外国经济与管理
外國經濟與管理
외국경제여관리
Foreign Economies & Management
2013年
11期
70~80
,共null页
尤金·法玛 罗伯特·希勒 彼得·汉森 资产定价 有效市场假说 过度波动 行为金融学 消费资本资产定价模型
尤金·法瑪 囉伯特·希勒 彼得·漢森 資產定價 有效市場假說 過度波動 行為金融學 消費資本資產定價模型
우금·법마 라백특·희륵 피득·한삼 자산정개 유효시장가설 과도파동 행위금융학 소비자본자산정개모형
Eugene Fama; Robert Shiller; Lars Peter Hansen; asset pricing; efficient markethypothesis; excess volatility; behavioral finance; consumption capital asset pricing model
本文首先介绍了今年诺贝尔经济学奖得主的生平;然后在统计推断的统一分析框架下,以检验统计量是否超出随机性可以解释的程度为线索,较为详细地述评了法玛对有效市场假说(EMH)的检验和三因素模型的发展、希勒对过度波动假说的检验及对行为金融学的发展,以及汉森对广义矩估计法(GMM)及其在消费资产定价实证研究中的应用等方面的贡献;最后探讨了他们的贡献对金融实践活动以及深化我国金融体制改革和促进证券市场健康发展的意义。
本文首先介紹瞭今年諾貝爾經濟學獎得主的生平;然後在統計推斷的統一分析框架下,以檢驗統計量是否超齣隨機性可以解釋的程度為線索,較為詳細地述評瞭法瑪對有效市場假說(EMH)的檢驗和三因素模型的髮展、希勒對過度波動假說的檢驗及對行為金融學的髮展,以及漢森對廣義矩估計法(GMM)及其在消費資產定價實證研究中的應用等方麵的貢獻;最後探討瞭他們的貢獻對金融實踐活動以及深化我國金融體製改革和促進證券市場健康髮展的意義。
본문수선개소료금년낙패이경제학장득주적생평;연후재통계추단적통일분석광가하,이검험통계량시부초출수궤성가이해석적정도위선색,교위상세지술평료법마대유효시장가설(EMH)적검험화삼인소모형적발전、희륵대과도파동가설적검험급대행위금융학적발전,이급한삼대엄의구고계법(GMM)급기재소비자산정개실증연구중적응용등방면적공헌;최후탐토료타문적공헌대금융실천활동이급심화아국금융체제개혁화촉진증권시장건강발전적의의。
This paper first introduces the lives of the 2013 Nobel Prize winners in economics. Under a unified analytical framework obtained by statistical inference and taking the testing of whether a statistic is toolarge to be accounted for by stochastic process as a clue, this paper comments on Fama's contribunon to the testing of efficient market hypothesis (EMH) and the development of three-factor model, Shiller's con- tribution to the testing of excess volatility hypothesis and the development of behavioral finance, and Hansen~s contribution to the generalized method of moments (GMM) and its application in the empir ical analysis of consumption capital asset pricing in detail. It {inalIy discusses the implications of their contributions for financial practice, the deepening reform of financial system and the promotion of the healthy development of securities market in China.