资产定价异常及其研究方法评述

A Review of Asset Pricing Anomalies and Its Research Methods

在经典的资产定价框架下,任何或有索取权的最终收益经随机贴现因子贴现后取数学期望便得到该或有索取权的价格。然而,该理论并不能很好地吻合实际数据,资产定价异常问题的总结及相应理论解释方法的探索应运而生。资产定价的异常问题主要体现在随机贴现因子的矩特征和因子结构两个方面。针对资产定价异常问题,有古典理论解释和行为金融解释两种解释。总体来看,现有各种方法缺乏同时解释各定价异常的一致性方案与结论。现有的定价异常问题理论解释方法也均局限于对一般均衡定价中的异常现象的解决,未能触及无套利定价异常问题的领域。因此,一个亟待研究的课题是,如何在更加基础的层面对资产定价理论进行修改和完善。即对资产定价框架的支持理论做出创新修正,对风险回报度量方式进行修改,增加风险回报刻画的自由度指标,以拓展资产定价理论的解释领域,从而内在化各类资产定价异常问题成为一般性定价问题。

In the classical asset pricing framework, the asset price of any contingent claim is the mathematical expecta- tion of its present value discounted by Stochastic Discount Factor （SDF）. However, the fact that the actual data are not very consistent with what the theory suggests would naturally lead to the research of anomalies in asset pricing and its theo- retical explanation. Pricing anomalies are mainly reflected in the two aspects, i.e. SDF＇s moment feature and factor struc- ture. There are two explanations for pricing anomalies, i.e. the classical interpretation and behavioral financial explana- tion. Overall, the existing methods lack consistency in the solutions and conclusions in their explanations of various pricing anomalies. The existing explanatory theories are all confined to the solution of general equilibrium pricing anomalies, failing to address the problem of no-arbitrage pricing anomalies. Therefore, an urgent research topic is how to modify and improve asset pricing theory at a more fundamental level, that is, to innovate the supporting theories in the asset pricing framework, modify the risk-return metrics, add freedom indicators in characterization of risk-return in order to expand the explanatory field of asset pricing theory and internalize all kinds of asset pricing anomalies problems as general pricing issues.