政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/31032
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 97142/127787 (76%)
Visitors : 33378914      Online Users : 463
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/31032


    Title: 實質消費下均衡資本資產評價
    Equilibrium Asset Pricing Based on the “Real” Consumption
    Authors: 張俊評
    Chang, Jun-ping
    Contributors: 徐燕山
    Hsu, Yen-shan
    張俊評
    Chang, Jun-ping
    Keywords: 均衡資產評價
    實質消費
    共同基金定理
    抗通膨資產
    Equilibrium Asset Pricing
    Real Consumption
    Mutual Fund Theroem
    The Inflation-Indexed Bond
    Date: 2007
    Issue Date: 2009-09-14 09:06:02 (UTC+8)
    Abstract: 本文以完全規避通膨風險債券資產為評價基礎,推導出三因子實質消費資本資產訂價模型與s+4共同基金定理。三因子分別為實質消費成長因子、消費習慣因子以及情緒性預期偏差因子。情緒性三因子實證部份,橫斷面報酬模型平均解釋力約有61.79%,此實證結果顯示傳統消費資本資產訂價模型中訂價績效表現不佳,是忽略部份重要因素所致。
    s+4共同基金為完全規避通膨風險債券資產、投機性巿場投資組合、s個規避實質狀態變數不利於投資機會集合變動之巿場投資組合、規避情緒性預期偏差風險的共同基金以及維持未來整體生活消費型態的共同基金。這之中完全規避通膨風險債券資產可減少巿場共同基金數目和降低交易成本之實質效果。
    This thesis derives an inter-temporal asset pricing model in a real-term, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunity. When the inflation-indexed securities are available, a three-factor asset pricing model is derived in terms of real consumption growth, consumption-habit variation, and inflation rate change (or sentimental inflation expectation). Empirical results suggest that the derived asset pricing model in real framework can explain above a 60% of the variation in asset returns.
    Under the real framework, we demonstrate that s+4 fund separation applies. These funds may be chosen to be: (1) the instantaneously inflation-indexed bond, (2) the market portfolio, (3) the sentimental inflation-related asset, (4) the consumption habit-related asset, and (5) the s portfolios having the high correlations, respectively, with the s state variables.
    Reference: (1) Ait-Sahalia,Y., J.A. Parker and M. Yogo, 2004, “Luxury Goods and the Equity Premium,” Journal of Finance , 59, 2959-3004.
    (2) Andolfatto, D., and D. Simon, 2005, “Are Inflation Expectations Rational?” Working Paper, Fraser University and University of Moran.
    (3) Baker M., and J. Wurgler, 2004, “A Catering Theory of Dividends,” Journal of Finance, 59, ll25-1165.
    (4) Baker, M., and J. Wurgler, 2007, “Investor Sentiment and the Cross-Section of Stock Returns,” Journal of Finance, 61, 1645-1680.
    (5) Baker, M., and J. Wurgler, 2007, “Investor Sentiment in the Stock Market,” Journal of Economic Perspectives, Forthcoming.
    (6) Bakshi, G., and Z. Chen, 1996, “Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies,” Review of Financial Studies, 9, 241–275.
    (7) Banz, R.W., 1981, “The Relationship between Return and Market Value of Common Stocks,” Journal of Financial Economics, 9, 3-18.
    (8) Barber, B.M., and T. Odean, 2002, “Online Investors: Do the Slow Die First?” Review of Financial Studies, 15, 455-488.
    (9) Basak, S., and H. Yan, 2007, “Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion,” Working Paper, London Business School and University of Yale.
    (10) Berkelaar, A., and R. Kouwenberg, 1999, “Investing in a Real World with Mean-Reverting Inflation,” Working Paper, Erasmus University of Rotterdam.
    (11) Black, F., 1986, “Noise,” Journal of Finance, 41, 529-543.
    (12) Black, F., M. Jensen, and M. Scholes, 1972, “The Capital Asset Pricing Model: Some Empirical Tests,” Studies in the Theory of Capital Markets, 79-121.
    (13) Bodie, Z., 1976, “Common Stocks as Hedge against Inflation,” Journal of Finance, 31, 459-470.
    (14) Bodie, Z., R.C. Merton, and W.F. Samuelson, 1992, “Labour Supply Flexibility and Portfolio Choice in a Life Cycle Model,” Journal of Economics Dynamics and Control, 16, 427-449.
    (15) Booth, P., and Y. Yakoubov, 2000, “Investment Policy for Defined-Contribution Pension Scheme Members Close to Retirement: An Analysis of the ‘Lifestyle’ Concept,” North American Actuarial Journal, 2, 1-19.
    (16) Bram, J., and S. Ludigson, 1998, “Does Consumer Confidence Forecast Household Expenditure? A Sentiment Index Horse Race,” Federal Reserve Bank of New York Economic Policy Review, 4, 59–79.
    (17) Breeden, D., 1979, “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities,” Journal of Financial Economics, 7, 265-296.
    (18) Breeden, D., and M. Gibbons, and R. Litzenberger, 1989, “Empirical Tests of the Consumption-Oriented CAPM,” Journal of Finance, 44, 231-262.
    (19) Brennan, M.J., and E.S. Schwartz, 1977, “The Valuation of American Put Options,” Journal of Finance, 32, 449-62.
    (20) Brennan, M.J., and Y. Xia, 2002, “Dynamic Asset Allocation under Inflation,” Journal of Finance, 57, 1201-1238.
    (21) Brennan, M.J., A.W. Wang, and Y. Xia, 2004, “Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing,” Journal of Finance, 59, 1743- 1775.
    (22) Campbell, J.Y., 1993, “Intertemporal Asset Pricing without Consumption Data,” American Economic Review, 83, 487-512.
    (23) Campbell, J.Y., and L. M. Viceira, 2001, “Who Should Buy Long-Term Bonds?” American Economic Review, 91, 99-127.
    (24) Campbell, J.Y., and T. Vuolteenaho, 2004, “Inflation Illusion and Stock Prices,” American Economic Review, 94, 19–23.
    (25) Carroll, C.D., C.F. Jeffrey and D.W. Wilcox, 1994, “Does Consumer Sentiment Forcast Household Spending? if so, why?” American Economic Review, 84, 1397-1408.
    (26) Chains, A., D. Blake, and K. Dowd, 2006, “Stochastic Lifetyling: Optimal Dynamic Asset Allocation for Define Contribution Pension Plans,” Journal of Economics Dynamics and Control, 30, 843-877.
    (27) Chan, K.C., N. Chen, and D. Hsieh, 1985, “An Exploratory Investigation of the Firm Size Effect,” Journal of Financial Economics, 14, 451-471.
    (28) Chan, K. C., P.H. Hendershott, and A. B. Sanders, 1990, “Risk and Return on Real Estate: Evidence from Equity REITs,” Areuea Journal, 18, 431-452.
    (29) Chu, Y., 2006, “An Intertemporal Capital Asset Pricing Model with Owner Occupied Housing,” Working Paper, Wisconsin University.
    (30) Cochrane, J., 2001, Asset Pricing, Princeton, NJ: Princeton University Press.
    (31) Cooper, M., O. Dimitrov, and R. Rau, 2001, “A Rose.Com by any Name,” Journal of Finance, 56, 2371–2388.
    (32) Cox, J.C., J.E. Ingersoll, and S.A. Ross, 1985b, “An Intertemporal General Equilibrium Model of Asset Price,” Econometrica, 53, 363-384.
    (33) Daniel, K., and S. Titman, 1997, “Evidence on the Characteristics of Cross Sectional Variation in Stock Returns,” Journal of Finance, 52, 1-33.
    (34) DeLong, J.B., A. Shleifer, L.H. Summers, and R.J. Waldmann, 1990, “Noise Trader Risk in Financial Markets,” Journal of Political Economy, 98, 703-738.
    (35) Dixit, A.K., and R.S. Pindyck, 1994, Investment under Uncertainty, Princeton:Princeton University Press.
    (36) Epstein, L.G., and S.E. Zin, 1989, “Substitution, Risk Aversion and the Temporal Behavior of Asset Returns,” Journal of Political Economy, 99, 263-286.
    (37) Einhorn, H.J., 1980, “Overconfidence in Judgment,” New Directions for Methodology of Social and Behavioral Science, 4, 1-16.
    (38) Fama, E.F., 1981, “Stock Return, Real Activity, Inflation and Money,” American Economic Review, 71, 545-565.
    (39) Fama, E.F. and G.W. Schwert, 1977, “Asset Returns and Inflation,” Journal of Financial Economics, 5, 115-146.
    (40) Fama, E.F. and J.D. MacBeth, 1973, “Risk, Return, and Equilibrium: Empirical Tests,” Journal of Political Economy, 99, 385-415.
    (41) Fama, E.F. and K.R. French, 1989, “Business Conditions and Expected Returns on Stocks and Bonds,” Journal of Financial Economics, 25, 23-49.
    (42) Fama, E.F. and K.R. French, 1992, “The Cross-Section of Expected Stock Returns,” Journal of Finance, 47, 427-486.
    (43) Fama, E.F. and K.R. French, 1993, “Common Risk Factors in the Returns on Bonds and Stocks,” Journal of Financial Economics, 33, 3-56.
    (44) Fisher, I., 1930, The Theory of Interest, Clifton, NJ: Macmillan.
    (45) Fleming, W.H., and H.M. Soner, 2006, Controlled Markov Processes and Viscosity Solutions, New York: Springer Verlag.
    (46) Friedman, B.M., 1980, “Price Inflation, Portfolio Choice, and Nominal Interest Rates,” American Economic Review, 70, 32-48.
    (47) Graham, J.R., and A. Kumar, 2006, “Do Dividend Clienteles Exist? Evidence on Dividend Preferences of Retail Investors,” Journal of Finance, 61, 1305-1336.
    (48) Harrison, M., and S. Pliska, 1981, “Martingales and Stochastic Integrals in the Theory of Continuous Trading,” Stochastic Processes and Their Applications, 11, 215–260.
    (49) Hirshleifer, D., and S.H. Teoh, 2003, “Limited Attention, Financial Reporting, and Disclosure,” Journal of Accounting and Economic, 36, 337–386.
    (50) Hirshleifer, D., K.Hou, S.H. Teoh, and Y. Zhang, 2004, “Do Investors Overvalue Firms with Bloated Balance Sheets?” Journal of Accounting and Economics, 38, 297–331.
    (51) Jagannathan, R., and Z. Wang, 1996, “The Conditional CAPM and the Cross- Section of Expected Returns,” Journal of Finance, 51, 3-53.
    (52) Jagannathan, R. and Z.Wang, 2007, “Lazy Investors, Discretionary Consumption, and the Cross-Section of Stock Returns,” Journal of Finance, 62, 1623-1661.
    (53) Kahneman, D., 1973, Attention and Effort, NJ: Prentice-Hall, Englewood Cliffs.
    (54) Kahneman, D., and A. Tversky, 1979, “Prospect Thoeory: An Analysis of Decesion under Risk,” Econometrica, 47, 263-291.
    (55) Kahneman, D., and A. Tversky, 1982, Judgment under Uncertainty: Heuristics and Biases, New York: Cambridge University Press.
    (56) Kahneman, D., J.L. Knetsch, and R.H. Thaler, 1991, “The Endowment Effect, Loss Aversion, and Status Quo Bias: Anomalies,” Journal of Economic Perspectives, 5, 193-206.
    (57) Katona, G., 1951, Psychological Analysis of Economic Behavior, New York: McGraw-Hill.
    (58) Kim, K.S., and E. Omberg, 1996, “Dynamic Nonmyopic Portfolio Behavior,” Review of Financial Studies, 9, 141-161.
    (59) Kogan, L., and R. Uppal, 2002, “Asset Prices in a Heterogenous-Agent Economy with Portfolio Constraints,” Working Paper, University of Pennsylvania.
    (60) Lemmon, M., and E. Portniaguina, 2006, “Consumer Confidence and Asset Prices: Some Empirical Evidence,” Review of Financial Studies, 19, 1499-1529.
    (61) Lettau, M., and S. Ludvigson, 2001, “Resurrecting the C-CAPM: Across Sectional Test when Risk Premia are Time-Varying,” Journal of Political Economy, 109, 1238-1287.
    (62) Liu, J., 2007, “Portfolio Choice in Stochastic Environments,” Review of Financial Studies, 20, 1-39.
    (63) Lopes, L., 1987, “Between Hope and Tear: The Psychology of Risk,” Advances in Experimental Social Psychology, 20, 255-295.
    (64) Luo, Y., 2006, “Rational Inattention, Portfolio Choice, and the Equity Premium,” Working Paper, Hong Kong University.
    (65) Mamun, A., and N. Visaltanachoti, 2006, “Inflation Expection and Asset Allocation in the Presence of an Indexed Bond,” Working Paper, University of Saskatchewan and Massey University.
    (66) Mankiw, N. G., R. Reis and J. Wolfers, 2003, “Disagreement about Inflation Expectations,” Working Paper, Harvard University, Princeton University and University of Pennsylvania.
    (67) Mehra, R., 2002, “Survey Measures of Expected Inflation: Revisiting the Issues of Predictive Content and Rationality,” Federal Reserve Bank of Richmond Quarterly Review, 88, 17-36.
    (68) Mehra, R., and E.C. Prescott, 1985, “The Equity Premium: A Puzzle,” Journal of Monetary Economics, 15, 145-161.
    (69) Merton, R., 1973, “An Intertemporal Capital Asset Pricing Model,” Econometrica, 41, 867-887.
    (70) Munk, C., and C. Sørensen, 2004, “Optimal Consumption and Investment Strategies with Stochastic Interest Rates,” Journal of Banking and Finance, 28, 1987–2013.
    (71) Munk, C., C. Sørensen, and T. N. Vinther, 2004, “Dynamic Asset Allocation under Mean-Reverting Returns, Stochastic Interest Rates and Inflation Uncertainty.Are Popular Recommendations Consistent with Rational Behavior?” International Review of Economics and Finance, 13, 141–166.
    (72) Nelson, C. R., 1976, “Inflation and Rates of Return on Common Stocks,” Journal of Finance, 31, 471-483.
    (73) Petkova, R., 2006, “Do the Fama–French Factors Proxy for Innovations in Predictive Variables?” Journal of Finance, 61, 581–612.
    (74) Qiu, L., and I. Welch, 2004, “Investor Sentiment Measures,” Working Paper, Brown University and University of Brown.
    (75) Reinganum, M. R., 1981, “Misspecification of Capital Asset Pricing: Empirical Anomalies based on Earnings Yields and Market Values,” Journal of Financial Economics, 9, 19-46.
    (76) Reinganum, M.R., 1981, “A new Empirical Perspective on the CAPM,” Journal of Financial and Quantitative Analysis, 16, 439-462.
    (77) Reis, R., 2006, “Inattentive Consumers,” Journal of Monetary Economics, 53, 1761–1800.
    (78) Roll, R., 1977, “A Critique of the Asset Pricing Theory’s Tests; Part I: On Past and Potential Test Ability of the Theory,” Journal of Financial Economics, 4, 129-176.
    (79) Roll, R., 2004, “Empirical TIPS,” Financial Analysts Journal, 60, 31-53.
    (80) Ross, S.A., 1976, “The Arbitrage Theory of Capital Asset Pricing,” Journal of Economic Theory, 13, 341-360.
    (81) Santos, T., and P. Veronesi, 2005, “Labor Income and Predictable Stock Returns,” Review of Financial Studies, 19, 1-44.
    (82) Shafir, E., P. Diamond, and A. Tversky, 1997, “On Money Illusion,” Quarterly Journal of Economics, 92, 341-374.
    (83) Sharpe, W., 1964, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance, 19, 425-442.
    (84) Shefrin, H.M., and M. Statman, 1984, “Explaining Investor Preference for Cash Dividends,” Journal of Financial Economics, 13, 253–282.
    (85) Shefrin, H., and M. Statman, 2000, “Behavioral Portfolio Theory,” Journal of Financial and Quantitative Analysis, 35, 127-151.
    (86) Shefrin, H.M., and R.H. Thaler, 1988, “The Behavioral Life-cycle Hypothesis,” Economic Inquiry, 26, 609–643.
    (87) Stulz, R.M., 1986, “Interest Rates and Monetary Policy Uncertainty,” Journal of Monetary Economics, 17, 331–347.
    (88) Thaler, R. H., 1985, “Mental Accounting and Consumer Choice,” Marketing Science, 4, 199-214.
    (89) Titman, S. and A. Warga, 1989, “Stock Returns as Predictors of Interest Rates and Inflation,” Journal of Financial and Quantitative Analysis, 24, 47-58.
    (90) Yogo, M., 2006, “A Consumption based Explanation of Expected Stock Returns,” Journal of Finance, 61, 539-580.
    (91) Zhao, Y., U. Haussmann, and W. Ziemba, 2003, “A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome,” Mathematical Finance, 13, 481-501.
    (92) Ziegler, A., 2000, “Optimal Portfolio Choice under Heterogeneous Beliefs,” European Finance Review, 4, 1-19.
    Description: 博士
    國立政治大學
    財務管理研究所
    92357505
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923575052
    Data Type: thesis
    Appears in Collections:[Department of Finance ] Theses

    Files in This Item:

    File SizeFormat
    index.html0KbHTML562View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback