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1、AssetPricing-I,TanoSantosColumbiaBusinessSchoolFall2010Tuesdays12:45-3:45Uris329AssetPricingTheoryI.OverviewoftheCourseTurntoTableAattheendofthissyllabus.Thetablecontainsthreepanelssummarizingsomebasicreturnmoments.Alargefractionoftheassetpricingliterature,forbetterorworse,rotatesaroun
2、dthattable.StartwithPanelAthatreportsthebasicmomentsofthereturnsonthemarketportfolioaswellasthoseoftheriskfreerate.ThesemomentspresentaprofoundchallengetostandardassetpricingmodelsandsinceGrossmanandShiller(1981),HansenandSingleton(1983),andMehraandPrescott(1986)havebeenthefocusofwhatr
3、esearchersrefertoastheequitypremiumliterature.Aswewillseethechallengeisreallythevolatilityofreturnsratherthantheequitypremiumandmuchrevolvesaroundunderstandingwhatisneededtogeneratevolatilereturns.Aswewillseeaswell,PanelBhasalottodowithansweringthatquestion.Thereyouhavethestandardpred
4、ictability"regression:Theregressionoflonghorizonreturnsonthecurrentdividendyield.This(mild)predictability,¯rstdocumentedbyFamaandFrench(1988)andCampbellandShiller(1988),isattheheartofmanyoftheexplanationsthathavebeenproposedtoaddresstheequitypremiumpuzzles.Finally,PanelC,dealswiththeo
5、therside"ofassetpricing,namelythecrosssectionofstockreturns.ThereIreporttheaverageexcessreturnsindecileportfolioswheretheassetshavebeensortedaccordingtomarket-to-book.ThePanelCshowsthefamousvaluepremium:Assetswithlowmarket-to-book(valuestocks)havehighaverageexcessreturnswhencomparedtoa
6、ssetswithhighmarket-to-book(growthstocks.)Thevaluepremiumistheequivalentoftheequitypremiumbutinthecrosssection.Thetablealsoshowsthevaluepremiumpuzzle:GrowthstockshavelowaverageexcessreturnsandhighCAPMbetaswhereasvaluestockshavehighaverageexcessreturnsandlowCAPMbetas.Thecross-1sectional
7、literature,forbetterorworse,rotatesaroundthisissue.1ThepurposeofthecourseistoanalyzemodelsthatallowsustointerprettheregularitiesinTableAthroughthefollowingexpression(1)p=E[m¢x];whichlinkspayo®s,x,toprices,p,viaanstochasticdiscountfactor,m,amndwhereweaverageacrossstatesviatheoperator,
