Asset Pricing:Introduction
Asset pricing is the study of the value of claims to uncertain future payments.
Two components are key to value an asset: the timing and the risk of its payments.
是什么决定了financial claims的价格?为什么价格会随时间变化,为什么不同资产的价格会不同:
- Statistical approaches look at statistical relationships between asset prices
- “Weak” economic approaches look at some basic relations that must hold between asset prices, such as the absence of risk-free profifitable strategies
- Economic models derive prices from the fundamental characteristics of an economy
假设在时间点 t t t,我们定义payments { x t + τ } , τ ≥ 1 \{x_{t+\tau}\},\tau\geq1 {xt+τ},τ≥1,这些payments的价格为 p t ≈ E t ∑ τ ≥ 1 [ x t + τ ] p_t\approx\mathbb E_t\sum_{\tau\geq1}[x_{t+\tau}] pt≈Et∑τ≥1[xt+τ]。
另一种考虑financial claims的方式是根据回报: R t + 1 = p t + 1 + x t + 1 p t + 1 − 1 R_{t+1}=\dfrac{p_{t+1}+x_{t+1}}{p_{t+1}}-1 Rt+1=pt+1pt+1+xt+1−1
excess return(超额回报):two assets i , j i,j i,j 回报之间的difference: R t + 1 e = R i , t + 1 − R j , t + 1 R_{t+1}^e=R_{i,t+1}-R_{j,t+1} Rt+1e=Ri,t+1−Rj,t+1
We can interpret these three representations as follows: we can invest p t p_t pt today and get { x t + τ } \{x_{t+\tau}\} {xt+τ} in the future, or invest 1 unit today and get R t + 1 R_{t+1} Rt+1 in the future, or yet invest 0 units today and get R t + 1 e R_{t+1}^e Rt+1e in the future.
Discount News: p = E t [ m t + 1 x t + 1 ] p=E_t[m_{t+1}x_{t+1}] p=Et[mt+1xt+1]