دانلود مقاله ISI انگلیسی شماره 51740
عنوان فارسی مقاله

قیمت به عنوان عوامل: انبوهش تقریبی با بازارهای ناقص

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
51740 2002 31 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Prices as factors: Approximate aggregation with incomplete markets
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Economic Dynamics and Control, Volume 26, Issues 7–8, July 2002, Pages 1127–1157

کلمات کلیدی
قیمت گذاری دارایی؛ بازارهای ناقص؛ CAPM
پیش نمایش مقاله
پیش نمایش مقاله قیمت به عنوان عوامل: انبوهش تقریبی با بازارهای ناقص

چکیده انگلیسی

Recent developments in intertemporal asset pricing theory focus on two sets of fundamental determinants of asset returns. Models with complete markets emphasize aggregate variables such as per capita consumption. Such models have not performed well empirically. Models with incomplete markets emphasize disaggregate variables such as the distribution of wealth. These models have shown empirical promise, but their lack of parsimony has led many to question their usefulness. Indeed, most empirical applications, as well as the best practice in the financial industry, ignore much of what theory has to say altogether. Practitioners favor factor models and, in particular, models in which asset returns serve as factors that explain other asset returns. This paper attempts to rationalize these very different approaches. We show that in an incomplete-markets economy—an economy in which the true pricing kernel is high dimensional and difficult to measure—a low-dimensional pricing kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on fundamentals admits an approximate aggregation that is consistent with practical application. Theory and practice, therefore, may not be as disparate as they might seem.

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