资产价格周期的形成机理与刻画:文献回顾与展望

摘要/Abstract

摘要：

金融市场运行的一个典型特征是繁荣过后往往会伴随一次深刻或持久的调整.如何解释和量化分析资产价格的周期性波动现象一直是学术界的热点话题.本文分析了传统金融资产定价理论和实证方法的发展及其在解释股市大周期波动时的不足.从"基本面信息-扩散过程-资产价格"这样一个新视角综述了信息扩散理论在金融资产定价方法中的重要作用和相关文献发展趋势.最后,本文讨论了未来相关科研工作可能存在的拓展空间,特别是和管理学交叉融合而可能产生的理论方法创新,及其在业界和监管中的应用前景.

关键词: 资产定价, 周期, 风险-收益, 信息扩散

Abstract:

A stylized fact in financial market is that asset price booms are often followed by dramatic or long lasting falls. Understanding and quantifying the cyclical behavior of asset prices has always been a hot topic in the academic circle. This paper reviews the development of traditional asset pricing theory and empirical studies, and points out their weakness in explaining long-term market cycles. Based on the view of 'fundamental-information diffusion-asset price', we study the contribution of information diffusion theory to the asset pricing theory and the recent development of related literature. Finally, we discuss potential work that needs to be carried out in the future, especially the possible academic innovation in the interdisciplinary field of information diffusion-based asset pricing method and management science, and their potential application in the financial industry and market regulation.

Key words: asset pricing, cycle, risk-return, information diffusion

李自然, 祖垒, 汪寿阳. 资产价格周期的形成机理与刻画:文献回顾与展望[J]. , 2015, 27(7): 15-22.

Li Ziran, Zu Lei, Wang Shouyang. The Mechanism and Characterization of Asset Price Cycles: Literature Review and Prospect[J]. , 2015, 27(7): 15-22.

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