资产定价讲义（英文版 PDF 331页）

Assetpricingtheorytriestounderstandthepricesorvaluesofclaimstouncertainpayments.
Alowpriceimpliesahighrateofreturnsoonecanalsothinkofthetheoryasexplaining
whysomeassetspayhigheraveragereturnsthanothers.
Tovalueanassetwehavetoaccountforthedelayandfortheriskofitspayments.The
effectsoftimearenottoodif¿culttoworkout.Howevercorrectionsforriskaremuchmore
importantdeterminantsofanmanyassets’values.Forexampleoverthelast50yearsstocks
havegivenarealreturnofabout9%onaverage.Ofthisonlyabout1%isduetointerest
ratestheremaining8%isapremiumearnedforholdingrisk.Uncertaintyorcorrectionsfor
riskmakeassetpricinginterestingandchallenging.
Assetpricingtheorysharesthepositivevs.normativetensionpresentintherestofeconomics.
Doesitdescribethewaytheworlddoesworkorthewaytheworldshouldwork?
Weobservethepricesorreturnsofmanyassets.Wecanusethetheorypositivelytotryto
understandwhypricesorreturnsarewhattheyare.Iftheworlddoesnotobeyamodel’spredictions
wecandecidethatthemodelneedsimprovement.Howeverwecanalsodecidethat
theworldiswrongthatsomeassetsare“mispriced”
andpresenttradingopportunitiesfor
theshrewdinvestor.Thislatteruseofassetpricingtheoryaccountsformuchofitspopularity
andpracticalapplication.Alsoandperhapsmostimportantlythepricesofmanyassets
orclaimstouncertaincashÀowsarenotobservedsuchaspotentialpublicorprivateinvestment
projectsnew¿nancialsecuritiesbuyoutprospectsandcomplexderivatives.Wecan
applythetheorytoestablishwhatthepricesoftheseclaimsshouldbeaswelltheanswers
areimportantguidestopublicandprivatedecisions.......


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