科研之友
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摘要
Breeden [J. Financial Econ., 1979, 7, 265196], Grinols [J. Finance, 1984, 39(5), 15711595] and Cox et al. [Econometrica, 1985, 53, 363384] describe the importance of including the supply side in capital asset pricing. Black [Am. Econ. Rev., 1976, 66, 767779] derives a dynamic, multi-period CAPM, integrating endogenous demand and supply. Based upon the papers of Black and Lee et al. [Q. Rev. Econ. Finance, 2009, 49, 811828], we first derive a simultaneous equation asset pricing model. Then we test the simultaneous equation asset pricing model in terms of the disequilibrium models developed by Fair and Jaffee [Econometrica, 1972, 40, 497514], Amemiya [Econometrica, 1974, 42, 759762], Quandt [The Econometrics of Disequilibrium, 1988], and others. We also discuss two methods of estimating an asset pricing model with a disequilibrium price adjustment effect. Finally, using price per share, dividend per share, and shares outstanding, we empirically test the existence of a price disequilibrium adjustment process with international index data and U.S. equity data. We find that a disequilibrium price adjustment process does, in fact, exist in our empirical data. Our results support the finding of Lo and Wang [Rev. Financial Stud., 2000, 13, 257300] that trading volume is an important factor in capital asset pricing.
- 出版日期2013-2-1
