浙江大学学报:人文社会科学版
浙江大學學報:人文社會科學版
절강대학학보:인문사회과학판
Journal of Zhejiang University(Humanities and Social Sciences)
2009年
4期
129~139
,共null页
主权财富基金 资产定价模型 平均风险厌恶 资产价格
主權財富基金 資產定價模型 平均風險厭噁 資產價格
주권재부기금 자산정개모형 평균풍험염악 자산개격
sovereign wealth fund; asset pricing model; average risk aversion; asset price
21世纪初特别是2007年夏天以来,伴随着全球资源性商品价格高涨和世界经济失衡加剧,主权财富基金蓬勃发展,成为全球资本市场上的重要投资者。由于主权财富基金的设立原因、资产规模以及管理者的风险偏好等因素,主权财富基金的兴起必将改变全球主要资产的供需均衡,进而影响全球主要资产的价格走向。在预测主权财富基金未来规模的基础上,就主权财富基金的兴起对全球风险资产回报率、无风险资产回报率、风险溢价以及市盈率等资产价格的影响进行定量研究后发现,主权财富基金对风险资产和无风险资产回报率的影响是同向的,且对无风险资产回报率的影响更为显著;对风险溢价和市盈率的影响也是同向的,且与风险资产和无风险资产方向相反;"新增经常账户盈余的86.5%转移到主权财富基金"是主权财富基金影响四种资产价格的"拐点"。
21世紀初特彆是2007年夏天以來,伴隨著全毬資源性商品價格高漲和世界經濟失衡加劇,主權財富基金蓬勃髮展,成為全毬資本市場上的重要投資者。由于主權財富基金的設立原因、資產規模以及管理者的風險偏好等因素,主權財富基金的興起必將改變全毬主要資產的供需均衡,進而影響全毬主要資產的價格走嚮。在預測主權財富基金未來規模的基礎上,就主權財富基金的興起對全毬風險資產迴報率、無風險資產迴報率、風險溢價以及市盈率等資產價格的影響進行定量研究後髮現,主權財富基金對風險資產和無風險資產迴報率的影響是同嚮的,且對無風險資產迴報率的影響更為顯著;對風險溢價和市盈率的影響也是同嚮的,且與風險資產和無風險資產方嚮相反;"新增經常賬戶盈餘的86.5%轉移到主權財富基金"是主權財富基金影響四種資產價格的"枴點"。
21세기초특별시2007년하천이래,반수착전구자원성상품개격고창화세계경제실형가극,주권재부기금봉발발전,성위전구자본시장상적중요투자자。유우주권재부기금적설립원인、자산규모이급관리자적풍험편호등인소,주권재부기금적흥기필장개변전구주요자산적공수균형,진이영향전구주요자산적개격주향。재예측주권재부기금미래규모적기출상,취주권재부기금적흥기대전구풍험자산회보솔、무풍험자산회보솔、풍험일개이급시영솔등자산개격적영향진행정량연구후발현,주권재부기금대풍험자산화무풍험자산회보솔적영향시동향적,차대무풍험자산회보솔적영향경위현저;대풍험일개화시영솔적영향야시동향적,차여풍험자산화무풍험자산방향상반;"신증경상장호영여적86.5%전이도주권재부기금"시주권재부기금영향사충자산개격적"괴점"。
Owing to the boom of world resource commodity markets and the aggravation of global economic imbalance in the early part of the 21st century,sovereign wealth funds have appeared in the world economy and have become the important investors in global capital markets.Because of the cause of the establishment of sovereign wealth funds,the capital scale and the risk preference of the administrators,the emergence of sovereign wealth funds will surely change the supply-demand equilibrium of global capital markets and markedly affect the price tendency of the world's main asset.By forecasting the future scale of sovereign wealth funds,this article is an attempt to estimate the influences of the emergence of sovereign wealth funds on the returned rate of risky asset and risk-free asset,the equity premium and the price-earnings ratio.The major conclusions reached in this study are as follows:the influences of sovereign wealth funds on the returned rate of risky asset and risk-free asset are of the same direction,but it is much more notable on the risk-free asset.The influences on equity premium and price-earnings ratio are also of the same direction,and is much more notable as sovereign wealth funds become stronger.The direction of sovereign wealth funds' influences on equity premium and price-earnings ratio is opposite to that of risky and risk-free assets.″Transferring 86.5% of the new current account surplus to sovereign wealth funds every year″ is the inflexion point of sovereign wealth funds' influences on the four asset prices.