asset pricing theory

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1、Chapter13AssetPricingTheory13.1.IntroductionChapter8showedhowanequilibriumpricesystemforaneconomywithacom-pletemarketsmodelcouldbeusedtodeterminethepriceofanyredundantasset.Thatapproachallowedustopriceanyassetwhosepayoffcouldbesyn-thesizedasameasurablefunctionoftheeconomy’sstate.We

2、coulduseeithertheArrow-Debreutime0pricesorthepricesofone-periodArrowsecuritiestopriceredundantassets.Weshallusethiscompletemarketsapproachagainlaterinthischapterandinchapter14.However,webeginwithanotherfrequentlyusedapproach,onethatdoesnotrequiretheassumptionthattherearecompletema

3、rkets.Thisap-proachspellsoutfeweraspectsoftheeconomyandassumesfewermarkets,butneverthelessderivestestableintertemporalrestrictionsonpricesandreturnsofdifferentassets,andalsoacrossthosepricesandreturnsandconsumptionalloca-tions.ThisapproachusesonlytheEulerequationsforamaximizingcons

4、umer,andsuppliesstringentrestrictionswithoutspecifyingacompletegeneralequi-libriummodel.Infact,theapproachimposesonlyasubsetoftherestrictionsthatwouldbeimposedinacompletemarketsmodel.Asweshallseeinchapter14,eventheserestrictionshaveproveddifficulttoreconcilewiththedata,theequityprem

5、iumbeingawidelydiscussedexample.Asset-pricingideashavehaddiverseramificationsinmacroeconomics.Inthischapter,wedescribesomeoftheseideas,includingtheimportantModigliani-Millertheoremassertingtheirrelevanceoffirms’assetstructures.WedescribeacloselyrelatedkindofRicardianequivalencetheor

6、em.11SeeDuffie(1996)foracomprehensivetreatmentofdiscrete-andcontinuous-timeasset-pricingtheories.SeeCampbell,Lo,andMacKinlay(1997)forasummaryofrecentworkonempiricalimplementations.–481–482AssetPricingTheory13.2.AssetEulerequationsWenowdescribetheoptimizationproblemofasingleagentwhoh

7、astheoppor-tunitytotradetwoassets.FollowingHansenandSingleton(1983),thehouse-hold’soptimizationbyitselfimposesamplerestrictionsonthecomovementsofassetpricesandthehousehold’sconsumption.Theserestrictionsremaintrueevenifadditionalassetsaremadeavailabletotheagent,andsodonotdependonsp

8、ecifyingthemarketstructurecomplet