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

The Extension and Application of Empirical Analysis of Asset Pricing Theory:A Review of Main Economic Theoretical Contributions of the 2013 Nobel Prize Winners in Economics

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。

This paper first introduces the lives of the 2013 Nobel Prize winners in economics. Under a unified analytical framework obtained by statistical inference and taking the testing of whether a statistic is toolarge to be accounted for by stochastic process as a clue, this paper comments on Fama＇s contribunon to the testing of efficient market hypothesis （EMH） and the development of three-factor model, Shiller＇s con- tribution to the testing of excess volatility hypothesis and the development of behavioral finance, and Hansen^s contribution to the generalized method of moments （GMM） and its application in the empir ical analysis of consumption capital asset pricing in detail. It {inalIy discusses the implications of their contributions for financial practice, the deepening reform of financial system and the promotion of the healthy development of securities market in China.