A new test on the conditional capital asset pricing model

Testing the validity of the conditional capital asset pricing model （CAPM） is a puzzle in the finance literature. Lewellen and Nagel[14] find that the variation in betas and in the equity premium would have to be implausibly large to explain important asset-pricing anomalies. Unfortunately, they do not provide a rigorous test statistic. Based on a simulation study, the method proposed in Lewellen and Nagel[14] tends to reject the null too frequently. We develop a new test procedure and derive its limiting distribution under the null hypothesis. Also, we provide a Bootstrap approach to the testing procedure to gain a good finite sample performance. Both simulations and empirical studies show that our test is necessary for making correct inferences with the conditional CAPM.

THE SPIRIT OF CAPITALISM, NON-EXPECTEDUTILITY AND ASSET PRICING

This paper investigates testable restrictions on the time-series behavior of consumption and asset returns implied by a representative agent model with the spirit of capitalism in which intertemporal preference is represented by a utility function that generalizes conventional, time-additive, expected utility. In the recursive structure of preference, the author examines the implication for cosumptions, portfolio holdings, and stock-market prices when investors accumulate wealth not only for the sake of consumption but also for wealth-induced social status. When investors care about relative social status, the propensity to consume and risk-taking behavior will depend on social standards, and stock prices will be volatible. Hence, the spirit of capitalism seems to be a driving force behind stock-market volatility and economic growth. Because the elasticity df substitution and the coefficient of relative risk aversion are independent and the spirit of capitalism is introduced, the equity premium puzzle can be partially explained in the model.

International Financial Market＇s Integration and Modelling Returns of Risky Assets

The aim of this paper is to test the ability of conditional and unconditional capital asset pricing models （CAPMs） and to explain emerging markets returns in terms of their integration into the international market. The authors use data on five developed countries and five emerging countries as well as data on the Tunis Stock Exchange （TSE） after the reforms. The results show that the correlations between emerging markets returns and developed markets returns are very low and sometimes negative. Conditional arbitrage pricing theory （APT） as well as conditional CAPM has low predictive power for emerging markets than that for developed markets. Finally, following the financial reforms, Tunisian financial markets have became more and more integrated into the international market （excess returns and unconditional beta consistent with predictions）. However, conditional APT does not accurately explain Tunisian market returns. This study confirms the unavailability of an accurate modelling technique of the TSE structure.

Pricing factors in capital market and investment strategy： Evidence from Chinese listed companies

This paper explores the performances of some frequently used asset pricing factors and their investment implications in Chinese stock market. It is noted that CAPM model can hardly be applied to Chinese market as portfolios based on 13 values cannot generate high return against high risk. However, two factors （Size and B/M） from Fama-French model （1992） deliver better performances. Such findings indicate that models based on theoretical analysis are somewhat away from practice, and those risk factors from empirical studies are more applicable though not based on theories. Therefore, further researches are desirable concerning asset pricing factors.

Empirical Asset Pricing-- Saudi Stylized Facts and Evidence

This paper estimates proxy specifications of a five-factor asset pricing model to produce stylized facts of the Saudi capital market and test an arbitrage pricing theory （APT） model. The data set is the panel of 20 most actively traded firms, excluding firms with negative book value of equity. The contribution to the extant literature is three-fold： （l） organizing Saudi market data based on beta and firm-specific fundamentals, namely, growth, value, accounting earnings, and equity investments; （2） conducting a parsimony analysis within the theoretical framework of APT; and （3） quantifying the information risk facing the marginal investor by decomposing earnings into cash flows and accruals and investigating respective loadings in an unrestricted version of the parsimonious specification. Proxy asset pricing specifications, though intuitively appealing, are scant due to lack of theoretical frameworks and misguided significance tests of factor loadings. Throughout, this issue is addressed by keeping the empirical analysis under describing market facts and testing an APT model. The study concludes with a significant empirical explanation that specifies average returns in terms of the covariance risk and accounting accruals.

Some Financial Problems in the Light of EMM Results:Asset Pricing and Efficient Portfolio Allocation

Discussing results in asset pricing and efficient portfolio allocation,we show that mixed success and errors in these results often follow from a lack of information about the asset return distribution and wrong assumptions about its properties.Some mistakes in asset pricing come from the assumption of symmetry in return distributions.Some errors in efficient portfolio allocation follow from Markowitz’s approach when applying it to portfolio optimization of skewed asset returns.The Extended Merton model(EMM),generating skewed return distributions,demonstrates that(i)in skewed asset returns,the variance is not an adequate measure of risks and(ii)positive skewness in the asset returns comes together with a high default probability.Thus,the maximization of the mean portfolio returns and skewness with controlled variance used in mainstream papers can critically increase portfolio risks.We present the new settings of the optimal portfolio allocation problem leading to less risky efficient portfolios than the solutions suggested in all previous papers.

ESG投资绩效因子对公司股票资产定价的影响——基于中国A股市场的实证检验

环境、社会责任与公司治理(ESG)投资绩效对公司股票资产定价的作用正日益受到关注,但尚缺乏系统的计量检验。为此,依据上海华证公布的ESG投资绩效评级信息,构建ESG投资绩效因子,将其纳入三因子模型形成四因子股票资产定价计量模型。基于2011年至2022年中国A股上市公司月度数据的实证分析显示,中国A股市场上存在ESG投资绩效因子,拓展的四因子模型有效,但是整体上对于资产价格的解释力度提升有限。分组研究发现,相对于大市值规模公司或高账面市值比公司,ESG投资绩效因子对小市值规模和低账面市值比公司股票价格的影响更为显著,中国A股市场投资者在对小市值规模和低账面市值比公司股票估值时对ESG投资绩效给予了更高溢价。研究结论为深入理解ESG投资绩效在股票市场上的作用以及对公司股票做出更加准确的资产定价提供参考借鉴。

互联网发展能否提升农业劳动力配置效率?

在要素市场化配置改革快速推进的背景下,互联网发展对农业劳动力配置效率发挥着重要影响。基于中国2011—2020年省级层面数据,实证检验互联网发展对农业劳动力配置效率的影响及机制。研究发现:互联网发展能够显著提升农业劳动力配置效率;异质性分析发现,在沿海和内陆地区,互联网发展都能够提高农业劳动力配置效率,且在内陆地区的影响幅度更大;在户籍制度改革之后,互联网发展对农业劳动力配置效率产生显著的推动作用;在农业劳动力配置效率越低的地区,互联网发展对农业劳动力配置效率的影响幅度越大;机制分析结果表明,互联网发展会通过降低农业资本价格扭曲渠道提高农业劳动力配置效率。

光伏电站建设项目内部基准收益率测算

内部基准收益率(简称基准收益率)是衡量资产价值与建设项目经济价值的重要参数,其取值受宏观经济情况,市场景气程度以及行业发展水平等因素影响,随时间呈动态变化,也因项目的不同而存在差别。光伏发电属于可再生能源发电中十分重要的部分,但由于该行业发展的年限较短,光伏电站建设项目的基准收益率尚缺乏针对行业特点的测算方法。融合资本资产定价模型(CAPM)和加权平均资本成本(WACC)方法,得到适用于项目的权益资本成本和适用于具体项目的基准收益率。并以某屋顶分布式光伏电站项目为例,计算得到该项目的基准收益率为4.50%,符合当前光伏项目4%~8%的基准收益率水平,说明采用该方法计算光伏发电项目的基准收益率是可行的。

货币政策公告、信号传递与股市公告溢价效应——来自沪深A股上市公司的证据

基于信号传递的资产定价模型,从理论层面剖析了货币政策公告溢价效应产生的内在机制,并数值模拟出相关变量改变后货币政策公告溢价效应的变化情况;使用2010—2021年沪深A股上市公司的日度数据,实证研究了中国股票市场是否存在公告溢价效应。理论建模和实证分析的结果表明:中国人民银行的货币政策公告确实在A股市场上存在公告溢价效应,且效应随着个股风险系数的提升而加强。另外发现,公告溢价现象产生的根源在于未预期到的货币政策公告向市场释放了一种信号,此种信号传递给投资者带来了不确定性从而需要更大的风险溢价补偿。为防范此类系统性金融风险,建议应当提高中国货币政策公告的前瞻性、透明性和规律性。

无模型隐含波动率的信息含量与定价能力——基于上证50ETF期权的实证研究

本文从上证50ETF期权价格中提取无模型隐含波动率并检验其信息含量,基于随机折现因子理论推导波动率风险的系统性与正负性判定公式,从波动率风险溢酬和相关性两方面验证波动率是否为系统性风险,进而基于A股市场的个股数据检验波动率风险在股票截面收益上的定价能力。研究结果表明:无模型隐含波动率包含BS隐含波动率中的所有信息和历史波动率中的大部分信息,是未来已实现波动率的有效估计;市场波动率为系统性风险因子且存在显著为负的风险溢酬;组合分析表明,对市场波动率暴露较大的股票组合在未来的收益较低,且暴露最大与最小股票组合的收益率之差显著为负,该结论在控制经典风险因子和改变交易策略之后依然稳健;Fama-MacBeth两步法结果表明波动率风险被定价且风险价格显著为负。

资产价格、宏观杠杆率对系统性金融风险的影响

资产价格大幅波动和宏观杠杆率攀升易引发系统性金融风险,防范系统性金融风险的发生,维持金融体系稳定是我国经济工作的重点。本文选取2007年第一季度至2022年第二季度的数据,运用主成分分析法构建系统性金融风险指数,进一步采用TVP-SV-VAR模型探讨资产价格、宏观杠杆率在不同时期下对系统性金融风险的动态影响。研究发现:资产价格和宏观杠杆率之间存在相互影响的关系;资产价格对系统性金融风险的影响呈现短期负向效应和长期正向效应,杠杆率对系统性金融风险的影响呈现经济不平稳期负向效应、经济平稳期正向效应。

房地产企业资本结构对股价波动的传递效应分析——基于结构化GARCH模型

中国房地产企业资本结构长期处于高负债、高杠杆状态。在二十余年的房地产高速发展过程中,高杠杆风险长期被忽视,甚至被认为是房地产企业发展的固有模式。在结构化GARCH模型中引入资本结构因素,检验房地产企业资本结构对股价波动的传递与溢出效应。研究发现:中国房地产市场具有结构化特征,杠杆乘数与股价波动具有同步性;过高的负债水平并不会提升房地产企业的规模效应,反而会抑制股票收益率的增长。

非金融上市公司金融资产投资对代理成本的影响

企业的金融资产投资代理行为势必会产生相应的代理成本,因此有必要对两者的影响关系进行分析。本文根据A股上市非金融企业2013—2022年相关数据,分析了企业金融资产投资对代理成本的影响关系。实证分析结果表明,企业金融资产投资对代理成本具有显著的正向作用,企业经营管理者在逐利动机驱使下开展的金融资产投资行为对代理成本的影响表现为“挤出效应”,即金融资产投资越高,代理成本越大,企业管理者可以在短期内获得相应的收益,但不利于企业的长期经营,且会增加股东与企业经营管理者之间的矛盾。鉴于此,企业需要合理控制金融资产投资行为及其在内部所占比例,通过有效的内部控制手段改善代理成本过高的问题,推动非金融企业的长期稳定发展。

Does the EVA valuation model explain the market value of equity better under changing required return than constant required return?

Through the Economic-Value-Added(EVA)valuation model,the expected market value of equity can be determined by adding the book value of equity with the present value of expected EVAs under the assumption of constant required return and constant return on equity.The equation of EVA valuation model has taken its shape under the assumption of constant required return and constant return on equity.However,a large body of empirical evidence indicates that required rate of return never remain constant.The EVA-valuation model formulated under constant required return cannot be implemented under the scenario of changing required return.In this study,we explored whether the EVA valuation model could be implemented under changing required return by making any changes in the model and found that it could be implemented under the scenario of changing required return by replacing the book value of the equity of the existing model with the present value of required earnings or normal market earnings.We further examined whether the explanatory ability of the EVA valuation model under the assumption of changing required return is better than that of the valuation model under the assumption of constant required return.Relative information content analyses were conducted by considering sample of the intrinsic value of equities determined by valuation models and the market value of equities of 69 large-cap,88 mid-cap,and 79 small-cap companies.The results showed that the EVA-based valuation model with changing normal market return outperformed the EVA-based valuation model with constant required return.

A Research of China Stock Market by Capital-Asset Pricing Model

Capital Asset Pricing Model (CAPM) is an important investment portfolio model,which is developmented from Markowitz’s investment portfolio theory. This paper initially verifies CAPM by means of the statistical regression analysis on the data in Shanghai stock exchange, including 164 kinds of going public stocks, from September 1992 to October 1994. The paper analyzes the current situation of China stock exchange and suggests how to develop its trade.

An Analysis on the Disparity of the Private Investment in Human Capital between Urban and Rural Residents in Guangxi

The constant growth of human capital is the essential force of Economic growth. The deep research on private investment in urban and rural human capital in Guangxi is necessary for developing economy and narrowing urban-rural gap. Through the analysis on the historic statistics, it is found that there were disparities total quantity and investment structure of private investment in human capital of urban and rural residents. By using the ELES model, the marginal investment trend, investment demand, elastic income, own-price elasticity and mutual-price elasticity of private investment in human capital of urban and rural residents are analyzed. It is pointed out that income is the key factor that affects the private investment in human capital of urban and rural residents. In Guangxi, the private investment and marginal investment in human capital of urban and township residents are higher than that of rural residents;the own-price elasticity and mutual price elasticity of rural residents' private investment in human capital are all higher than that of urban residents'.

Implications of Fama-French Models and Critical Evaluation of Cost of Equity Approach in Explanation of Variations in Expected Stock Returns

CAPM theory that solves relationship between asset return and asset risk for potential investment project by CML and SML,is illustrated in the first section as an introduction of further analysis of corporate valuation techniques.Fama and French three factor model is perceived as a revision of CAPM,although it stills has severe weaknesses.CAPM theory solves relationship between asset return and asset risk for potential investment project by CML and SML.

The Analyses of Risk Premium and the Model Revisions About Capital Asset Pricing Models

The pricing theories of capital assets are the principal part in the modern financial theories. Presently, the capital asset pricing model and the arbitrage pricing theory, including their evolutional forms, all don＇t embody the premium of non-system risks and non-factor risks. This paper analyses the risk reward of traditional capital assets pricing models, revises the traditional capital assets pricing models, and advances the revised models of capital assets pricing theories basing on full-risk reward.

乔木林可变利率林木价格评估模型的构建

【目的】探究林木资产经济价值核算方法,解决森林资源资产评估技术中存在的问题,科学、合理、公正地计算林木资产价格,为森林资源资产评估提供技术支撑。【方法】以杉木人工林、马尾松人工林、马尾松天然林、硬阔叶树人工林、天然硬阔叶树林和桉树人工林为研究对象,利用收获现值法和科夫蓄积量生长方程构建一种乔木林可变利率林木价格评估模型,采用实测样地数据经Matlab软件估算模型参数,用剩余标准差(SEE)、总相对误差(TRE)、平均系统误差(MSE)、平均相对误差绝对值(MPSE)、平均预估精度(MPE)等指标评价模型的适用性,在固定利率4%下与重置成本法、收获现值法、市场价倒算法等传统评估方法的计算结果进行比较与分析。【结果】①建立的6种树种(组)科夫蓄积量生长模型的适用性评价指标SEE和MPSE均小于10%,TRE和MSE均在±10%范围内,MPE均小于3%,表明模型精度较高,可用于森林资源资产的评估。②乔木林可变利率林木价格评估模型经迭代计算后,得到杉木人工林、马尾松人工林、马尾松天然林、硬阔叶树人工林、天然硬阔叶树林、桉树人工林的利率分别为7.5%,6.6%,5.7%,5.8%,5.3%和7.9%。③与传统评估方法相比,采用乔木林可变利率林木价格评估模型计算的6种树种(组)的林木价格均随林分年龄增大而增加,符合林木价格与年龄之间的正常关系。④6种树种(组)各龄组采用可变利率模型计算的林木价格均表现为高龄组大于低龄组,而各龄组采用固定利率模型计算的林木价格仅在森林成熟龄较小的杉木和桉树人工林2种林分中未出现倒挂现象,其他树种(组)均出现不合理的倒挂问题。【结论】乔木林可变利率林木价格评估模型解决了林木资产评估过程中各龄组林木因评估方法不同造成的评估结果不衔接问题,实现了与重置成本法、收获现值法和市场价倒算法估价结果的相容。