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The Conception of Global Macroeconomic Spherical Model (全球宏观经济球体模型的构思)
Sheng, Cheng - 2016
English Abstract: The conception of global macroeconomic spherical model is a three-dimensional space model, which is proposed under the integration of global economy and the globalization of network. In view of the financial crisis in USA in 2008, the output of its crisis has been changed into...
Persistent link: https://www.econbiz.de/10012986873
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Reviewing Credit and Banking in Contemporary China : A Call to Action
Bußmann, Richard - 2014
English Abstract: The authors review the availability and allocation of commercial credit in China, the investment options presented to savers and the funding options available to Chinese banks. They highlight the markets intrinsic deficiencies, vast externalities and tremendous potentials for...
Persistent link: https://www.econbiz.de/10013057291
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COVID-19 抗疫债”实施效果的量化研究 (Quantitative Research on the Implementation Effect of COVID-19 'Anti-Pandemic Debt')
Xiao, Zilong - 2020
Chinese Abstract: 摘要：中共中央政治局在 3 月 27 日召开会议中多次强调通过发行特别国债和地方债应对此 次疫情，助力复工复产。为保障“抗疫”的特别债券发行，需要研究并学习已发行债券的...
Persistent link: https://www.econbiz.de/10012839937
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均值方差均衡下的证券价格 : CAPM 再认识 (Security Prices in Mean-Variance Equilibrium: A Further Study on CAPM)
Chen, Deng-Ta - 2020
Chinese Abstract: CAPM 所在的资本市场是非完全的,并且是 一 个 Hilbert 空间,我们找出了该市场中 SDF 模仿支付的显式表达式。纯风险证券的局部均衡中,CAPM 公式成立,CAPM … 等价于市场组合恰好为切点组合,并且证券价格的通解在一维空间中。给定投资者的禀赋和均值方差偏好,结合 CAPM 的价格通解,资本市场的均衡条件转化为单变量的方程,从而求得均值方差均衡价格的解析解。证券价格是内生的,全体风险证券是作为 一 个整体被定价的,貌似真实的风险决定收益是局部均衡的产物,其错误在于把市场收益率当成外生的。我们还通过数值例子,分析均值方差决策与无套利的关系,化解不可能前沿的危机,展示贝塔定价导致欧式看涨期权负价格,以及不可以使用贝塔估计权益资本成本。CAPM …English Abstract: The capital market for CAPM is incomplete and is a Hilbert space, we find out the analytic expression …
Persistent link: https://www.econbiz.de/10012853093
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MM 命题 : 重新思考 (MM Proposition: Re-think)
Chen, Deng-Ta - 2020
Chinese Abstract: MM 命题的最大贡献是提出完美市场假设和使用套利证明方法。本文回顾了完美市场假设和无套利原理,然后对 MM...
Persistent link: https://www.econbiz.de/10012854798
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有限关注度下科技关联的定价作用 (The Role of Technological Links in Asset Pricing Under Limited Attention Assumption)
Li, Xuquan - 2019
Chinese Abstract:...
Persistent link: https://www.econbiz.de/10012860303
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贝塔与系统风险 (Beta and Systematic Risk)
Chen, Deng-Ta - 2021
Chinese Abstract: 风险教条认为资产价格是由某种风险决定的，而均衡定价认为是由供需均衡决定的。基于 CAPM 市场均衡的解析解，我们看到贝塔不是证券的特性。我们指出学者们混淆了时序贝塔和市场贝塔，以及风险教条背离了均衡定价的整体性思想，孤立地看待证券个体的定价。最后，通过分析资产变动对贝塔的影响，我们揭示了诸如贝塔改变而期望收益率不变等与风险教条对立的情形。 … CAPM market equilibrium, we see that beta is not a characteristic of securities. We point out that scholars have confused …
Persistent link: https://www.econbiz.de/10013249211