Asset Pricing Theory推荐.pdfVIP

Chapter 13 Asset Pricing Theory 13.1. Introduction Chapter 8 showed how an equilibrium price system for an economy with a com- plete markets model could be used to determine the price of any redundant asset. That approach allowed us to price any asset whose payoff could be syn- thesized as a measurable function of the economy’s state. We could use either the Arrow-Debreu time 0 prices or the prices of one-period Arrow securities to price redundant assets. We shall use this complete markets approach again later in this chapter and in chapter 14. However, we begin with another frequently used approach, one that does not require the assumption that there are complete markets. This ap- proach spells out fewer aspects of the economy and assumes fewer markets, but nevertheless derives testable intertemporal restrictions on prices and returns of different assets, and also across those prices and returns and consumption alloca- tions. This approach uses only the Euler equations for a maximizing consumer, and supplies stringent restrictions without specifying a complete general equi- librium model. In fact, the approach imposes only a subset of the restrictions that would be imposed in a complete markets model. As we shall see in chapter 14, even these restrictions have proved difficult to reconcile with the data, the equity premium being a widely discussed example. Asset-pricing ideas have had diverse ramifications in macroeconomics. In this chapter, we describe some of these ideas, including the important Modigliani- Miller theorem asserting the irrelevance of firms’ asset structures. We describe a closely related kind of Ricardian equivalence theorem. 1 1 See Duffie (1996) for a comprehensive treatment of discrete- and continuous-time asset- pricing theories. See Campbell, Lo, and MacKinlay (1997) for a summary of recent work on empirical implementati