Сколько должны стоить финансовые активы? Нобелевские премии по экономике 2013 г.
This paper reviews the contribution of Eugene Fama, Lars Hansen and Robert Shiller to financial asset pricing research. We show how the Nobel prize winners have changed the approach to asset pricing research, as well as the views of academic economists and investors about price predictability and the risk-return relationship.
We develop a model of asset pricing and hedging for interconnected financial markets with frictions – transaction costs and portfolio constraints. The model is based on a control theory for random fields on a directed graph. Market dynamics are described by using von Neumann – Gale dynamical systems first considered in connection with the modelling of economic growth [13,24]. The main results are hedging criteria stated in terms of risk-acceptable portfolios and consistent price systems, extending the classical superreplication criteria formulated in terms of equivalent martingale measures.
In the paper some prominent features of a modern financial system are studied using the model of leverage dynamics. Asset securitization is considered as a major factor increasing aggregate debt and hence systems uncertainty and instability. A simple macrofinancial model includes a logistic equation of leverage dynamics that reveals origins of a financial bubble, thus corresponding closely to the Minsky financial instability hypothesis. Using ROA, ROE, and the interest rate as parameters, the model provides wide spectrum of leverage and default probability trajectories for the short and long run.
This article deals theoretically and empirically with the financial globalization / financial system efficiency nexus. It presents a novel empirical test, while applying new indicators for financial globalization and the performance of the basic functions of the financial system. A dynamic model is employed with panel data, the main results of which suggest that financial globalization favors financial deepening. Regarding the efficiency in which domestic financial systems perform their basic functions, it can only be argued that financial globalization improves corporate control and facilitates the mobilization and amassing of saving, but that this is accompanied by volatility in consumption (it worsens the administration and diversification of risk) and greater bank concentration (it worsens the information on financial markets conditions).
Overvaluation on financial markets, high price volatility and quite rapid reduction of emerging markets towards an investment behavior field in terms of predictive estimation and forecast of further market changes. Hereby decision-making basis is a personal investment understanding and, due to favorable business climate, could build up the growth of irrational exuberance and speculative bubbles on financial markets.
This study models Market Certainty Index as a measure of asset overpricing and market overvaluation in terms of a speculative bubble concept. The results also provide insights of how to enhance the facility of overpriced assets studies at non-transparent economies or emerging markets.