行為金融學(xué)課件-第四講-股票市場(chǎng)總體異象9

行為金融學(xué)第四講

股票市場(chǎng)總體異象第四講內(nèi)容24.1金融市場(chǎng)經(jīng)典事實(shí)4.2股票市場(chǎng)總體異象4.2.1股權(quán)溢價(jià)之謎4.2.2無(wú)風(fēng)險(xiǎn)利率之謎4.2.3波動(dòng)性之謎引子：美國(guó)股市百年投資回報(bào)3AmericanStockMarket(1889-1978)(MehraandPrescott,1985)(Citedby4950)這一現(xiàn)實(shí)發(fā)現(xiàn)是否和C-CAPM理論計(jì)算結(jié)果相一致？我們應(yīng)該如何驗(yàn)證C-CAPM理論？4.1

金融市場(chǎng)經(jīng)典事實(shí)StylizedFacts51.無(wú)風(fēng)險(xiǎn)資產(chǎn)回報(bào)低而且穩(wěn)定Risklessratesarerisklessonlynominally,butclosetorisklessinrealtermssinceinflationriskislowinshorthorizons.2.股票風(fēng)險(xiǎn)溢價(jià)高且市場(chǎng)波動(dòng)性大SharpeRatio:StylizedFacts63.消費(fèi)增長(zhǎng)平緩(fornondurablesandservices)4.股利增長(zhǎng)：比消費(fèi)增長(zhǎng)更具有波動(dòng)性，但比股票收益波動(dòng)性更小StylizedFacts75.消費(fèi)及股票市場(chǎng)相關(guān)性低6.無(wú)風(fēng)險(xiǎn)利率的可預(yù)測(cè)性PositiveserialcorrelationButisnotwellforecastbythestockmarketStylizedFacts87.消費(fèi)及股利增長(zhǎng)的低預(yù)測(cè)性Consumptionanddividendgrowthsarenotwellforecastbytheirownhistoryorbythestockmarket.Consumptionanddividendgrowthsaretypicallymodeledtobei.i.d.overtime.8.股票市場(chǎng)超額回報(bào)的可預(yù)測(cè)性Price-dividendratio(orprice-earning,price-bookequityratios)canforecastaggregatestockmarketexcessreturns.EquityPremiumPuzzle9股權(quán)溢價(jià)之謎：為什么股票風(fēng)險(xiǎn)溢價(jià)會(huì)如此高(6-7%)？MehraandPrescott(1985)HansenandSingleton(1982)EdwardsPrescott學(xué)術(shù)貢獻(xiàn)10通過(guò)對(duì)宏觀(guān)經(jīng)濟(jì)政策運(yùn)用中“時(shí)間一致性難題”的分析研究，為經(jīng)濟(jì)政策特別是貨幣政策的實(shí)際有效運(yùn)用提供了思路；在對(duì)商業(yè)周期的研究中，通過(guò)對(duì)引起商業(yè)周期波動(dòng)的各種因素和各因素間相互關(guān)系的分析，使人們對(duì)于這一現(xiàn)象的認(rèn)識(shí)更加深入；與盧卡斯合作探討了不確定性下的投資問(wèn)題和無(wú)窮區(qū)間的價(jià)格存在性問(wèn)題；和Mehra合作提出了金融理論的“風(fēng)險(xiǎn)溢價(jià)之謎”。EquityPremiumPuzzle11理論分析：則其中為風(fēng)險(xiǎn)厭惡系數(shù)，那么EquityPremiumPuzzle12理論分析：相應(yīng)的計(jì)算值：2x0.2x1%x16%=0.064%實(shí)際值：6-8%EquityPremiumPuzzle13Hansen-JagannathanBound:可以得到：（邊界）與此同時(shí)則要求What’swrongwith?EquityPremiumPuzzleLasPeterHansen他最出名的工作是廣義矩法，他也是一位宏觀(guān)經(jīng)濟(jì)學(xué)家，專(zhuān)注于金融和實(shí)體經(jīng)濟(jì)部門(mén)之間的聯(lián)系。因?yàn)閷?duì)資產(chǎn)價(jià)格實(shí)證分析方面的貢獻(xiàn)，與尤金·法馬、羅勃特·席勒共同獲得2013年諾貝爾經(jīng)濟(jì)學(xué)獎(jiǎng)14Risk-freeratePuzzle15Risk-freeRatePuzzle(Weil,1989)無(wú)風(fēng)險(xiǎn)利率之謎：當(dāng)風(fēng)險(xiǎn)厭惡系數(shù)滿(mǎn)足股權(quán)溢價(jià)之謎時(shí)，要求的風(fēng)險(xiǎn)厭惡程度非常高()理論上：

(此處表示時(shí)間折現(xiàn))在這種情況下：Ifweinsistonandahigh,thenweneedtobemuchlargethan1!EquityVolatilityPuzzle16Shiller(1981,1989)提出：實(shí)際股票價(jià)格波動(dòng)遠(yuǎn)遠(yuǎn)超過(guò)理論預(yù)期的價(jià)格波動(dòng)。理論預(yù)期：未來(lái)股利折現(xiàn)RobertShiller學(xué)術(shù)貢獻(xiàn)17希勒在金融市場(chǎng)、行為經(jīng)濟(jì)學(xué)、宏觀(guān)經(jīng)濟(jì)學(xué)、不動(dòng)產(chǎn)、統(tǒng)計(jì)方法以及市場(chǎng)公眾態(tài)度、意見(jiàn)與道德評(píng)判等方面，著作頗豐；1989年寫(xiě)的《市場(chǎng)波動(dòng)》對(duì)投機(jī)市場(chǎng)的價(jià)格波動(dòng)作了數(shù)學(xué)分析和行為分析；1993年寫(xiě)的《宏觀(guān)市場(chǎng)：建立管理社會(huì)最大經(jīng)濟(jì)風(fēng)險(xiǎn)的機(jī)制》提出了多種新的風(fēng)險(xiǎn)管理合同；《非理性繁榮》對(duì)1982年以來(lái)的股市繁榮作了一番分析和說(shuō)明，被紐約時(shí)報(bào)評(píng)為非科幻類(lèi)最暢銷(xiāo)書(shū)。EquityVolatilityPuzzle18TherealandexpectedstockpriceinAmerica(Shiller,1981)

EquityVolatilityPuzzle19fromIrrationalExuberance,2dedEquityVolatilityPuzzle20Shillerarguedthatinarationalstockmarket,investorswouldbasestockpricesontheexpectedreceiptoffuturedividends,discountedtoapresentvalue.HeexaminedtheperformanceoftheU.S.stockmarketsincethe1920s,andconsideredthekindsofexpectationsoffuturedividendsanddiscountratesthatcouldjustifythewiderangeofvariationexperiencedinthestockmarket.Shillerconcludedthatthevolatilityofthestockmarketwasgreaterthancouldplausiblybeexplainedbyanyrationalviewofthefuture.References21李心丹，《行為金融學(xué)——理論及中國(guó)證據(jù)》，第4章Mehra,Rajnish,andEdwardC.Prescott,1985,TheEquityPremiumAPuzzle,JournalofMonetaryEconomics15,145-161.Hansen,L.P.,K.J.Singleton,1982,GeneralizedInstrumentalVariablesEstimationofNonlinearRationalExpectationsModels,Econometrica50,1269-1286.Weil,Philippe,1989,TheEquityPremiumPuzzleandtheRisk-freeRatePuzzle,JournalofMonetaryEconomics24,401-421.Shiller,Robert,1981,Dostockpricesmovetoomuchtobejustifiedbysubsequ