资产定价理论实证研究的扩展与应用——2013年度诺贝尔经济学奖得主主要经济理论贡献述评
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外国经济与管理 2013 年 第 35 卷第 11 期, 页码：70 - 81
摘要
参考文献
摘要
本文首先介绍了今年诺贝尔经济学奖得主的生平;然后在统计推断的统一分析框架下,以检验统计量是否超出随机性可以解释的程度为线索,较为详细地述评了法玛对有效市场假说(EMH)的检验和三因素模型的发展、希勒对过度波动假说的检验及对行为金融学的发展,以及汉森对广义矩估计法(GMM)及其在消费资产定价实证研究中的应用等方面的贡献;最后探讨了他们的贡献对金融实践活动以及深化我国金融体制改革和促进证券市场健康发展的意义。
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[2]Campbell J Y and Cochrane J H.By force of habit:A consumption-based explanation of aggregate stock market behavior[J].Journal of Political Economy,1999,107(2):205-251.
[3]Campbell J Y and Shiller R J.Robert Shiller interviewed by John Campbell[A].Samuelson P A and Barnett W A.Inside the economist’s mind:Conversations with eminent economists[C].New York:Blackwell/Wiley,2007.
[4]Case K E and Shiller R J.The efficiency of the market for single-family homes[J].American Economic Review,1989,79(1):125-137.
[5]Cochrane J H.New facts in finance[R].National Bureau of Economic Research,No.w7169,1999.
[6]Fama E F.The behavior of stock market prices[J]Journal of Business,1965,38(1):34-105.
[7]Fama E F,Fisher L.Jensen M and Roll R.The adjustment of stock prices to new information[J].International Economic Review,1969,10(1):1-21.
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[15]Ghysels E,Hall A and Hansen L P.Interview with Lars Peter Hansen[J].Journal of Business&Economic Statistics,2002,20(4):442-447.
[16]Hansen L P.Large sample properties of generalized method of moments estimators[J].Econometrica,1982,50(4):1029-1054.
[17]Hansen L P and Singleton K J.Generalized instrumental variables estimation of nonlinear rational expectations models[J].Econometrica:Journal of the Econometric Society,1982,50(5):1269-1286.
[18]Hansen L P.A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators[J].Journal of Econometrics,1985,30(1):203-238.
[19]Hansen L P and Jagannathan R.Implications of security market data for models of dynamic economies[J].Journal of Political Economy,1991,99(2):225-262.
[20]Hansen L P.Generalized method of moments estimation[A].Durlauf S N and Blume L E(Eds.).The new palgrave dictionary of economics[C].(Second Ed.),New York:Macmillan,2008.
[21]Jensen M C.The performance of mutual funds in the period1945-1964[J].Journal of Finance,1968,23(2):389-416.
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[23]Roll R.A critique of the asset pricing theory’s tests Part I:On past and potential testability of the theory[J].Journal of Financial Economics,1977,4(2):129-176.
[24]Sharpe W F.Capital asset prices:A theory of market equilibrium under conditions of risk[J].Journal of Finance,1964,19(3):425-442.
[25]Shiller R J.The volatility of long term interest rates and expectations models of the term structure[J].Journal of Political Economy,1979,87(6):1190-1219.
[26]Shiller R J.Do stock prices move too much to be justified by subsequent changes in dividends?[J].American Economic Review,1981a,71(3):421-436.
[27]Shiller R J.The use of volatility measures in assessing market efficiency[J].Journal of Finance,1981b,36(2):291-304.
[28]Shiller R J.Consumption,asset markets and macroeconomic fluctuations[R].Carnegie Rochester Conference Series on Public Policy,1982:203-238.
[29]Shiller R J.Stock prices and social dynamics[R].Carnegie Rochester Conference Series on Public Policy,1984:457-510.
[30]Shiller R J.Investor behavior in the 1987stock market crash:Survey evidence[R].NBER Working Paper,No.2446,1987.
[31]Shleifer A and Vishny R.The limits of arbitrage[J].Journal of Finance,1997,52(1):35-55.
[32]The Royal Swedish Academy of Sciences.Understanding Asset Prices[EB/OL].Royal Swedish Academy of Sciences,2013.
[33]陈灯塔,洪永淼.中国股市是弱式有效的吗——基于一种新方法的实证研究[J].经济学季刊,2003,(1):97-124.
[34]郭其友.斯蒂芬·罗斯对金融与经济学的贡献[J].经济学动态,2003,(5):81-85.
[35]洪永淼.计量经济学的地位、作用和局限[J].经济研究,2007,(5):139-153.
①关于金融问题的时间维度和风险维度的深入分析,可以参阅《中级金融理论》第1章,Danthine和Donaldson著,邹宏元等译,西南财经大学出版社,2008。
②即德意志银行金融经济学奖(Deutsche Bank Prize in Financial Economics,2005)、摩恩斯坦利美国金融协会金融杰出贡献奖(Morgan Stanley American Finance Association Award for Excellence in Finance,2007)和奥纳西斯金融学奖(Onassis Prize in Finance,2009)。
③马洛尼和马尔赫林对挑战者号航天飞机坠毁后股市反应的研究是有效市场假说的最生动案例。有兴趣的读者可以阅读马洛尼和马尔赫林(2003)的论文《有效市场价格发现的复杂性:股市对挑战者号坠毁的反应》,载于《应用微观经济学读本:市场的力量》,克莱格·M·纽马克编,刘勇译,格致出版社,2011。
④由协方差公式cov(x,y)=E(xy)-E(x)E(y)可以得到:E(xy)=E(x)E(y)+cov(x,y)。
⑤假设无风险资产未来可得到收益(payoff)等于1单位货币,即xt+1=1,代入式(7),其价格等于1单位货币按无风险利率贴现的现值。
[2]Campbell J Y and Cochrane J H.By force of habit:A consumption-based explanation of aggregate stock market behavior[J].Journal of Political Economy,1999,107(2):205-251.
[3]Campbell J Y and Shiller R J.Robert Shiller interviewed by John Campbell[A].Samuelson P A and Barnett W A.Inside the economist’s mind:Conversations with eminent economists[C].New York:Blackwell/Wiley,2007.
[4]Case K E and Shiller R J.The efficiency of the market for single-family homes[J].American Economic Review,1989,79(1):125-137.
[5]Cochrane J H.New facts in finance[R].National Bureau of Economic Research,No.w7169,1999.
[6]Fama E F.The behavior of stock market prices[J]Journal of Business,1965,38(1):34-105.
[7]Fama E F,Fisher L.Jensen M and Roll R.The adjustment of stock prices to new information[J].International Economic Review,1969,10(1):1-21.
[8]Fama E F.Efficient capital markets:A review of theory and empirical work[J].Journal of Finance,1970,25(2):383-417.
[9]Fama E F and MacBeth J D.Risk,return and equilibrium:Empirical tests[J].Journal of Political Economy,1973,81(3):607-636.
[10]Fama E F.Efficient capital markets II[J].Journal of Finance,1991,46(5):1575-1618.
[11]Fama E F and French K R.The cross-section of expected stock returns[J].Journal of Finance,1992,47(2):427-466.
[12]Fama E F and French K R.Multifactor explanations for asset pricing anomalies[J].Journal of Finance,1996,51(1):55-84.
[13]Fama E F.Market efficiency,long-term returns,and behavioral finance[J].Journal of Financial Economics,1998,49(3):283-306.
[14]Fama F.My life in finance[J].Annual Review of Financial Economics 2011,3:(1)1-15.
[15]Ghysels E,Hall A and Hansen L P.Interview with Lars Peter Hansen[J].Journal of Business&Economic Statistics,2002,20(4):442-447.
[16]Hansen L P.Large sample properties of generalized method of moments estimators[J].Econometrica,1982,50(4):1029-1054.
[17]Hansen L P and Singleton K J.Generalized instrumental variables estimation of nonlinear rational expectations models[J].Econometrica:Journal of the Econometric Society,1982,50(5):1269-1286.
[18]Hansen L P.A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators[J].Journal of Econometrics,1985,30(1):203-238.
[19]Hansen L P and Jagannathan R.Implications of security market data for models of dynamic economies[J].Journal of Political Economy,1991,99(2):225-262.
[20]Hansen L P.Generalized method of moments estimation[A].Durlauf S N and Blume L E(Eds.).The new palgrave dictionary of economics[C].(Second Ed.),New York:Macmillan,2008.
[21]Jensen M C.The performance of mutual funds in the period1945-1964[J].Journal of Finance,1968,23(2):389-416.
[22]Kothari S P and Warner J B.Econometrics of event studies[A].Eckbo B E(Ed.).Handbook of corporate finance:Empirical corporate finance(Vol.1)[C].North-Holland:Elsevier,2007:3-36.
[23]Roll R.A critique of the asset pricing theory’s tests Part I:On past and potential testability of the theory[J].Journal of Financial Economics,1977,4(2):129-176.
[24]Sharpe W F.Capital asset prices:A theory of market equilibrium under conditions of risk[J].Journal of Finance,1964,19(3):425-442.
[25]Shiller R J.The volatility of long term interest rates and expectations models of the term structure[J].Journal of Political Economy,1979,87(6):1190-1219.
[26]Shiller R J.Do stock prices move too much to be justified by subsequent changes in dividends?[J].American Economic Review,1981a,71(3):421-436.
[27]Shiller R J.The use of volatility measures in assessing market efficiency[J].Journal of Finance,1981b,36(2):291-304.
[28]Shiller R J.Consumption,asset markets and macroeconomic fluctuations[R].Carnegie Rochester Conference Series on Public Policy,1982:203-238.
[29]Shiller R J.Stock prices and social dynamics[R].Carnegie Rochester Conference Series on Public Policy,1984:457-510.
[30]Shiller R J.Investor behavior in the 1987stock market crash:Survey evidence[R].NBER Working Paper,No.2446,1987.
[31]Shleifer A and Vishny R.The limits of arbitrage[J].Journal of Finance,1997,52(1):35-55.
[32]The Royal Swedish Academy of Sciences.Understanding Asset Prices[EB/OL].Royal Swedish Academy of Sciences,2013.
[33]陈灯塔,洪永淼.中国股市是弱式有效的吗——基于一种新方法的实证研究[J].经济学季刊,2003,(1):97-124.
[34]郭其友.斯蒂芬·罗斯对金融与经济学的贡献[J].经济学动态,2003,(5):81-85.
[35]洪永淼.计量经济学的地位、作用和局限[J].经济研究,2007,(5):139-153.
①关于金融问题的时间维度和风险维度的深入分析,可以参阅《中级金融理论》第1章,Danthine和Donaldson著,邹宏元等译,西南财经大学出版社,2008。
②即德意志银行金融经济学奖(Deutsche Bank Prize in Financial Economics,2005)、摩恩斯坦利美国金融协会金融杰出贡献奖(Morgan Stanley American Finance Association Award for Excellence in Finance,2007)和奥纳西斯金融学奖(Onassis Prize in Finance,2009)。
③马洛尼和马尔赫林对挑战者号航天飞机坠毁后股市反应的研究是有效市场假说的最生动案例。有兴趣的读者可以阅读马洛尼和马尔赫林(2003)的论文《有效市场价格发现的复杂性:股市对挑战者号坠毁的反应》,载于《应用微观经济学读本:市场的力量》,克莱格·M·纽马克编,刘勇译,格致出版社,2011。
④由协方差公式cov(x,y)=E(xy)-E(x)E(y)可以得到:E(xy)=E(x)E(y)+cov(x,y)。
⑤假设无风险资产未来可得到收益(payoff)等于1单位货币,即xt+1=1,代入式(7),其价格等于1单位货币按无风险利率贴现的现值。
引用本文
李宝良, 郭其友. 资产定价理论实证研究的扩展与应用——2013年度诺贝尔经济学奖得主主要经济理论贡献述评[J]. 外国经济与管理, 2013, 35(11): 70–81.
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