[原创]美国二流大学金融方向博士资格考试样题和回答

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只有我一个博士生在准备考finance field qualifier，无比茫然。找了点旧题练习，
准备了回答如下。先做了关于EQUITY PREMIUM PUZZLE。
但是不知道答题标准。怎样才算‘博士水平’的回答。考试时，6-7道题，3个小时，平
均一道题只有20多分钟回答。
请高手指点, 同学交流.。

Question 1:
(1) What is Equity Premium Puzzle? Implication? Further research
suggestion?
(2) if predict that the recent equity premium will be smaller, what is the
implication? What’s your advice for investors?

Answer:
Equity Premium Puzzle ( Mehra, Prescott, 1985)
In a representative agent setting, Mehra and Prescott (1985) use a variant
of Lucas’ (1978) pure exchange model. They show that, for reasonable values
of the discount factor and the coefficient of relative risk aversion, the
implied equity premium is too low when the model is calibrated to reflect
historically observed aggregate consumption growth rates.’ It is customary
to refer to this enigma as the equity premium ‘puzzle’.

Implication of Equity Premium Puzzle
1) Investors have overestimated their risk aversion. Long-term investors
may increase the weight of stock in their portfolio.
2) Compensation for risk-taking: security may not be as risk as people
think. Stock-investors are overpaid and bond-investors are underpaid in long
term.
3) Intertemporal substitution of consumption: The simulated premium being
so small implies that the households don’t mind holding risky equity
relative to risk-less bonds. This means that variations in Ct due to changes
in dt do not reduce utility that much. Therefore, consumption smoothing
motive implied by time separable preferences is relatively small(Wang 2002).

Further research suggestions:
To simultaneously rationalizes both historically observed large average
equity return and the small average risk-free return, Mehra and Prescott (
1985) suggested non-Arrow-Debreu economy models :
1) heterogeneity of agents (Constantinides,1982);
2)non-time additivity separable preference, eg, non-expected utility
function in Epstein& Zin (1991);
3)Incomplete market for intertemporal trades among agents.
Q: If predict that the recent equity premium will be smaller, what is the
implication? What’s your advice for investors?

Implication:

1)The business condition is expected to be good and the
business risk is estimated to be small ( Fama & French (1989) ).
2) The market is efficient and is correcting the too-large equity premium
when many
investors bid up the stock price to capture the large equity premium.
3)
Given the same starting amount and allocation ratio, investors will receive
smaller return than the historical record. (Dividend Constant Growth Model
: Stock Price = Div/(required return – growth rate))

Advice:
If this smaller equity premium is temporary, since the current stock market
is over-priced, a current stock holder may sell part of their stock and
increase the weight of risk-free asset. For an investor considering to enter
the market, he can wait until the over-pricing is corrected and the equity
premium is back to the expected level.

If the smaller premium is expected to be permanent, long term investors
planning for retirement need save more to invest if they hope to have the
same fund available.

278233.docx (21.94 KB)

2008-12-19 02:53:00 上传

[原创]美国二流大学金融方向博士资格考试样题和回答

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2008-12-19 02:55:00 上传

[原创]美国二流大学金融方向博士资格考试样题和回答

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关键词：博士资格考试 博士资格考 资格考试 金融方向 二流大学 美国 博士 金融 大学 资格考试

参考一下 “The Equity Premium Puzzle: A Review" Rajnish Mehra

谢谢‘剑月轩如梦’的回复!

!

我手上也有那篇文章，溜过一下。但是那篇文章没有列入教授给的书单，应该是相关性不大。我现在最关心的是：像我写的这样的回答的风格是不是‘像个博士生作研究的该给出的回答’，而不是像本科或其他非研究性的学生给的答案。

请继续赐教!

!

还有其他题目。看起来不难，但是要做博士生水平的回答，该是什么样？

1.      What is IPO?  

Answer: IPO refers to the Initial Public Offering, which means that a private company for the first time issues publicly traded shares of stock.

Reasons for going Public:  The market condition is the most important factor in the decision to go public, while the stage of firm in its life cycle is the second important factor (Ritter&Welch, 2002).

2.      What is underpricing?

Answer: First documented by Logue(1973) and Ibbotson(1975), underpricing refers to the pattern of positive average initial returns, which is the percentage price change from the offering price to the closing market price shortly after public trading begins. .(Ljungqvist, 2004)

3.      How about short term performance

Evidence

Although it varies among countries, the phenomenon of average initial returns being positive and economically significant exists with variation in every nation’s stock market. Since the 1960s, the underpricing discount has averaged around 19% in U.S (Ljungqvist, 2004)

Explanations:

(1)   Asymmetric information theories: one of the IPO transaction parties knows more than the others.

a)      winner’s curse ( Rock,1986)): some investors are better informed than others and so can avoid overvalued IPOs. The resulting winner’s curse experienced by uninformed investors has to be countered by deliberate underpricing.

b)      Baron (1982): the underwriter is better informed about demand conditions than the issuer, leading to a principal-agent problem in which underpricing is used to induce optimal selling effort.

c)      Information Revelation (Benveniste and Spindt (1989)),  assume that underpricing compensates better-informed investors for truthfully revealing their information before the issue price is finalized.

d)     Welch (1989):the issuer is better informed about its true value, leading to an equilibrium in which higher-valued firms use underpricing as a signal.

(2)   Institutional theories focus on three features of the marketplace: litigation, banks’ price stabilizing activities once trading starts, and taxes.

·         avoiding legal liabilities(Logue(1973) Ibbotson(1975))

·         bank’s price stabilization (Rudd(1993))

·         taxes arguments(Rydqvist(1997))

(3)   Control theories:  shape the shareholder base so as to reduce intervention by outside investors.

-Brennan and Franks (1997) argue that underpricing helps entrench managerial control, avoiding outsider’s mornitoring, but w/t strong evidence.

-Stoughton and Zechner (1998): underpricing minimizes agency cost by encouraging monitioring.

 

(4)   Behavioral theories: a) ‘irrational’ investors overvaluate IPOs(Ljungqvist et al, 2004), or b)In ‘information cascade’(Welch,1992),  successful initial sales generate + signals to followers . Prospect theory and mental accounting (Loughran and Ritter, 2002), firms are complacent b/c postmarket valuation is actually higher than firms’ expectation.

4.      IPO’s long term performance

A.    Evidence

Long-run performance of IPO has been the most controversial area of IPO research.

Efficient markets proponents argue that the after-market stock price should appropriately reflect the shares’ intrinsic value and should not be predictable, while researchers favor the behavioral point of view of IPOs underperform in the long run.

Ritter & Welch (2002) point out that the long-run performance of IPOs varies over time. Three-year market-adjusted buy-and-hold returns are negative in every subperiod, but not for every cohort year. Style-adjusted buy-and-hold returns are not as reliably negative, having positive returns. They also believe that there are some problems in measuring the long run performance of IPOs and caution is necessary. First, They find that, the underperformance results are sensitive not only to econometric methodology, but also to the choice of sample period.   Second, Fama-French multifactor regressions can produce very odd results.  

B. Major Explanation about long run underperformance

1) Miller (1977) assumes that there are constraints on shorting IPOs, and that investors have heterogeneous (optimistic and pessimistic) expectations regarding the valuation of a firm. Over time, the marginal investor’s valuation will converge towards the mean valuation, and the stock’s price will fall.

2) Schultz (2001) argues that more IPOs follow successful IPOs. Thus, the last large group of IPOs would underperform but carry a large weight, thus, result in underperformance on average.

 Jain and Kini (1994) and Mikkelson, Partch, and Shah (1997) document that long-run return performance is also accompanied by poor financial accounting performance post-IPO relative to pre-IPO performance and/or industry conditions.

 

还有这样的题。

1.       (1) Some Ph.D students proved that stock returns are auto-correlated. Is this a violation of market efficiency?

(2)  Assuming CAPM, and auto correlation, is it a violation or not?  if it is not, why? If it is, how can investors get the abnormal return.

 

Answer:

(1)   Market efficient hypothesis states that when the market is in the weak form efficiency, the market price has fully reflected historical information. In other words, in an efficient market, the correlation of stock returns is expected to be zero and the price movements are like random walk. However, some discrepancies do NOT necessarily mean violation of market efficiency. Assuming there is no data contamination, we need to consider at least the following reasons:

.

1)      Joint-hypothesis problem, or ‘bad model’ problem:  First, any EMH test always is a joint test of the market efficiency and an asset pricing model (Fama(1970)). We don’t know exactly a departure is due to market inefficiency or due to mis-specified asset-pricing model with omitted variables. We need test the robustness of those detected correlations in different models.

2)      Economic significance: Some noted departures are not exploitable after transaction costs are taken into consideration (Fama, Blume (1968)).

3)      nonsynchronous trading effect:    Lo and MacKinlay (1988) and Conrad and Kaul (1988) find that weekly returns on portfolios by size show reliable positive autocorrelation, which is stronger for small stocks. However, this autocorrelation may largely due to nonsynchronous trading effect (Fisher 1966), therefore, is spurious.

4)      Time-variation of expected return:    Fama and French(1988) and Poterba and Summers (1988) find the negative autocorrelation of returns in long horizon as predicted by Shiller-Summers mean-reversion model ( Shiller (1984) and Summers (1986)). But the autocorrelations in price swings can be mainly explained by the rational time-varying expected returns (Fama-French (1989)).

5)      Data-dredging problem:  one example is that monthly returns of diversified portfolios demonstrate greater correlation than those of individual stocks do( Fisher's (1966)).

 

(2)  Assuming CAPM, and auto correlation, is it a violation or not? if it is not, why? If it is, how can investors get the abnormal return.

Assuming that CAPM is the true model and the detected auto correlations are true too, there could be a violation of the market efficiency.  Investors may use ‘contrarian’ or ‘momentum’ strategy to get the abnormal return.

Following ‘contrarian strategy’( DeBondt and Thaler (1985)), to exploit the negative serial correlation, an investor buys ‘loser’ stocks and sell them after 3to 5 years when these stocks demonstrate strong performance.

Following ‘momentum strategy’ (Jegadeesh and Titman(1993)), an investor may buy the ‘winners’ based on the performance in the past 6-month and sell them after 6-month holding period. During 1965-1989 period, this method could generate an excess return of 12.01% per year on average.

 

呵。。。

博士资格考试.................

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不错啊，支持下

看自己怎么想了吧，有的问题本来就是那么的简单的