对套利定价理论及应用的认识

本文从套利的一般概念入手，分析了套利的基本特点，叙述了套利定价理论(APT)的基本假设，APT的主要推导思路及主要结论，指出了应用APT进行套利交易的一般过程，并对套利定价理论和资本资产定价模型(CAPM)进行了比较，最后提出对几个相关问题的思考。     

Currency returns and downside risk: Debt,volatility, and the gap from benchmark values

The paper considers competing portfolio-balance specifications of currency returns, including one based on expected utility theory and another on prospect theory. The prospect theory specification relates downside risk to the gap between the exchange rate and its benchmark value. The empirical analysis uses survey data on exchange rate expectations to test directly the models’ predictions concerning ex ante excess returns. It also relies on the cointegrated VAR framework, which is well suited for testing competing models and dealing with unit roots. Like earlier studies, we find little support for the expected utility theory model in three major currency markets. By contrast, the prospect theory model’s predictions are largely borne out in the data, including those about sign reversals. We find the strongest support for a hybrid model that incorporates the risk factors of both models.     

The Idiosyncratic Risk-Return Relation: A Quantile Regression Approach Based on the Prospect Theory

Given some debate on the empirical idiosyncratic risk-return relation in the literature, we reexamine the relation using a quantile regression approach based on the prospect theory developed by Kahneman and Tversky [1979]. The quantile regression approach allows the coefficient on the independent variable (idiosyncratic risk) to vary across the distribution of the dependent variable (return). Our sample consists of stocks traded on the NYSE, AMEX, and NASDAQ during 1980–2010: 80,324 firm-year observations and 8,123 firms in total. The quantile regression results show that idiosyncratic risk is positively (negatively) related to returns at the high (low) quantiles of returns. The findings are consistent with the prospect theory that investors have a tendency to be less (more) willing to gamble with profits (losses). The results also demonstrate that the least-squares and least-sum optimization methods commonly used in prior research do not capture the relations between idiosyncratic risk and returns at the tail parts of the distribution of returns. Therefore, our empirical results provide new insights into the idiosyncratic risk-return relation in the literature.     

A stylized model of home buyers’ and bankers’ behaviours during the 2007-2009 US subprime mortgage crisis: a predatory perspective

We examine the behaviour of market agents during the years leading to the 2008 US subprime mortgage crisis using a stylized capital asset pricing model model. In our study, an average investor eager to make money by flipping houses meets a banker who offers him subprime mortgage deals. We refer to recent research that shows the mechanics of the psychological and behavioural components of these two market agents. In particular, much in line with the famous Stanford experiment, it is assumed that investors adopt a predator or a prey position. Our analysis shows that, given a historical tendency towards financial predatory acts on the part of market agents (including buyers), government regulations should be adapted and strengthened to face this dooming reality.     

金融危机背景下银行类股票β值及其稳定性的实证检验

在金融研究中,风险和收益、个股与整个股市的波动一直是人们最为关注的问题。特别是在2007年8月美国次贷危机迅速蔓延后,各个公司更加重视股市波动的研究,以求最大限度地规避风险、获得最大收益。在金融研究中,人们通常用期望值表示收益,用方差和标准差来衡量风险。而在两者的关系研究中,资本资产定价模型反映了均衡状态下单个证券的预期回报与其相对市场风险值之间的关系,也描述了证券的风险溢价与市场组合风险溢价之间的关系。选择金融危机迅速传播后的2007年8月到2011年10月21日为研究时间段,选择上海证券交易所A股市场的浦发银行（600000）等14只银行类股票为研究对象,确定它们的值,研究银行类股票与整个股市波动的相关性,说明它们的风险溢价与市场组合风险溢价之间的变动关系。考虑到在所选时间段中,2010年3月开展的融资融券业务可能会对股票值的稳定性有所影响,因此,在求出这些股票的值后,还对这些股票值的稳定性进行了Chow检验。     

Rational functions: an alternative approach to asset pricing

This paper shows that asset prices are linear polynomials of various underlying explanatory factors and asset returns being ratios of these polynomials, are rational functions that do not add linearly when averaging. Hence, average returns should be modeled based on stock prices. However, continuous returns may be treated as approximately linear across time and modeled directly. Our new Rational Function (RF) models, empirically outperform the traditional asset pricing models like the Capital Asset Pricing Model (CAPM) and the Fama–French three and five-factor models for both average and continuous returns. Moreover, the RF theory also provides a model to estimate the asset volumes. The average change in asset volumes together with average returns provide the estimates for average change in market values of assets. Thus, the RF model approach can be used to select assets that provide either highest returns for profit maximization or highest change in market values for wealth maximization for given levels of risk.     

On non-ergodic asset prices

We investigate the asset prices dynamics and the long-run market shares of two competing financial mediators who are selected by consumers. We demonstrate that the social interaction among consumers constitutes an endogenous path-depending source of risk in a financial market. Depending on consumers’ evaluation of the mediator’s investment, asset prices may behave in a non-ergodic manner: the price process converges in distribution but the limiting distribution is not necessarily uniquely determined, its multiplicity being characterized by the multiplicity of possible long-run market shares. The convergence of the process is sensitive to initial conditions and depends on the history of noise-trader transactions. Long-run portfolio holdings may be in-efficient since investors holding mean-variance efficient portfolios may not be identified.     

The cost of capital in internationally integrated markets: The case of Nestlé

This paper argues that the cost of capital for firms in small countries should be estimated using the global CAPM rather than a local CAPM. Two related formulas showing the mistake made when using a local CAPM rather than a global CAPM are presented. the global CAPM is implemented for the case of Nestlé and the results are compared to the cost of capital estimate one obtains for Nestlé using a local CAPM when the global CAPM is appropriate.     

Size and book to market effects and the Fama French three factor asset pricing model: evidence from the Australian stockmarket

The present study adds to the sparse published Australian literature on the size effect, the book to market (BM) effect and the ability of the Fama French three factor model to account for these effects and to improve on the asset pricing ability of the Capital Asset Pricing Model (CAPM). The present study extends the 1981–1991 period examined by Halliwell, Heaney and Sawicki (1999) a further 10 years to 2000 and addresses several limitations and findings of that research. In contrast to Halliwell, Heaney and Sawicki the current study finds the three factor model provides significantly improved explanatory power over the CAPM, and evidence that the BM factor plays a role in asset pricing.     

我国证券投资基金绩效的实证研究

本文简要地介绍了证券投资基金研究的背景,论述了资本资产定价理论和基金绩效评价指标——风险与收益,在借鉴国际研究理论和实践的基础上,针对我国实际重点从投资基金基本收益能力、总体投资能力、开放式基金与封闭式基金比较、投资组合结构等方面,对国内投资基金绩效进行实证研究,并为基金业的健康快速发展提出了对策和建议。