证券投资学专题研究生专用

中国矿业大学(北京)彭宇金融博士证券投资学专题研究生专用中国矿业大学(北京)彭宇金融博士AssetPricingTheory•VariableRareDisasters:AnExactlySolvedFrameworkforTenPuzzlesinMacro-Finance中国矿业大学(北京)彭宇金融博士Thislectureincorporatesatime-varyingintensityofdisastersintheRietz-Barrohypothesisthatriskpremiaresultfromthepossibilityofrare,largedisasters.Duringadisaster,anasset’sfundamentalvaluefallsbyatime-varyingamount.Thisinturngeneratestime-varyingriskpremiaandthusvolatileassetpricesandreturnpredictability.Usingtherecenttechniqueoflinearity-generatingprocesses(Gabaix2007),themodelistractable,andallpricesareexactlysolvedinclosedform.Inthe“variableraredisasters”framework,thefollowingempiricalregularitiescanbeunderstoodqualitatively:(i)equitypremiumpuzzle(ii)risk-freerate-puzzle(iii)excessvolatilitypuzzle(iv)predictabilityofaggregatestockmarketreturnswithprice-dividendratios(v)valuepremium(vi)oftengreaterexplanatorypowerofcharacteristicsthancovariancesforassetreturns(vii)upwardslopingnominalyieldcurve(viiii)asteepyieldcurvepredictshighbondexcessreturnsandafallinlongtermrates(ix)corporatebondspreadpuzzle(x)highpriceofdeepout-of-the-moneyputs.Thefearofdisastercanbeinterpretedliterally,orcanbeviewedasatractablewaytomodeltime-varyingrisk-aversionorinvestorsentiment.中国矿业大学(北京)彭宇金融博士1Introduction•Lately,therehasbeenarevivalofahypothesisproposedbyRietz(1988),thatthepossibilityofraredisasters(suchaseconomicdepressionsorwars)isamajordeterminantofassetriskpremia.Indeed,•Barro(2006)hasshownthat,internationally,disastershavebeensucientlyfrequentandlargetomaketheRietz’proposalviable,andaccountforthehighriskpremiumonequities.中国矿业大学(北京)彭宇金融博士A.Stockmarket:Puzzlesabouttheaggregates•1.Equitypremiumpuzzle.•2.Risk-freeratepuzzle.•3.Excessvolatilitypuzzle:Stockpricesaremorevolatilethanwarrantedbyamodelwithaconstantdiscountrate.•4.Aggregatereturnpredictability:FutureaggregatestockmarketreturnsarepartlypredictedbyPrice/EarningsandPrice/Dividendratios,andtheConsumption/Aggregatewealthratio.中国矿业大学(北京)彭宇金融博士B.Stockmarket:Puzzlesaboutthecross-sectionofstocks•5.Value/Growthpuzzle:Stockswithahigh(resp.low)P/Dratiohavelower(resp.high)futurereturns,evencontrollingfortheircovariancetheaggregatestockmarket.•6.CharacteristicsvsCovariancespuzzles:Stockcharacteristics(e.g.theP/Dratio)oftenpredictfuturereturnsaswellorbetterthancovarianceswithriskfactors.中国矿业大学(北京)彭宇金融博士C.Nominalbondpuzzles:Yieldcurve•7.Theyieldcurveslopesuponaverage.Thepremiumoflong-termyieldsovershort-termyieldsistoohightobeexplainedbyatraditionalRBCmodel.Thisisthemirrorimageoftheequitypremiumpuzzleforbonds.•8.Fama-Bliss,Campbell-Shiller,Cochrane-Piazzesifacts:Ahighslopeoftheyieldcurvepredictsexcesshighpositivereturnsonlongtermbonds,andthatlongterminterestrateswillfall.中国矿业大学(北京)彭宇金融博士D.Nominalbondpuzzles:Creditspreads•9.Corporatebondspreadsarehigherthanseeminglywarrantedbyhistoricaldefaultrates.•E.Options•10.Highpriceofdeepofout-of-the-moneyputs.中国矿业大学(北京)彭宇金融博士09年提出的金融问题•AccountingDisclosure(财务公开)•AgencyCostsandDelegatedPortfolioManagement(代理费以及资产托管•AnalystsandFinancialMarketing•AssetPricingTheory•BankLiquidityandRegulation(银行流动性及规则)•BankruptcyandDistress(破产和危机)•BehavioralFinanceDoBehavioralBiasesMatterinMarkets(行为金融学的市场行为倾向)•BlockholdersandFamilyMembers•CorporateBoards•CorporateBondPricing•CorporateCapitalStructure中国矿业大学(北京)彭宇金融博士09年提出的金融问题•CorporateDebtIssuanceandStructure•CorporateFinanceTheory•CorporateGovernance•CorporateGovernanceRegulation•CorporateMisreporting(传言)•CreditMarkets•CreditRisk•DiversificationandInternalCapitalMarkets(衍生物及国内资本市场)•DynamicsofAssetReturns•EarningsInformationandEarningsManagement•EmergingMarkets•EmployeeCompensation•EquilibriumAssetPricing•ExecutiveCompensation(补偿)•FinancialEconometrics•FinancialRiskManagement中国矿业大学(北京)彭宇金融博士09年提出的金融问题•FinancingandCapitalAllocation(资金划拨)•FundPerformanceEvaluation(基金评估)•HedgeFunds•HeterogeneityandtheCross-sectionofReturns(截面回报率)•HousingandLong-RunRisk•ImplicationsoftheCreditCrisisfortheRegulationofNon-BankFinancialFirms•InformedTradingandPriceDynamics•InitialPublicOfferings•InterestRates,GovernmentDebt•InternationalFinanceStructuralFrictions•InternationalGovernanceEvidencefromIndividualCountries•LiquidityandArbitrageurCapital(流动性与套利)•MacroVariablesandAssetReturns•MarketIntegrationandInternationalPortfolioDiversification中国矿业大学(北京)彭宇金融博士09年提出的金融问题•MergersandAcquisitions•MutualFunds•OpaqueOver-the-CounterMarkets(不透明柜台市场)•OptionsandOtherDerivatives•PayoutPolicy•PortfolioChoice•PreferencesandPortfolioChoice•RealProduction,Investment,andPrices•TakeoversandEquityOfferings•TheCEOLaborMarket•TheProcessofMergers&Acquisitions•TheRoleofMediainFinance•TradingMechanismsandStrategies•UncertaintyandStockReturnPredictability(股票不确定性及回报预测)•VentureCapital中国矿业大学(北京)彭宇金融博士AssetPricingTheory•VariableRareDisasters:AnExactlySolvedFrameworkforTenPuzzlesinMacro-Finance中国矿业大学(北京)彭宇金融博士Thislectureincorporatesatime-varyingintensityofdisastersintheRietz-Barrohypothesisthatriskpremiaresultfromthepossibilityofrare,largedisasters.Duringadisaster,anasset’sfundamentalvaluefallsbyatime-varyingamount.Thisi