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《Asset Pricing and the credit Market》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在學(xué)術(shù)論文-天天文庫(kù)。
1、ASSETPRICINGANDTHECREDITMARKETFrancisA.Longsta?JiangWangUCLAAndersonSchoolMITSloanSchool,andNBERCCFR,andNBERAbstractWestudyassetpricingandtradingbehaviorinanexchangeeconomypopulatedbytwoagentswithdi?erentriskaversion.Weshowthatthecreditmarketplaysacentralroleintherisksharingbetweenthetwoagents.It
2、allowstheless-risk-averseagenttoborrowinordertotakeonleveredpositionsinthestockandthusbearmorerisk.Optimalrisksharingresultsinthemore-risk-averseagente?ectivelysellingcovered“call”optionstotheless-risk-averseagent.Asthestateoftheeconomychanges,theequilibriumamountofcreditinthemarketalso?uctuates,
3、whichinturnin?uencesexpectedstockreturns,stockreturnvolatility,thetermstructureofinterestrates,andtradingactivityinthestockmarket.Wefurtherexploretheimmediateempiricalimplicationthatvariationinthesizeofthecreditmarketisrelatedtovariationinexpectedstockreturns.Usingvariousmeasuresofchangesinthesiz
4、eofthecreditmarket,we?ndthattheyhavesigni?cantpowerinforecastingone-yearexcessreturnsofthestockmarket.Ourresultssuggeststhatthecreditsectorisoffundamentalimportancetothebehaviorofassetprices.Firstdraft:November2007.Currentdraft:April2008.TheauthorsaregratefulforhelpfuldiscussionswithJohnCochrane,
5、JunLiu,HannoLustig,andPedroSanta-Clara,forexcellentresearchassistancefromDongyanYe,andforcommentsfromseminarparticipantsattheFDIC.1.INTRODUCTIONThesimplerepresentative-agentsettinghasbecomeoneofthemost-popularmodelsforstudyingequilibriumassetpricing(e.g.,Lucas(1978)andCox,IngersollandRoss(1985)).
6、Insuchasetting,thecreditmarketplaysonlyavirtualrole.Fortherepresentativeagent,equilibriumborrowingandlending,whichequalstheaggregatesupplyofcredit,isalwayszero.Hence,modelswithonlyonerepresentativeagentarelargelysilentaboutquantityvariablesinthemarketandtheirconnectionwithprices.Inparticular,they
7、makenopredictionsabouttheactualbehaviorofthecreditsectorandhowitin?uencesassetpricing.Inreality,however,thecreditsectorplaysacentralroleinthe?nancialmarkets.Recenteventssuchasthesubprime-mortgagecrisisandthesubsequentl
