Financial Economics.

Transcription

1 Financial Economics ( ) / 31

2 1 2 3

3 ( ) Asset Pricing and Portfolio Choice = + ( ) / 31

4 ( ) Asset Pricing and Portfolio Choice = + ( ) / 31

5 (ultimately) (claims) (ultimately) ( ) / 31

6 ( ) (time) (uncertainty) ( ) / 31

7 ( ) (time) (uncertainty) Bodie and Merton (2000) Finance is the study of how people allocate scarce resources over time. ( ) / 31

8 Help humans to be humans to create economically efficient and balanced societies consisting of ordinary people (Not merely for Government or Corporate ) ( ) / 31

9 Help humans to be humans to create economically efficient and balanced societies consisting of ordinary people (Not merely for Government or Corporate ) A basic tenet of finance The ultimate function of the financial system is to satisfy people s consumption preferences, including all the basic necessities of life, such as food, clothing, an shelter (Bodie and Merton, 2000) ( ) / 31

10 + ( ) / 31

11 + at the earliest opportunity, the mind slips back into the old grooves of thought since analysis is utterly impossible without a frame of reference, a way of thinking about things, or, in short, a theory. by Paul A. Samuelson, Lord Keynes and the General Theory, Economica 14 (1946), pp ( ) / 31

12 In my humble opinions Market fluctuations create many economists as any weird views can find their supports in a random world. Most of them just take what they see (know) recently for granted and behave as idea speculators, far away from scientific terms.... What I wish is that you are able to analyze the real markets as people with formal science education... ( ) / 31

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14 Arrow, K., and Debreu G Existence of an equilibrium for a competitive economy, Econometrica, 22: Arrow, 1972 ; Debreu, Harry M. Markowitz, William F. Sharpe, and Merton H. Miller 1997 Myron S. Scholes, Robert C. Merton 2013 Eugene Fama, Lars Peter Hansen, and Robert Shiller ( ) / 31

15 1990 I (Harry M. Markowitz) (William F. Sharpe), (Merton H. Miller) Markowitz, H Portfolio selection. Journal of Finance, 7:77 91., The very beginning of modern finance... ( ) / 31

16 1990 II Markowitz Sharpe, W. F Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19: Modigliani, F. (1985 ) and Miller M The cost of capital, corporation finance, and the theory of investment. American Economic Review, 48: ( ) / 31

17 1997 (Myron S. Scholes) (Robert C. Merton) Black, F. and Scholes, M The pricing of options and corporate liabilities. Journal of Political Economy, 81(3): Merton, R The theory of rational option pricing. Bell Journal of Economics and Management Science, 4: Black-Scholes Merton, R Continuous Time Finance. Cambridge: Blackwell. ( ) / 31

18 ( ) / 31

19 ( ) / 31

20 2013 I Eugene Fama, Lars Peter Hansen, and Robert Shiller Fama Efficient Market Hypothesis (EMH) EMH Fama/French 3 factor Fama and French (1992) The Cross-Section of Expected Stock Returns. Journal of Finance 47.2: ( ) / 31

21 2013 II Fama and French (1993) Common Risk Factors in the Returns on Stocks and Bonds Fama and French (1996) Multifactor Explanations of Asset Pricing Anomalies Empirical Asset Pricing David Booth 3 factor model DFA Shiller Behavioral Finance ( ) / 31

22 2013 III The first was the neoclassical revolution in finance that began with the capital asset pricing model and efficient markets theory around the 1960s, and with the intertemporal capital asset pricing model and arbitrage-based option-pricing theory in the 1970s. The second was the behavioral revolution in finance which began in the 1980s with questions about the sources of volatility in financial markets, with the discovery of numerous anomalies, and with attempts to incorporate into financial theory Kahneman and Tversky s (1979) prospect theory, and other theories from psychologists. (Shiller, 2006) ( ) / 31

23 2013 IV Finance is widely viewed as amoral field. It has substantially neglected the protection of our ordinary riches, our careers, our home, and our very abilities to be creative as professionals (Shiller, The New Financial Order: Risk in the 21st Century). ( ) / 31

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25 ( ) / 31

26 Peeling back the Onion: more realistic assumptions are made concerning investors situations and behavior. ( ) / 31

27 ( ) ( ) ( ) ( ) ( ) ( ) / 31

28 Investor A Price Investor B ( ) / 31

29 (uncertainty) 0 1 P 2 1-P ( or ) ( ) / 31

30 I 1 (Equilibrium): ( ) 2 (Preferences): ( ) / 31

31 II 3 (Prices): 4 (Positions): ( ) / 31

32 III 5 (Predictions or Beliefs) 6 (Protections): (downside protection) ( ) ( ) / 31

33 IV 7 ( ) / 31

34 I [1] William F. Sharpe (2007) Investors and Markets: Portfolio Choices, Asset Prices, and Investment Advice, Princeton University Press ( ) (2011 ) [2] Bodie, Zvi and Merton, Robert C. Finance. N.J.: Prentice Hall 2000., ( ) / 31

35 II [3] Luenberger, David G. Investment Science. Oxford University Press, New York, ,, [4] Boyle, P. P. and Panjer, H. H. et al. Financial Economics-with Applications in Investments, Insurance and Pensions, Actuarial Foundation, [5] Hull, J. 2008, Option, Futures, and Other Derivatives, Prentice Hall. [6], ( ) / 31

36 III [7] [8] [9] Huang, C. and Litzenberger, R. H. Foundation for Financial Economics. North Holland, [10] Ingersoll, Jonathan E. Theory of Financial Decision Making. Rowman & Littlefield, [11] LeRoy, Stephen F. and Werner, Jan. Principles of Financial Economics. Cambridge University Press, ( ) / 31

37 ? Zingales, Luigi, Does Finance Benefit Society? (January 2015). 57% The Economist (watchdogs) (lapdogs) (Policy work) (discipline) ( ) / 31