines the empirical plausibility of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long-run risks (LRR) model of Bansal and Yaron, low-frequency movements, and time-varying uncertainty in aggregate consumption growth are the key channels for understanding asset prices. In another, as typified by Campbell and Cochrane, habit formation, which generates time-varying risk aversion and consequently time variation in risk premia, is the key channel. These models are fitted to data using simulation estimators. Both models are found to fit the data equally well at conventional significance levels, and they can track quite closely a new measure of realized annual volatility. Further, scrutiny using a rich array of diagnostics suggests that the LRR model is preferred.     

The Consumption/Wealth and Book/Market Ratios in a Dynamic Asset Pricing Contex

This paper addresses new insights into the predictability of financial returns. In particular, we analyze two aspects of the controversial forecasting literature. On the one hand, we demonstrate a positive and contemporaneous link between aggregate book/market and consumption/wealth ratios. On the other hand, we show that real estate and human capital, as the present value of all future salaries, are key components of the consumption/wealth ratio in Spain. Specifically, we find that the cointegrating residuals of consumption, asset holdings, real estate holdings, and our measure of human capital provide a better forecast of future returns than does the standard proxy of the consumption/wealth ratio. This result is important because it clarifies the importance of country-specific components of wealth for cases in which the consumption/wealth ratio is employed as an instrument in conditional asset pricing models.Belén Nieto: Financial support from the Ministerio de Ciencia y Tecnología grant SEJ2005-09372 is gratefully acknowledged.Rosa Rodríguez: Financial support from the Ministerio de Ciencia y Tecnología grant SEC2003-06457 is gratefully acknowledged.     

Can the Consumption Capital Asset Pricing Model Account for Traders' Expected Currency Returns?

This study uses survey data on traders' exchange rate forecasts to test whether their expected excess returns are related to the covariance between the exchange rate and consumption; as predicted by the consumption capital asset pricing model (CCAPM). The covariance is measured through the novel use of rolling windows of the realized covariance (both forward and backward looking) and testing is conducted with the cointegrated VAR. The model is able to account for expected returns with more plausible degrees of risk aversion, but only when using sufficiently long, backward‐looking measures of the covariance. This suggests that market participants assess risk, in part, based upon the pro‐cyclicality of returns, and infer it from experience in the recent past. There is also evidence that inclusion of the real exchange rate improves the plausibility of the estimates and the model fit.     

企业家的最优投资消费与定价

笔者考虑一个面临随机需求风险的企业家,如何通过消费平滑、风险管理及有成本地动态调整资本资产规模,实现消费效用最大化的公司金融问题.笔者运用动态随机控制方法,得到了非完备市场与非风险中性下企业资本的平均价值与边际价值的半闭式解及相应的最优经营策略;基于经典的资本资产定价(CAPM)理论,得到了企业家的期望收益率、企业的贝塔系数和风险溢价.数值结果表明,在非完备市场下企业家的风险态度对企业资本价值、贝塔系数、风险溢价、企业家的期望收益率及相应的最优经营策略等都具有显著影响.     

Anchoring-Adjusted Capital Asset Pricing Model

What happens when the capital asset pricing model is adjusted for the anchoring and adjustment heuristic of Tversky and Kahneman [1974 Tversky, A., and D. Kahneman. “Judgment Under Uncertainty: Heuristics and Biases.” Science, 185, (1974), pp. 1124–1131.[Crossref], [PubMed], [Web of Science ®] , [Google Scholar]]? The surprising finding is that adjusting the capital asset pricing model for anchoring provides a plausible unified framework for understanding almost all of the key asset pricing anomalies. The anomalies captured in the theoretical framework include the well-known size and value effects, high alpha of low beta stocks, accruals, low volatility anomaly, momentum effect, stock splits, and reverse stock splits. The market equity premium is also larger with anchoring. This suggests that the anchoring-adjusted capital asset pricing model may provide the needed unifying structure to behavioral finance.     

异质信念资产定价研究

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,3种学说和3种定价理论同时存在干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3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。