摘要
21世纪初特别是2007年夏天以来,伴随着全球资源性商品价格高涨和世界经济失衡加剧,主权财富基金蓬勃发展,成为全球资本市场上的重要投资者。由于主权财富基金的设立原因、资产规模以及管理者的风险偏好等因素,主权财富基金的兴起必将改变全球主要资产的供需均衡,进而影响全球主要资产的价格走向。在预测主权财富基金未来规模的基础上,就主权财富基金的兴起对全球风险资产回报率、无风险资产回报率、风险溢价以及市盈率等资产价格的影响进行定量研究后发现,主权财富基金对风险资产和无风险资产回报率的影响是同向的,且对无风险资产回报率的影响更为显著;对风险溢价和市盈率的影响也是同向的,且与风险资产和无风险资产方向相反;"新增经常账户盈余的86.5%转移到主权财富基金"是主权财富基金影响四种资产价格的"拐点"。
Owing to the boom of world resource commodity markets and the aggravation of global economic imbalance in the early part of the 21st century,sovereign wealth funds have appeared in the world economy and have become the important investors in global capital markets.Because of the cause of the establishment of sovereign wealth funds,the capital scale and the risk preference of the administrators,the emergence of sovereign wealth funds will surely change the supply-demand equilibrium of global capital markets and markedly affect the price tendency of the world＇s main asset.By forecasting the future scale of sovereign wealth funds,this article is an attempt to estimate the influences of the emergence of sovereign wealth funds on the returned rate of risky asset and risk-free asset,the equity premium and the price-earnings ratio.The major conclusions reached in this study are as follows：the influences of sovereign wealth funds on the returned rate of risky asset and risk-free asset are of the same direction,but it is much more notable on the risk-free asset.The influences on equity premium and price-earnings ratio are also of the same direction,and is much more notable as sovereign wealth funds become stronger.The direction of sovereign wealth funds＇ influences on equity premium and price-earnings ratio is opposite to that of risky and risk-free assets.″Transferring 86.5% of the new current account surplus to sovereign wealth funds every year″ is the inflexion point of sovereign wealth funds＇ influences on the four asset prices.
出处
《浙江大学学报（人文社会科学版）》
CSSCI
北大核心
2009年第4期129-139,共11页
Journal of Zhejiang University:Humanities and Social Sciences
基金
国家社会科学基金重点资助项目(07AGJ002)
