证券投资学专题

( ) 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


Asset Pricing Theory

• Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance


This lecture incorporates a time-varying intensity of disasters in the Rietz-Barro hypothesis that risk premia result from the possibility of rare, large disasters. During a disaster, an asset’s fundamental value falls by a time-varying amount. This in turn generates time-varying risk premia and thus volatile asset prices and return predictability. Using the recent technique of linearity-generating processes (Gabaix2007), the model is tractable, and all prices are exactly solved in closed form. In the “variable rare disasters” framework, the following empirical regularities can be understood qualitatively: (i) equity premium puzzle (ii) risk-free rate-puzzle (iii) excess volatility puzzle (iv) predictability of aggregate stock market returns with price-dividend ratios (v) value premium (vi) often greater explanatory power of characteristics than covariances for asset returns (vii) upward sloping nominal yield curve (viiii) a steep yield curve predicts high bond excess returns and a fall in long term rates (ix) corporate bond spread puzzle (x) high price of deep out-of-the-money puts. The fear of disaster can be interpreted literally, or can be viewed as a tractable way to model time-varying risk-aversion or investor sentiment.


1 Introduction

• Lately, there has been a revival of a hypothesis proposed by Rietz (1988), that the possibility of raredisasters (such as economic depressions or wars) is a major determinant of asset risk premia. Indeed,

• Barro (2006) has shown that,internationally, disasters have been suciently frequent and large to make the Rietz’ proposal viable, and account for the high risk premium on equities.


A. Stock market: Puzzles about the aggregates

• 1. Equity premium puzzle.• 2. Risk-free rate puzzle.• 3. Excess volatility puzzle: Stock prices are more

volatile than warranted by a model with a constant discount rate.

• 4. Aggregate return predictability: Future aggregate stock market returns are partly predicted by Price/Earnings and Price/Dividend ratios, and the Consumption/Aggregate wealth ratio.


B. Stock market: Puzzles about the cross-section of stocks

• 5. Value/Growth puzzle: Stocks with a high (resp. low) P/D ratio have lower (resp. high) future returns,even controlling for their covariance the aggregate stock market.

• 6. Characteristics vs Covariances puzzles: Stock characteristics (e.g. the P/D ratio) often predict future returns as well or better than covariances with risk factors.


C. Nominal bond puzzles: Yield curve

• 7. The yield curve slopes up on average. The premium of long-term yields over short-term yields is too high to be explained by a traditional RBC model. This is the mirror image of the equity premium puzzle for bonds.

• 8. Fama-Bliss, Campbell-Shiller, Cochrane-Piazzesi facts: A high slope of the yield curve predicts excess high positive returns on long term bonds, and that long term interest rates will fall.


D. Nominal bond puzzles: Credit spreads

• 9. Corporate bond spreads are higher than seemingly warranted by historical default rates.

• E. Options

• 10. High price of deep of out-of-the-money puts.


09年提出的金融问题• Accounting Disclosure(财务公开 )• Agency Costs and Delegated Portfolio Management(代理费以及资产托管

• Analysts and Financial Marketing• Asset Pricing Theory• Bank Liquidity and Regulation (银行流动性及规则 )• Bankruptcy and Distress(破产和危机 )• Behavioral Finance Do Behavioral Biases Matter in Markets(行为金融学的市场行为倾向 )

• Blockholders and Family Members• Corporate Boards• Corporate Bond Pricing• Corporate Capital Structure


09年提出的金融问题• Corporate Debt Issuance and Structure• Corporate Finance Theory• Corporate Governance• Corporate Governance Regulation• Corporate Misreporting(传言 )• Credit Markets• Credit Risk• Diversification and Internal Capital Markets(衍生物及国内资本市场 )• Dynamics of Asset Returns• Earnings Information and Earnings Management• Emerging Markets• Employee Compensation• Equilibrium Asset Pricing• Executive Compensation(补偿 )• Financial Econometrics• Financial Risk Management


09年提出的金融问题• Financing and Capital Allocation(资金划拨 )• Fund Performance Evaluation(基金评估 )• Hedge Funds• Heterogeneity and the Cross-section of Returns(截面回报率 )• Housing and Long-Run Risk• Implications of the Credit Crisis for the Regulation of Non-Bank Fina

ncial Firms• Informed Trading and Price Dynamics• Initial Public Offerings• Interest Rates, Government Debt• International Finance Structural Frictions • International GovernanceEvidence from Individual Countries• Liquidity and Arbitrageur Capital(流动性与套利 )• Macro Variables and Asset Returns• Market Integration and International Portfolio Diversification


09年提出的金融问题• Mergers and Acquisitions• Mutual Funds• Opaque Over-the-Counter Markets(不透明柜台市场 )• Options and Other Derivatives• Payout Policy• Portfolio Choice• Preferences and Portfolio Choice• Real Production, Investment, and Prices• Takeovers and Equity Offerings• The CEO Labor Market• The Process of Mergers & Acquisitions• The Role of Media in Finance• Trading Mechanisms and Strategies• Uncertainty and Stock Return Predictability(股票不确定性及回报预测 )• Venture Capital


Asset Pricing Theory

• Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance


This lecture incorporates a time-varying intensity of disasters in the Rietz-Barro hypothesis that risk premia result from the possibility of rare, large disasters. During a disaster, an asset’s fundamental value falls by a time-varying amount. This in turn generates time-varying risk premia and thus volatile asset prices and return predictability. Using the recent technique of linearity-generating processes (Gabaix2007), the model is tractable, and all prices are exactly solved in closed form. In the “variable rare disasters” framework, the following empirical regularities can be understood qualitatively: (i) equity premium puzzle (ii) risk-free rate-puzzle (iii) excess volatility puzzle (iv) predictability of aggregate stock market returns with price-dividend ratios (v) value premium (vi) often greater explanatory power of characteristics than covariances for asset returns (vii) upward sloping nominal yield curve (viiii) a steep yield curve predicts high bond excess returns and a fall in long term rates (ix) corporate bond spread puzzle (x) high price of deep out-of-the-money puts. The fear of disaster can be interpreted literally, or can be viewed as a tractable way to model time-varying risk-aversion or investor sentiment.


1 Introduction

• Lately, there has been a revival of a hypothesis proposed by Rietz (1988), that the possibility of raredisasters (such as economic depressions or wars) is a major determinant of asset risk premia. Indeed,

• Barro (2006) has shown that,internationally, disasters have been suciently frequent and large to make the Rietz’ proposal viable, and account for the high risk premium on equities.


A. Stock market: Puzzles about the aggregates

• 1. Equity premium puzzle.• 2. Risk-free rate puzzle.• 3. Excess volatility puzzle: Stock prices are more

volatile than warranted by a model with a constant discount rate.

• 4. Aggregate return predictability: Future aggregate stock market returns are partly predicted by Price/Earnings and Price/Dividend ratios, and the Consumption/Aggregate wealth ratio.


B. Stock market: Puzzles about the cross-section of stocks

• 5. Value/Growth puzzle: Stocks with a high (resp. low) P/D ratio have lower (resp. high) future returns,even controlling for their covariance the aggregate stock market.

• 6. Characteristics vs Covariances puzzles: Stock characteristics (e.g. the P/D ratio) often predict future returns as well or better than covariances with risk factors.


C. Nominal bond puzzles: Yield curve

• 7. The yield curve slopes up on average. The premium of long-term yields over short-term yields is too high to be explained by a traditional RBC model. This is the mirror image of the equity premium puzzle for bonds.

• 8. Fama-Bliss, Campbell-Shiller, Cochrane-Piazzesi facts: A high slope of the yield curve predicts excess high positive returns on long term bonds, and that long term interest rates will fall.


D. Nominal bond puzzles: Credit spreads

• 9. Corporate bond spreads are higher than seemingly warranted by historical default rates.

• E. Options

• 10. High price of deep of out-of-the-money puts.








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配股和增发的相关者利益分析和政策研究

• (一 )增发的财富再分配效应模型 1 不考虑股权二元结构的理论模型此理论模型的假设前提是公司股票同股同价 ,即公司的股票是全流通的。假设公司增发前的总股本为Ｔ 0,增发新股Ｔ。其中增发部分按一定比率向公司原股东配售 (这是我国股票市场中的一般做法 ),配售部分为Ｔ 1,其余向社会公开发行 ,总量为Ｔ 2,即Ｔ =Ｔ 1+Ｔ 2;增发前公司股票二级市场价格为Ｐ 0,增发价格为Ｐ。公司募集资金为Ｐ ·Ｔ ,增发后公司的总股本为Ｔ +Ｔ 0。



















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证券投资学专题