论文标题
遗憾的理论和资产定价异常在不完整的市场中具有动态的未聚集偏好
Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences
论文作者
论文摘要
尽管CML（资本市场线），跨阶段CAPM，CAPM/SML（安全市场线）和跨期套利定价理论（IAPT）广泛用于投资组合管理，估值和资本市场融资中；这些理论是不准确的，可能会对风险管理和投资组合管理流程产生不利影响。本文介绍了几种提供见解的经验测试的财务理论，可以对真实数据进行校准，并用于解决问题，并通过以下方式为文献做出贡献：i）解释ICAPM/CAPM，IAPM和CML可能准确的条件，以及为什么此类条件不可行；并解释了为什么不完整的市场和动态未聚集的市场的存在导致CML，IAPT和ICAPM不准确； ii）解释为什么消费投资生产框架不足以用于资产定价和分析风险和资产价值变化；并引入一种统一的方法来同时考虑六个因素，以及这种方法的工作条件； iii）解释为什么休闲，税收和住房与资产定价的消费和投资同样重要； iv）在消费，税收，投资，休闲，无形资产和住房中引入跨期联合替代（MRIJS）的边际速率 - 该模型结合了遗憾的理论并捕获了现实的特征，这些特征不太适合标准资产定价模型，并且该框架可以支持特定的或非常普遍的财务理论和非常复杂的模型； v）表明为什么跨期替代（EIS）的弹性不准确，并且不足以对投资者偏好的资产定价和分析。
Although the CML (Capital Market Line), the Intertemporal-CAPM, the CAPM/SML (Security Market Line) and the Intertemporal Arbitrage Pricing Theory (IAPT) are widely used in portfolio management, valuation and capital markets financing; these theories are inaccurate and can adversely affect risk management and portfolio management processes. This article introduces several empirically testable financial theories that provide insights, and can be calibrated to real data and used to solve problems, and contributes to the literature by: i) explaining the conditions under which ICAPM/CAPM, IAPT and CML may be accurate, and why such conditions are not feasible; and explaining why the existence of incomplete markets and dynamic un-aggregated markets render CML, IAPT and ICAPM inaccurate; ii) explaining why the Consumption-Savings-InvestmentProduction framework is insufficient for asset pricing and analysis of changes in risk and asset values; and introducing a unified approach to asset pricing that simultaneously considers six factors, and the conditions under which this approach will work; iii) explaining why leisure, taxes and housing are equally as important as consumption and investment in asset pricing; iv) introducing the Marginal Rate of Intertemporal Joint Substitution (MRIJS) among Consumption, Taxes, Investment, Leisure, Intangibles and Housing - this model incorporates Regret Theory and captures features of reality that dont fit well into standard asset pricing models, and this framework can support specific or very general finance theories and or very complicated models; v) showing why the Elasticity of Intertemporal Substitution (EIS) is inaccurate and is insufficient for asset pricing and analysis of investor preferences.
