增长期权与资产定价基于生命周期视角.pdfVIP

增长期权与资产定价：基于生命周期视角 1 刘浩 ，曾勇，李强 （电子科技大学经济与管理学院，成都610054 ） 摘要：Berk Green Naik （1999 ）从企业层面考查了企业的最优投资策略，并理论上推导出股票的预期收 益率与权益的账面市值比以及市值规模的关系，为Fama French 三因素模型提供了理论基础。本文在此 基础上进一步考查三因素定价的生命周期特征，通过考虑未来投资机会的到达概率呈现指数衰减的这一特 征，导出企业价值和企业的预期收益率的表达式，并分析生命周期的进展以及指数衰减的快慢如何导致定 价因子以及定价因子定价能力的变化，理论和实证研究发现：企业处在年轻阶段时，市值规模对预期收益 率有很强的解释力，而随着企业不断的成熟，市值规模对预期收益率的解释力单调下降，但是模型不能刻 画账面市值比因子的定价能力随生命周期的变化。 关键词：增长期权；生命周期；预期收益；账面市值比；市值规模 中图分类号： F830.59 文献标识码：A Growth Options and Asset Pricing: Perspective of the Life Cycle LIU Hao, ZENG Yong, LI Qiang (School of Management and Economics, University of Electronic Science and Technology of China, Chengdu 610054, China) Abstract: Berk Green Naik (1999) examined the optimal investment strategy of the enterprise level, and derive the relationship between the expected return, the book to market of equity, and the firm size which support to the Fama French three factors. Based on Berk et al (1999), this paper further examines the pricing ability of the book to market of equity and the firm size with change of the life cycle. Take the probability of future investment opportunities arrival is exponential declining into consideration, we derived the firm’s value and the firm’s expected return. Then we analyze how the pricing factors and the pricing factors ’pricing ability change as the life cycle goes on. Theoretical and empirical studies shows, when firm is young, the firm size have significant explanatory to the expected return. As firm become more and more mature, the explanatory power of the firm size to the expected return is monotonic declining, and the results are robust. But our model cannot capture the pricing ability of book to market of equity. Key Words: Growth Options, Life Cycle, Expected Return, Boo