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1、±±±±±±±±±±±±±±±±±±±FOUNDATIONSOF±±±±±±CHAPTER±±±±2±±±±FINANCEII:ASSET±PRICING,MARKETEFFICIENCY,ANDAGENCYRELATIONSHIPS2.1INTRODUCTIONInfinancewestudyhowindividualsandorganizationsacquireandallocatere-sources,whiletakingintoaccountassociatedrisks.Thoughinearliertimesfinan-cialeconomi
2、stsconsideredpsychologicalinfluences,inmorerecentdecadesfinancehasmovedawayfromthesocialsciencesandtowardtheframeworkadoptedinnaturalsciences.Inthenaturalsciencestheuniverseisviewedasadheringtorulesofanaturalorder.Inthistradition,financialdecision-makingisusuallymodeledbasedonassum
3、ptionsaboutthebehaviorofindividualsandmarkets.Inthischapterthreecentraltheoriesofmodernfinancearereviewed.InSection2.2,thecapitalassetpricingmodel(CAPM)whichdescribeshowassetsarepricedinmarketsispresented.Priortothismodel,whileitwascleartoobserversthatriskyassetsshouldbepricedtoear
4、n,onaverage,higherreturnsthanlessriskyas-setsincompensationfortheriskborne,therewasnorigorousmodelthatdescribedthetrade-offbetweenriskandreturn.TheCAPMwasthefirsttospecifythenatureofriskandtheextenttowhichitshouldbepriced.Next,inSection2.3,wecon-sidertheefficientmarketshypothesis(E
5、MH),or,synonymously,marketefficiency,whichpositsthatassetpricesreflectinformationsothatexcessreturnscannotbeearnedonaconsistentbasis.ThevalidityoftheEMHishotlydebatedbythoseproponentsofbehavioralfinancewhoarguethatindividualirrationalityimpactsmarketoutcomes.Finally,inSection2.4,we
6、reviewagencytheory,whichsuggeststhatconflictsofinteresthaveimportantimplicationsforcorporatefinancetheory.1920CHAPTER22.2THEPRICINGOFRISKInthepreviouschapterwereviewedexpectedutilitytheory,whichsaysthatindividualsfacedwithuncertaintymaximizetheutilityexpectedacrosspossiblestatesoft
7、heworld.Ofcourse,forafinancialassetwithpotentiallyinnumerablepossiblefutureoutcomes,thisisnotamanageabletask.Fortunately,assetpricingtheoryprovidesawaytoquantifythetrade-offbetweenriskandreturn.Beforefor-mallyconsideringhowassetsshouldbepriced,wewillexaminehowthetrade-offbetweenris
8、kandreturncanbemeasured.RI
