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文件名:  campbell_empirical asset pricing.pdf
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【大师系列】（资料汇总帖，持续添加中）

2013年诺贝尔经济学奖由Gene Fama, Lars Peter Hansen, 和Robert Shiller三人共同获得，为的是表彰他们在资产定价理论方面作出的杰出贡献。

在（[专题系列] 有效市场假设(Efficient Market Hypothesis) 系列一：一场伟大的分歧！）里，Gene Fama的学生们Clifford Asness和John Liew谈了他们对有效市场假设（Efficient Market Hypothesis）的看法。 AQR制胜交易策略详情在这里：[专题系列] 福布斯杂志（Forbes）揭秘世界知名对冲基金AQR制胜交易策略！附带29篇文献。

在这里，Robert Shiller的学生，金融经济学大牛John Campbell从2013年诺贝尔经济奖引申出去（Empirical Asset Pricing: Eugene Fama, Lars Hansen, and Robert Shiller, 共45页），深入浅出地介绍了资产定价（Asset Pricing）这一重要的金融分支学科。他先从资产定价的基石Stochastic Discount Factor说起，然后谈到有效市场的假设检验（joint hypothesis problem in tests of market efficiency，Fama和Hansen的研究），然后又谈到长期与短期资产回报的预测性（Fama和Shiller的研究），最后介绍由理性预期（rational expectation）衍生出的模型（Hansen和Shiller的研究）.

我个人觉得他的这篇介绍对我理解资产定价非常有帮助，希望也能给大家一些启发。另外，Campbell接受了哈佛商业评论（Harvard Business Review）的专访（见附件），进一步浓缩了他的观点，现摘录如下。附件中还附带了John Campbell最具代表性的10篇文献。

（John Campbell： Harvard大学经济系教授，曾任该系系主任，American Finance Association主席，经典教科书The Econometrics of Financial Markets的合作者之一。）




  • What you need to do is scenario analysis. There’s the good scenario where everything works out and your investment makes lots of money. There’s a bad scenario where it doesn’t work out and you end up losing money. What you should do is take each possible scenario and discount that scenario at a rate appropriate to the scenario. Then at the end, when you’ve brought everything to the present, scenario by scenario, you average. That’s called stochastic discounting, because the discount rate that you use is different for every scenario, and thus in a certain sense it’s random, or stochastic.


  • Financial economists got very cocky in the ‘70s. They said the market’s efficient, discount rates are constant, ... then cracks appear in the structure. The first one was fixed income and currencies, the second one was the long-run behavior of stock prices. (distinction between short-term vs. long-term predictability). The third was anomalies in the cross-section of stock returns.


  • In my view, rational models have plenty of ways to explain the value premium, but the phenomenon of momentum is really very hard for a purely rational model to explain. If there’s one thing that should make Gene Fama uncomfortable, it’s probably momentum. The behavioral story about momentum is that a lot of people aren’t paying enough attention to fundamental news, so there’s money to be made by, whenever you see prices go up, jumping on it and driving them up more. (我对momentum的看法：浅析动量因子（附带Matlab/SAS程序及经典文献71篇，全部免费）)


  • Shiller’s view is that people can’t know the true model and then become excessively influenced by social forces, and can get into a herd mentality. In Lars’s world people don’t have the true model, but they know that they don’t have the true model and they react by being very conservative. Lars’s guys are irrational in a level-headed way, and Bob Shiller’s guys are irrational in a way that is subject to these social fads and fashions.


  • What we often find is that asset allocation is something the clients themselves want to manage. The results take years to play out and it’s hard to set up a contract with an asset manager to hire them to do this because it takes so long to see if they’re right or not.


  • As we think about the stability of the financial system, large swings in asset prices and big changes in risk premia can be very important, and relatively hard to arbitrage away.



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[原创] 浅析动量因子（附带Matlab/SAS程序及经典文献85篇，免费）
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