金融學專業(yè)外文翻譯----股票市場經濟活動的行為方式-金融財政(編輯修改稿)
2025-02-24 01:31 本頁面
【文章內容簡介】 ty of equity prices in contrast to the riskfree rate. These two facts are measured by the Sharperatio which cannot be matched by the standard RBC Moreover, it is worth noting that in the stochastic growth model there is only a onesided relationship. Real shocks affect stock prices and returns but shocks to asset prices – or overreaction of asset prices relative to changes in fundamentals – have no effects on real activity. The asset market is always cleared and there are no feedback mechanisms to propagate financial shocks to the real side. 4 3. The Excess Volatility Theory Other theories and macro econometric studies depart from the market efficiency hypothesis and pursue the overreaction hypothesiswhen employing macro variables as predictors for stock prices and stock returns (Shiller 1991, Summers 1986, Poterba and Summers 1988). Moreover, in this tradition the role of moary, fiscal and external shocks are seen to be relevant. Although in the long run stock prices may revert to their mean as determined by macroeconomic proxies of fundamentals in the shortrun, speculative forces and the interaction of trading strategies of heterogeneous. Agents Models In recent times numerous researchers have developed models of heterogeneous agents and heterogeneous expectations to explain waves of optimismand pessimism, excess volatility – of the above mentioned type – and the statistical properties that characterizes asset price dynamics such as volatility clustering and time varying volatility. In principle models of heterogeneous expectations are well suited to explain those phenomena. Yet there are also some short ings of those models, As indicated above, although the heterogeneous trading strategies of the different groups of investors may generate overshooting and quite plex asset price dynamics, we want to point out that it is presumably the interaction of the trading strategies and the varying perception of what the fundamentals are – and what their trend is – which explains the actual asset price dynamics. 5. The VAR Methodology Moreover, a more plete VAR study of the stock market and its interaction with other variables may also take into account inflation rates and exchange rates. Regime Change Models Overall, one might argue that the VAR methodology is strong in capturing lead and lag patterns in the interaction of the variables but it does not reveal important structural relations, in particular if nonlinearities prevail in the interaction of the variables. Moreover, dynamic macro models may be needed to provide some rationale for the use of structural r
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