# Статьи

**Всего статей в данном разделе :**15

Опубликовано на портале: 03-10-2003

*Richard Roll*Journal of Financial Economics. 1977. Vol. 4. No. 2. P. 129-176.

Testing the two-parameter asset pricing theory is difficult (and currently infeasible).
Due to a mathematical equivalence between the individual return/beta'linearity
relation and the market portfolio's mean-variance efficiency, any valid test presupposes
complete knowledge of the true market portfolio's composition. This implies, inter
alia, that every individual asset must be included in a correct test. Errors of inference
inducible by incomplete tests are discussed and some ambiguities in published tests
are explained.

**A Further Study of Depreciation**[статья]

Опубликовано на портале: 03-10-2003

*Harold Jr. Bierman*The Accounting Review. 1966. Vol. 41. No. 2. P. 271-274.

"In that article I suggested that the depreciation charge for a period is related
to the expectations at the time of purchase and that the purchase of an asset is
actually the purchase of future cash proceeds. These cash proceeds then become the
basis for the depreciation calculation. This paper will refine the definition of
"cash proceeds" with the objective of making the accounting for the events consistent
with the decision-making procedures..."

Опубликовано на портале: 15-11-2004

*Richard Roll*,

*Stephen A. Ross*Journal of Finance. 1980. Vol. 35. No. 5. P. 1073-1103.

Empirical tests are reported for Ross' [48] arbitrage theory of asset pricing. Using
data for individual equities during the 1962-72 period, at least three and probably
four "priced" factors are found in the generating process of returns. The theory
is supported in that estimated expected returns depend on estimated factor loadings,
and variables such as the "own" standard deviation, though highly correlated (simply)
with estimated expected returns, do not add any further explanatory power to that
of the factor loadings.

**An intertemporal asset pricing model with stochastic consumption and investment opportunities**[статья]

Опубликовано на портале: 02-10-2003

*Douglas T. Breeden*Journal of Financial Economics. 1979. Vol. 7. No. 3. P. 265-296.

This paper derives a single-beta asset pricing model in a multi-good, continuous-time
model with uncertain consumption-goods prices and uncertain investment opportunities.
When no riskless asset exists, a zero-beta pricing model is derived. Asset betas
are measured relative to changes in the aggregate real consumption rate, rather than
relative to the market. In a single-good model, an individual's asset portfolio results
in an optimal consumption rate that has the maximum possible correlation with changes
in aggregate consumption. If the capital markets are unconstrained Pareto-optimal,
then changes in all individuals' optimal consumption rates are shown to be perfectly
correlated.

Опубликовано на портале: 02-11-2007

*Andrew B. Abel*American Economic Review. 1990. Vol. 80. No. 2. P. 38-42.

This paper introduces a utility function that nests three classes of utility functions: (1) time-separable utility functions; (2) "catching up with the Joneses" utility functions that depend on the consumer's level of consumption relative to the lagged cross-sectional average level of consumption; and (3) utility functions that display habit formation. Closed-form solutions for equilibrium asset prices are derived under the assumption that consumption growth is i.i.d. The equity premia under catching up with the Joneses and under habit formation are, for some parameter values, as large as the historically observed equity premium in the United States

Опубликовано на портале: 02-11-2007

*Chris I. Telmer*Journal of Finance. 1993. Vol. 48. No. 5. P. 1803-32.

The representative agent theory of asset pricing is modified to incorporate heterogeneous agents and incomplete markets. The model features two types of agents who differ up to a nontradable, idiosyncratic component in their endowment processes. Numerical solutions indicate that individuals are able to diversify a substantial portion of their idiosyncratic income risk through riskless borrowing and lending alone. Restrictions on the variability of intertemporal marginal rates of substitution are used to argue that incomplete markets, as modeled here, cannot account for the properties of asset returns that are anomalous from the perspective of representative agent theory

Опубликовано на портале: 02-11-2007

*John Y. Campbell*,

*John H. Cochrane*Journal of Political Economy. 1999. Vol. 107. No. 2. P. 205-251.

We present a consumption-based model that explains the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. Our model has an i.i.d. consumption growth driving process, and adds a slow-moving external habit to the standard power utility function. The latter feature produces cyclical variation in risk aversion, and hence in the prices of risky assets Our model also predicts many of the difficulties that beset the standard power utility model, including Euler equation rejections, no correlation between mean consumption growth and interest rates, very high estimates of risk aversion, and pricing errors that are larger than those of the static CAPM. Our model captures much of the history of stock prices, given only consumption data. Since our model captures the equity premium, it implies that fluctuations have important welfare costs. Unlike many habit-persistence models, our model does not necessarily produce cyclical variation in the risk free interest rate, nor does it produce an extremely skewed distribution or negative realizations of the marginal rate of substitution

Опубликовано на портале: 03-10-2003

*William F. Sharpe*Journal of Finance. 1964. Vol. 19. No. 3. P. 425-442.

One of the problems which has plagued thouse attempting to predict the behavior
of capital marcets is the absence of a body of positive of microeconomic theory dealing
with conditions of risk/ Althuogh many usefull insights can be obtaine from the traditional
model of investment under conditions of certainty, the pervasive influense of risk
in finansial transactions has forced those working in this area to adobt models of
price behavior which are little more than assertions. A typical classroom explanation
of the determinationof capital asset prices, for example, usually begins with a carefull
and relatively rigorous description of the process through which individuals preferences
and phisical relationship to determine an equilibrium pure interest rate. This is
generally followed by the assertion that somehow a market risk-premium is also determined,
with the prices of asset adjusting accordingly to account for differences of their
risk.

**Churning Bubbles**[статья]

Опубликовано на портале: 14-03-2005

*Franklin Allen*,

*Gary Gorton*Review of Economic Studies. 1993. Vol. 60. No. 4. P. 813-836.

Are stock prices determined by fundamentals or can "bubbles" exist? An important
issue in this debate concerns the circumstances in which deviations from fundamentals
are consistent with rational behaviour. When there is asymmetric information between
investors and portfolio managers, portfolio managers have an incentive to churn;
their trades are not motivated by changes in information, liquidity needs or risk
sharing but rather by a desire to profit at the expense of the investors that hire
them. As a result, assets can trade at prices which do not reflect their fundamentals
and bubbles can exist.

Опубликовано на портале: 03-10-2003

*John C. Cox*,

*Stephen A. Ross*,

*Mark Rubinstein*Journal of Financial Economics. 1979. Vol. 7. No. 3. P. 229-263.

This paper presents a simple discrete-time model for valuing options. The fundamental
economic principles of option pricing by arbitrage methods are particularly clear
in this setting. Its development requires only elementary mathematics, yet it contains
as a special limiting case the celebrated Black-Scholes model, which has previously
been derived only by much more difficult methods. The basic model readily lends itself
to generalization in many ways. Moreover, by its very construction, it gives rise
to a simple and efficient numerical procedure for valuing options for which premature
exercise may be optimal.

Опубликовано на портале: 12-12-2002

*Helyette Geman*,

*Marc Yor*,

*Dilip B. Madan*Finance and Stochastics. 2002. Vol. 6. No. 1. P. 63-90.

Stochastic volatility and jumps are viewed as arising from Brownian subordination
given here by an independent purely discontinuous process and we inquire into the
relation between the realized variance or quadratic variation of the process and
the time change. The class of models considered encompasses a wide range of models
employed in practical financial modeling. It is shown that in general the time change
cannot be recovered from the composite process and we obtain its conditional distribution
in a variety of cases. The implications of our results for working with stochastic
volatility models in general is also described. We solve the recovery problem, i.e.
the identification the conditional law for a variety of cases, the simplest solution
being for the gamma time change when this conditional law is that of the first hitting
time process of Brownian motion with drift attaining the level of the variation of
the time changed process. We also introduce and solve in certain cases the problem
of stochastic scaling. A stochastic scalar is a subordinator that recovers the law
of a given subordinator when evaluated at an independent and time scaled copy of
the given subordinator. These results are of importance in comparing price quality
delivered by alternate exchanges.

Опубликовано на портале: 25-10-2007

*Andrew W. Lo*,

*A. Craig MacKinlay*Review of Financial Studies. 1988. Vol. 1. No. 1. P. 41-66.

In this article we test the random walk hypothesis for weekly stock market returns
by comparing variance estimators derived from data sampled at different frequencies.
The random walk model is strongly rejected for the entire sampleperiod (1962-1985)
and for all subperiods for a variety of aggregate returns indexes and size-sorted
porfolios. Although the rejections are due largely to the behavior of small stocks,
they cannot be attributed completely to the effects of infrequent trading or timevarying
volatilities. Moreover, the rejection of the random walk for weekly returns does
not support a mean-reverting model of assetprices.

**Stock Return Autocorrelation and Institutional Investors: The Case of American Depository Receipt**[статья]

Опубликовано на портале: 25-10-2007

*Diane DeQing Li*,

*Kennet Yung*Review of Accounting and Finance. 2006. Vol. 5. No. 1. P. 45-58.

Though stock portfolio return autocorrelation is well documented in the literature,
its cause is still not clearly understood. Presently, evidence of private information
induced stock return autocorrelation is still very limited. The difficulty in obtaining
foreign country information by small investors makes the private information of institutional
investors in the ADR (American Depository Receipt) market more significant and influential.
As such, the ADR market provides a favorable environment for testing the effect of
private information on return autocorrelation. The purpose of this paper is to address
this issue.

Опубликовано на портале: 25-10-2007

*Kenneth R. French*,

*Richard Roll*Journal of Financial Economics. 1986. Vol. 17. No. 1. P. 5-26.

Asset prices are much more volatile during exchange trading hours than during non-trading
hours. This paper considers three explanations for this phenomenon:
(1) volatility is caused by public information which is more likely to arrive
during normal business hours;
(2) volatility is caused by private information which affects prices when informed
investors trade; and
(3) volatility is caused by pricing errors that occur during trading. Although
a significant fraction of the daily variance is caused by mispricing, the behavior
of returns around exchange holidays suggests that private information is the principle
factor behind high trading-time variances.

Опубликовано на портале: 26-10-2007

*Yakov Amihud*,

*Haim Mendelson*Journal of Finance. 1987. Vol. 42. No. 3. P. 533-553.

This paper examines the effects of the mechanism by which securities are traded on
their price behavior. We compare the behavior of open-to-open and close-to-close
returns on NYSE stocks, given the differences in execution methods applied in the
opening and closing transactions. Opening returns are found to exhibit greater dispersion,
greater deviations from normality and a more negative and significant autocorrelation
pattern than closing returns. We study the effects of the bid-ask spread and the
price-adjustment process on the estimated return variances and covariances and discuss
the associated biases. We conclude that the trading mechanism has a significant effect
on stock price behavior.