投资金融学方面的书籍foassetpricing1.pdfVIP

Chapter I. Preliminaries 1. INTRODUCTION nowing the factors that determine the prices of financial and non-financial assets is important in making Kdecisions at the firm level; it is also crucial in understanding financial market signals as they apply to business activity, financial stability, and fluctuations in aggregate wealth and the distribution of wealth. When we consider “asset” pricing we often have in mind stock prices. However, asset pricing in general also applies to other financial assets, for instance, bonds and derivatives, to non-financial assets such as gold, real estate, and oil, and to collectibles like art, coins, baseball cards, etc. We will mostly think of the assets as being stocks, but we will also see that many of the pricing principles that apply to stocks apply to other assets as well. We may think of any asset as generating (usually) risky, future payoffs distributed over time. The value of the asset can be viewed as the present value of the payoffs or cash flows, properly discounted for risk and time lags. At a partial equilibrium level of analysis, both the risk-adjustment method and its quantitative value, as well as the time-lag adjustment method and value are taken as given. For our purposes we will be interested mostly in general equilibrium models in which the proper risk and time adjustments are obtained endogenously. Obtaining values for asset prices is quite similar to obtaining asset returns. In particular, for a given stream of direct payoffs and derived asset prices, the current one-period asset return can found as the sum of current price plus current payoff divided by previous-period price. Conversely, for given asset returns and given stream of direct payoffs, the asset prices can be backed out. In most cases it will be more convenient for us to focus on asset re