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The development of modern financeFirst, the financial problem of the uncertainty(A) the uncertainty of the field in the application of asset pricing1. Portfolio Theory and Capital Asset Pricing ModelIn the framework of the financial analysis, introduction of the concept of uncertainty is a major role. First Kenes (1936) and Hicks (1939) proposed the concept of risk compensation that the financial products in the presence of uncertainty, should interest rates in different financial products in compensation for additional risks. Subsequently, Von Neumann (1947) applied the concept of expected utility of the proposed settlement in the decision-making under uncertainty in the method chosen, on this basis Markowiz (1952) developed a portfolio theory, he thought when investors choose portfolio concerned only with future cash flow of the mean and variance. He assumed that the expected utility of investors consistent with secondary distribution or multinomial distribution. Markowiz The main conclusions are subject to uncertainty, optimal decision-making is a diversified investment holding. Tobin (1958) that investor liquidity preferences for their own benefits and risks of different options for the balance. This further improved the framework of portfolio choice the field of asset pricing model is another well-known theory of capital pricing model (CAPM), Sharp (1994) and Lintner (1995) using the formula succinctly expressed the portfolio value and risk-free interest rate and the level of risk assets, the relationship between . Black (1972) introduced even in the non-risk assets zones remained the case, Sharp and the CAPM formula is still valid, just without the risk of interest rates are including the entire market on all assets of the portfolio rate of return instead of the 预期. Contemporary with the CAPM model of the asset pricing model also Ross (1977) arbitrage pricing model (APT) and Lucas (1978) the typical agent asset pricing by CAPM asset pricing model for asset pricing provides a simple method of calculation, and obtain some support from empirical studies (Fama and Macbeth, 1973), but in reality some of the anomalies is still a lack of effective explanatory power, Brennan (1989) that the CAPM is based on the expectations of all investors in the investment and risk are common in estimates and judgments, and all investors the same utility function based on the assumption that this assumption is inconsistent with the reality This is leading to some practical problems CAPM on the root causes of the lack of explanatory power. It is beyond doubt on these assumptions, to promote the introduction of the concept of asymmetric information and . Market efficiency hypothesisMarket efficiency hypothesis that in a perfectly competitive market, there is no asymmetric information and market frictions affect the future earnings of the average investment risk is different. 60s in the 20th century a large number of research workers on the market efficiency hypothesis was tested, Fama (1973) through empirical tests on the . stock market, that the efficient market hypothesis holds, but many researchers found that in the market, There are many market efficiency hypothesis or CAPM model can not explain the abnormal phenomenon. For example, Basu (1977) found that the average earnings assets, in addition to the β coefficient of the CAPM, but also with the price earnings ratio of assets (P / E ratio) is related to the same β coefficient, the higher the price earnings ratio stocks (growth stocks) better than the market price of the low price earnings ratio of stocks (value stocks); Benz (1981) found that the market price of the stock with the size of the listed company; Stattman (1980) found that stock prices and the ratio of book value (P / B ratio) is also an important factor affecting stock prices. Fama and French (1993) On the basis of the above three-factor model proposed that the impact of asset prices in the β factors, joined the P / E ratio and P / B ratio interpretation of these anomalies, the efficient market hypothesis seems powerless, someone had tried the "January effect" to the end of Shuishou interpreted as the impact of outflow, but in the United Kingdom, Australia, the annual revenue of the country is not in December, there are still "in January effect "can not be explained. Some scholars from a psychological perspective to explain these anomalies, such as, Dreman (1982) the stock price P / E ratio effect interpreted as the investor always overestimate growth stocks with high growth, leading to market high P / E ratio of stock market was overvalued, that it is a reason for low stock . Continuous time modelIn asset pricing theory is another important assumption: stock market is always in a continuous process, under this assumption, Merton (1969,1971) to develop instantaneous CAPM Capital Asset Pricing Model (ICAPM), the same information symmetry, frictionless market, asset price changes in line with Ito process under these conditions, asset prices and investor preference for independent effectiveness. In subsequent studies Merton (1973) and Black (1973) The application of these continuous-time model has been successful in the option pricing formula, the formula was later confirmed that a large number of empirical studies and has been widely applied in practice.(B) the uncertainty of financial management in the company ofFinancial analysis is another important area of financial management, major research firms in the investment decision-making in the proportion of the debt and equity options, the company's dividend policy and other issues. Results of the first studies in this area by the Modigliani and Miller (1958) made their study shows that full market (no market frictions and asymmetric information exists) the value of the company has nothing to do with the company's debt ratio (MM theorem). A similar study concludes that the value of the company's profit distribution policy has nothing to do. Obviously, these research findings and practical in reality. MM theorem based on the conclusions in the distribution of profits, due to the cash outflow will be sent found Jinhong Li, the Company repurchased shares will be more willing to choose policies, rather than the dividend policy, in reality, many companies prefer to dividends rather than Share buy-back, this phenomenon is Black (1976) referred to as "Company dividend puzzle (Dividend Puzzle)", which Miller (1977) can give the explanation, MM theorem conclusion is that the reason and the reality of different tax and the so-called bankruptcy costs on the financial structure is the result of certain liabilities of the company can achieve the role of tax relief, another company because of the existence of high debt ratio risk of bankruptcy, so the debt ratio to the value of existing shares affected, Miller and Other scholars make on these financial problems are not very satisfactory interpretation of the whole until later after the introduction of asymmetric information, it seems Caidui explain these issues to achieve a mentioned above, some of the phenomena of reality is difficult to simply use the uncertainty (risk) to get a satisfactory explanation, it is in the research of these issues raises the question of asymmetric information on financial concerns, plus last 60 years in the 20th century to game theory, represented a breakthrough in the information economy research methods, leading many scholars to the financial problems of asymmetric information in the study achieved a lot, especially the use of asymmetric information can explain a lot of perfectly the financial structure issues. Following is an overview of this still results in two parts, first in the results of financial decision-making, followed by the asset pricing results.(A) asymmetric information in corporate financial management application
INTO THE STORMFOR much of the past year the fast-growing economies of the emerging world watched the Western financial hurricane from afar. Their own banks held few of the mortgage-based assets that undid the rich world’s financial firms. Commodity exporters were thriving, thanks to high prices for raw materials. China’s economic juggernaut powered on. And, from Budapest to Brasília, an abundance of credit fuelled domestic demand. Even as talk mounted of the rich world suffering its worst financial collapse since the Depression, emerging economies seemed a long way from the centre of the storm.过去一年的大部分时间里,高速发展的新兴国家一直在远处观望着西方国家的金融风暴。他们的银行仅持有少量抵押资产,而类似的资产已经破坏了发达国家的金融公司。商品出口商因为原材料的高价格而日渐富有。中国不可抗拒的经济力量已然开启,而且信贷刺激的内需从布达佩斯到巴西利亚都表现得非常充足。尽管大萧条后关于西方国家受难于金融崩塌的话题与日俱增,但新兴国家似乎距离金融风暴的中心还有一段距离。No longer. As foreign capital has fled and confidence evaporated, the emerging world’s stockmarkets have plunged (in some cases losing half their value) and currencies tumbled. The seizure in the credit market caused havoc, as foreign banks abruptly stopped lending and stepped back from even the most basic banking services, including trade credits.不过目前的情况不再是那样了,随着境外资本的流失和经济信心的消失,新兴国家股市暴跌(有些地区已经腰斩),本币迅速贬值。由于外国银行突然中断贷款,并且收缩了包括贸易信贷在内的基础银行服务,新兴国家的信贷市场突发混乱,并引发了一场浩劫。Like their rich-world counterparts, governments are battling to limit the damage (see article). That is easiest for those with large foreign-exchange reserves. Russia is spending $220 billion to shore up its financial services industry. South Korea has guaranteed $100 billion of its banks’ debt. Less well-endowed countries are asking for help. Hungary has secured a EURO5 billion ($ billion) lifeline from the European Central Bank and is negotiating a loan from the IMF, as is Ukraine. Close to a dozen countries are talking to the fund about financial help.新兴国家的政府和发达国家的政府一样都在为控制损失程度而奋斗。不过对于外汇储备充足的国家来说难度会小一些:俄罗斯斥资2200亿美元重振金融服务行业;韩国政府担保了1000亿美元的银行债务。而那些储备并不充足的国家正在四处求援:匈牙利成功向欧洲央行求得了50亿欧元(约66亿美元)的生命线,同时也在同国际货币基金组织协商借款事宜,同时向国际货币基金组织求援的还有乌克兰。近一打儿的国家在向基金组织求助。Those with long-standing problems are being driven to desperate measures. Argentina is nationalising its private pension funds, seemingly to stave off default (see article). But even stalwarts are looking weaker. Figures released this week showed that China’s growth slowed to 9% in the year to the third quarter-still a rapid pace but a lot slower than the double-digit rates of recent years.有持续问题的国家正棋行险招:阿根廷正在将私人养老金国有化,意图阻止违约的发生。即使强有力的国家也表现出虚弱一面:本周公布的数字表明今年中国的增长率在第三季度减缓为9%,虽然增速还算快,但是与近些年的两位数增率相比缓慢了不少。Blowing cold on credit对信贷没兴趣The various emerging economies are in different states of readiness, but the cumulative impact of all this will be enormous. Most obviously, how these countries fare will determine whether the world economy faces a mild recession or something nastier. Emerging economies accounted for around three-quarters of global growth over the past 18 months. But their economic fate will also have political consequences.众多新兴经济的意愿并不相同,但是累计在一起的影响力却非同一般。最明显的就是这些国家的表现将会决定世界经济所面临的是一个较为缓和的衰退还是更可怕的情况。在过去18个月的全球经济增长中,新兴经济贡献了75%。但是他们的经济命运也会有一些政治后果。In many places-eastern Europe is one example (see article)-financial turmoil is hitting weak governments. But even strong regimes could suffer. Some experts think that China needs growth of 7% a year to contain social unrest. More generally, the coming strife will shape the debate about the integration of the world economy. Unlike many previous emerging-market crises, today’s mess spread from the rich world, largely thanks to increasingly integrated capital markets. If emerging economies collapse-either into a currency crisis or a sharp recession-there will be yet more questioning of the wisdom of globalised finance.在类似东欧的很多地区,金融混乱目前的打击目标是软弱的政府;但强硬的政权同样会尝到苦果。一些专家认为中国每年需要7%的增长率来阻止社会动荡的发生。总体来说,如此争端必将影响全球经济一体化的讨论。与以往数次新兴经济危机不同,这次的混乱始于发达国家,很大程度上要归咎于一体化的资本市场。一旦新兴经济崩溃,无论是货币危机还是剧烈的经济萧条,大家对于金融全球化是否属明智之举会有更多的质疑。Fortunately, the picture is not universally dire. All emerging economies will slow. Some will surely face deep recessions. But many are facing the present danger in stronger shape than ever before, armed with large reserves, flexible currencies and strong budgets. Good policy-both at home and in the rich world-can yet avoid a catastrophe.幸运的是上述恐怖的场景没有发生在全球的每个角落:所有的新兴经济都会减缓发展速度,有一些也必将面临深度萧条;但是更多的国家在面临当下危机的时候却拥有比以往任何时候都强壮的形式,用充足的储备、弹性的货币和强大的预算武装自己。新兴国家及发达国家良好的政策可以避免大灾难的发生。One reason for hope is that the direct economic fallout from the rich world’s disaster is manageable. Falling demand in America and Europe hurts exports, particularly in Asia and Mexico. Commodity prices have fallen: oil is down nearly 60% from its peak and many crops and metals have done worse. That has a mixed effect. Although it hurts commodity-exporters from Russia to South America, it helps commodity importers in Asia and reduces inflation fears everywhere. Countries like Venezuela that have been run badly are vulnerable (see article), but given the scale of the past boom, the commodity bust so far seems unlikely to cause widespread crises.至少有一个原因值得抱有希望:发达国家此次灾难的直接经济影响还是在可控的范围内。欧美锐减的需求对出口来说无疑是一个打击,特别是对亚洲和墨西哥。商品价格走低:原油价格与巅峰时期比较已经下降了60%,很多粮食和金属类商品跌幅更大。这两个现象有混合效果:尽管从俄罗斯到南美的商品(能源)出口企业备受打击,但却帮助了亚洲的商品(能源)进口商,并且缓和了各地对通胀的恐惧。委内瑞拉的情形一直很糟糕,也很脆弱;不过由于过去极度的繁荣,商品价格下跌目前还不会引发大范围传播的危机。The more dangerous shock is financial. Wealth is being squeezed as asset prices decline. China’s house prices, for instance, have started falling (see article). This will dampen domestic confidence, even though consumers are much less indebted than they are in the rich world. Elsewhere, the sudden dearth of foreign-bank lending and the flight of hedge funds and other investors from bond markets has slammed the brakes on credit growth. And just as booming credit once underpinned strong domestic spending, so tighter credit will mean slower growth.比商品价格更令人震惊的事情发生在金融领域。由于资产价格的下降,财富水平正在被挤压缩水。以中国房价为例,目前已经开始下跌。尽管新兴国家的消费者比发达国家的负债水平低很多,上述情况还是会挫伤国内的经济信心。在其他方面,国外银行借款骤然匮乏、对冲基金以及其他投资者逃离债券市场,这些因素给信贷增长踩了一脚急刹车。正如发达的信贷曾经强力支撑国内支出那样,信贷紧缩将意味着增长放缓。Again, the impact will differ by country. Thanks to huge current-account surpluses in China and the oil-exporters in the Gulf, emerging economies as a group still send capital to the rich world. But over 80 have deficits of more than 5% of GDP. Most of these are poor countries that live off foreign aid; but some larger ones rely on private capital. For the likes of Turkey and South Africa a sudden slowing in foreign financing would force a dramatic adjustment. A particular worry is eastern Europe, where many countries have double-digit deficits. In addition, even some countries with surpluses, such as Russia, have banks that have grown accustomed to easy foreign lending because of the integration of global finance. The rich world’s bank bail-outs may limit the squeeze, but the flow of capital to the emerging world will slow. The Institute of International Finance, a bankers’ group, expects a 30% decline in net flows of private capital from last year.需要再次重申的是,冲击的表现会因国家的不同而有所区别。多亏中国和海湾产油国经常项目下的巨额顺差,新型经济整体还不断的向发达国家输送资本。但是80 多个国家的财政赤字已经超过GDP的5%,其中的多数是那些依靠国外救助过活得贫困国家;不过也有一些依靠私人资本的大国。对于类似土耳其和南非的国家来说,突然减缓的境外融资迫使其进行大幅调整。东欧的情况特别令人担忧,那里的不少国家赤字水平已经达到了两位数。另外,象俄罗斯这样处于顺差的国家,其银行也逐渐适应了可以轻易从外国取得的贷款,原因自然是全球金融一体化。发达国家的救助计划也许可以限制财富被挤压的水平,但资本流向新兴世界的速度无疑会减慢。国际金融研协会预测私人资本的净流量比去年回减少30%。A wing and a prayer飞行之翼与祈祷者This credit crunch will be grim, but most emerging markets can avoid catastrophe. The biggest ones are in relatively good shape. The more vulnerable ones can (and should) be helped.信贷紧缩必将令人生畏,不过多数新兴市场可以躲过一劫,最大的市场形势还相当不错。比较脆弱的市场可以(也应该)得到帮助。Among the giants, China is in a league of its own, with a $2 trillion arsenal of reserves, a current-account surplus, little connection to foreign banks and a budget surplus that offers lots of room to boost spending. Since the country’s leaders have made clear that they will do whatever it takes to cushion growth, China’s economy is likely to slow-perhaps to 8%-but not collapse. Although that is not enough to save the world economy, such growth in China would put a floor under commodity prices and help other countries in the emerging world.在那些坚强的巨人中,中国卓然不群:手握2万亿美元的储备,经常项下的顺差状态,与国外银行罕有关联,过剩的预算给推动支出留有足够空间。鉴于国家领导人已经明确表示将不惜一切代价为经济增长减速缓冲,中国的经济增长应该会减缓到大约8%的水平,但是决不会崩溃。虽然这不足以挽救世界经济,但是该增长率将会为商品价格建底并帮到新兴世界的其他国家。The other large economies will be harder hit, but should be able to weather the storm. India has a big budget deficit and many Brazilian firms have a large foreign-currency exposure. But Brazil’s economy is diversified and both countries have plenty of reserves to smooth the shift to slower growth. With $550 billion of reserves, Russia ought to be able to stop a run on the rouble. In the short-term at least, the most vulnerable countries are all smaller ones.其他的经济大国会受到更大的冲击,不过应该可以禁受住风暴侵袭。印度的财政赤字巨大,巴西很多公司面临巨大的外汇风险。但巴西经济已经实现多样化,同时上述两个国家拥有充足的储备来平稳过渡到缓慢的增长。俄罗斯掌握着5500亿美元的储备,应该能够阻止对卢布的抢购。至少在短期内,小国家才是最弱不禁风的。There will be pain as tighter credit forces adjustments. But sensible, speedy international assistance would make a big difference. Several emerging countries have asked America’s Federal Reserve for liquidity support; some hope that China will bail them out. A better route is surely the IMF, which has huge expertise and some $250 billion to lend. Sadly, borrowing from the fund carries a stigma. That needs to change. The IMF should develop quicker, more flexible financial instruments and minimise the conditions it attaches to loans. Over the past month deft policymaking saw off calamity in the rich world. Now it is time for something similar in the emerging world.受到紧缩信贷压力进行的调整必然带来痛苦,但快速的国际援助是明智之举,因为这会让结果很不相同。一些新兴国家已经向美联储求援以缓解流动性问题;有一些则希望中国可以拯救他们与水火。更佳的求救路线莫过于国际货币基金组织,因为它掌握大量的专门知识和2500亿美元的可出借款项。不幸的是人们认为向基金借款有辱其名,国际货币基金组织应该推出更快捷、更灵活的金融工具,同时实现借贷条件最小化。过去数月中,机敏的决策驱散了发达国家的灾难。现在也正是新兴世界发生类似事情的时候了。
现代金融学的发展一、金融问题中的不确定性研究在21世纪以前的经济学研究中,研究者大多关注的是企业中的投入产出效率问题,由于当时资本市场化程度低,很少有人专门研究与资本决策有关的问题,尽管如此,还是有些研究成果对以后金融学的发展起到了很大的推动作用,其中最大的贡献是资金时间价值概念的提出。随着金融市场的发展,以及人们对不确定性概念的认识,进入30年代以后产生了大量对金融决策问题的研究成果,同时这些成果又积极推进了金融市场的活跃与发展。在本文以下部分简要概述与评价了这一时期的重要研究成果。(一)不确定性研究在资产定价领域中的应用1.证券组合理论与资本资产定价模型在整个金融分析的框架中,不确定性概念的引入是具有重大作用的。最早Kenes(1936)和Hicks(1939)提出了风险补偿的概念,认为由于金融产品中的不确定性的存在,应该对不同金融产品在利率中附加一定的风险补偿。随后,Von Neumann(1947)应用预期效用的概念提出了解决在不确定性条件下的决策选择的方法,在此基础上Markowiz(1952)发展起了证券组合理论,他认为投资者选择证券组合时关注的只是未来现金流的均值与方差。他假设投资者的预期效用符合二次分布或者是多项式分布。Markowiz的主要研究结论是在不确定的前提下,最优的投资决策是分散化持有。Tobin(1958)认为投资者出于自身流动性偏好的不同选择收益与风险的均衡。这进一步完善了证券组合选择理论的框架。在资产定价领域另一著名的理论模型就是资本定价模型(CAPM),Sharp(1994)和Lintner(1995)用公式简明地表述了资产组合的价值与无风险利率以及资产的风险水平之间的关系。Black(1972)推出了即使在不存在无风险资产的情况下,Sharp和CAPM公式仍然成立,只是无风险利率被包括整个市场上所有资产的证券组合的预期收益率代替。与CAPM模型同时代出现的资产定价模型还有Ross(1977)的套利定价模型(APT)和Lucas(1978)典型代理资产定价模型。以CAPM为代表的资产定价模型,为资产定价提供了一个简洁的计算方法,并且得到了一些在实证方面的研究的支持(Fama and Macbeth,1973),但是对现实中的一些异常现象仍然缺少有效的解释能力,Brennan(1989)认为CAPM是建立在所有投资者对投资的预期与风险都具有共同的估计与判断,并且所有投资者的效用函数一致的假设基础之上,这一假设与现实不一致,这是导致CAPM对一些现实问题缺少解释力的根本原因。以后正是对这些假设的质疑,推动了信息不对称概念的提出与研究。2.市场有效性假说市场有效性假说认为,在一个完全竞争市场中,不存在不对称信息与市场摩擦,影响未来平均收益的只是投资风险的不同。在20世纪60年代有大量研究工作者对市场有效性假说进行了检验,Fama(1973)通过对美国证券市场的实证检验,认为有效市场假说是成立的,但是很多研究人员发现了在市场中,存在着许多市场有效性假说或者CAPM模型解释不了的异常现象。例如,Basu(1977)发现资产的平均收益除了与CAPM中的β系数有关外,还与资产的价格盈利比率(P/E比率)有关,在相同β系数下,价格盈利比率高的股票(成长型股票)的市场价格好于价格盈利比率低的股票(价值型股票);Benz(1981)发现股票的市场价格还与上市公司的规模有关;Stattman(1980)发现股票的价格与账面价值的比率(P/B比率)也是影响股票价格的重要因素。Fama和French(1993)在以上研究的基础上提出了三因素模型,即在影响资产价格的β因素外,加入了P/E比率和P/B比率因素。另外,许多研究人员从时间序角度研究也发现了一些市场有效假说与CAPM解释不了的异常现象,其中最为著名的就是Pozeff和Kinney(1976)发现的所谓“一月效应”;他们发现在纽约证券市场的指数在一月期间的存在明显低于其他月份的现象;还有就是Cross(1973)和French(1980)发现存在类似的“星期一效应”,以后许多研究人员在世界范围内验证了这两种现象的存在。对这些异常现象的解释,有效市场假说显得无能为力,有人曾经试图将“一月效应”解释为到年末税收流出的影响,但是在英国、澳大利亚等税收年度不在12月份的国家,仍然存在“一月效应”就无法解释了。有些学者从心理学的角度解释这些异常现象,例如,Dreman(1982)将股票价格的P/E比率效应解释为,由投资者总是过高估计具有高成长性股票的成长性,导致市场中具有高P/E比率的股票的价格被高估了,这是导致股票收益率低的原因。3.连续时间模型在资产定价理论中的另一个重要假设是:证券市场总是在连续过程中,在这一假设前提下,Merton(1969,1971)将CAPM发展为瞬时资本资产定价模型(ICAPM),同样在信息对称、无摩擦的市场中,资产价格的变化符合Ito过程,在这种条件下,资产的价格与投资者的效用偏好无关。在随后的研究中Merton(1973)和Black(1973)应用以上连续时间模型成功地得到了期权定价公式,这一公式后来被大量的实证研究所证实,并且被广泛在实践中应用。(二)不确定性研究在公司财务管理中的应用金融分析研究的另外一个重要领域是公司财务管理,主要研究公司在投资决策中的有关负债与权益比例选择、公司的红利政策等问题。最早这方面的研究成果由Modigliani和Miller(1958)作出,他们的研究显示,在完全市场中(没有市场摩擦与信息不对称存在)公司的价值与公司的负债比率无关(M-M定理)。类似的研究结论还有,公司的价值与公司的利润分配政策无关。显而易见,这些研究结论与现实中的事实不符。依据M-M定理的结论,公司在利润分配时,由于派发现金红利会有现金流出,公司将更愿意选择股份回购的政策,而不是红利政策,而在现实中,许多公司更愿意选择分红而不是股份回购,这一现象被Black(1976)称为“公司红利的困惑(Dividend Puzzle)”,对此Miller(1977)所能给出的解释是,M-M定理的结论之所以与现实不同在于税收与所谓的破产成本对财务结构的影响,是由于一定的负债可以使公司达到税收减免的作用,另外由于对高负债率公司存在着破产的风险,所以负债率对公司股票价值存在影响,Miller以及其他的学者对这些财务问题做出的解释总体来说都不很令人满意,直到后来引入不对称信息以后,似乎才对这些问题的解释取得了突破。二、金融中的不对称信息问题的研究正如前文所述,对现实中的一些现象很难单纯用不确定性(风险)来得到满意的解释,正是在对这些问题的研究引起了人们对金融问题中的不对称信息的关注,加上在20世纪60年代以博弈论为代表的信息经济研究方法的突破,使得许多学者在对金融问题中的不对称信息的研究中取得了很多成果,特别是用不对称信息可以完美地解释许多有关财务结构方面的问题。以下仍然分两部分概述这方面的成果,首先是在财务决策方面的成果,接下来是在资产定价方面的成果。(一)不对称信息在公司财务管理中的应用1.红利信号模型关于公司红利决策的困惑引起了许多学者的关注,除了以上提到的公司更愿意支付红利而不愿意将利润用于股份回购的异常现象之外,Lintner(1957)还发现公司在进行红利决策时,由于受累进税制的影响,更愿意使各年的红利平滑些,所以公司每年的红利波动要远远小于股票价值波动,有关税收减免的理论解释较为理想,并且在以后被许多学者用实证方法证实了这一现象的存在(例如:Fama and Babiak,1968)。但是税收效应并没有很好解释公司为什么更愿意支付红利的困惑。最早Miller(1961)注意到红利可能是向投资者揭示公司发展前景的信号,但是直到Bhattacharya(1979)才应用博弈论方法建立起了红利模型,Bhattaeharya成为第一个将博弈论引入金融分析的学者,Bhattacharya认为公司的管理者对公司投资项目的前景与其他普通投资者相比具有信息方面的优势,管理者通过公司的尽可能高的红利向普通投资者传递信息,如果公司红利水平高意味着公司投资项目的未来前景好,而对于无法支付高额红利的公司将不得不向银行贷款,从而担负过高的财务成本。以后许多学者在此基础上对模型又进行了一个改造(Miller and Rock,1985;John and Williams,1985)。但是仍有学者质疑认为,按照以上模型认为只有在公司需要为新项目向市场融资时,才有积极性支付高水平的红利,但事实上模型的红利支付水平并不受公司是否有新项目的影响。也就是说,上面的信号模型不能很好解释红利的平滑性。为此,Kumar(t988)发展出了一个粗糙信号(Coarse Signaling)模型,其结论认为公司在一定的利润范围内会支付同样水平的红利,直到公司的利润水平超出了这一范围,公司管理者才会调整红利支付水平。红利信号模型的另外一个问题是,公司为什么愿意支付红利,而不是股票回购。Ofer和Thakor(1987),Barclay和Smith(1988)用逆向选择原理解释了这一现象,他们认为公司更愿意在市场上自己股票被低估时回购股票,所以回购股票行为向市场传达了股票价值被低估的信号,所以会引起股票价值的上涨,从而使公司支付了额外的成本,而用红利分配利润不存在这一逆向选择问题。2.资本结构正如上文提到的,公司资本结构问题的研究在引入不对称信息以前一直没有得到令人满意的结论。应用博弈论描述公司资本结构的决策过程,大大推动了对公司基本结构决策研究的发展。最早Ross(1977)建立了一个公司负债决策的博弈模型,其中公司通过负债率向资本市场传递公司未来经营前景的信息,由于高负债率可能导致公司破产的风险加大,而一旦公司破产将为公司的经营者带来损失,所以只有公司管理者对公司未来的现金收益乐观时才会在资本结构决策时选择贷款,提高负债率。而前景乐观的公司提高负债率的决策是前景悲观的公司所无法模仿的,所以对资本市场来说,高负债率是公司发展前景乐观的信号。随后在Myers(1984)的模型中,认为如果管理者在公司项目发展需要融资时,如果管理者认为目前市场上自己公司股票价值被市场高估了,会选择通过发行股票的直接融资方式,而如果管理者认为公司股票价值被低估了,就会选择贷款等间接融资方式,所以说公司增加发行股票向资本市场传递的是公司目前股票价值被高估的信号。Myers认为经营者在面对新项目需要投资时首先选择的是用自身盈利积累完成投资,其次是选择贷款等间接融资方式,最后才会选择发行股票的融资方式,这被称之为“融资顺序理论(Pecking order theory of finance)”。在金融分析中应用博弈论的不对称信息理论取得较大成绩的研究就是所谓的代理问题的研究,Jensen和Mecking(1976)指出公司中存在两类代理问题,其一是债权人与股东的代理矛盾,其二是股东与公司管理者的代理矛盾。债权人与股东间的矛盾表现在股东总是扩大公司投资风险,因为项目成功了超额收益全部是股东的,而如果公司经营失败,破产的成本由债权人与股东共同负担。Diamond(1989)通过研究认为,在长期重复博弈条件下,股东的声誉可以在一定程度改善股东和债权人间的矛盾。股东与管理者间的矛盾是由于股东不能有效控制管理者的经营行为,因而管理者会最大化自己的利益,可能会损害股东利益。在80年代末与90年代,出现了有大量关于代理问题的研究成果,Hart和Moore(1989,1994,1998)研究发现当企业家计划投资新项目而需要向外融资时,与投资者签订贷款合同是最优合同,得到这一结论的关键在于虽然企业家与外部投资者在项目未来进展的各个时期都可以观察到项目的收益情况,但是第三方(例如:法官)无法观察到项目的收益,此时贷款合同是最优融资合同,并且Hart认为由于贷款人在企业家不能偿还贷款时可以控制公司的资产,所以企业家有积极性偿还贷款。3.公司所有权控制市场公司所有权控制市场的概念最早是由Manne(1965)提出的,他认为为了有效的配置资源,公司所有权控制市场的存在是必要的,现代资本市场的有效运转离不开公司所有权控制市场的存在。在公司所有权控制市场中所有权的转移方式是多样化的,包括:收购、兼并、股票的发行以及委托代理关系的变化等手段。在传统的完全竞争、无摩擦的资本市场假设下,很少考虑公司所有权转移对公司价值的影响,而事实上每次兼并收购活动都会引起公司股票价值的大幅波动。直到进入80年代以后非对称信息概念的引入,使得人们认识到了公司所有权控制市场对资本市场影响的内在机制。Crossman和Harl(19803研究了在公司收购过程中存在所谓的“免费搭车问题(Free Rider Problem)”,他们认为当收购方发现一个目标公司的运营效率低下,而决定收购目标公司时,面对外部的标购,原有的股东知道收购者通过收购后公司在新的经营者经营下,效率会提高,所以会自发抵制收购,等待收购价格的升高,直到收购价格升高到在新经营者的经营水平下的合理的价格时,原有股东才会出售手中股票。考虑到收购方在收购过程中搜集信息、组织收购是有成本的,所以采用标购行为实际上为收购方带来了损失。Shleifer和Vishny(1986)认为,如果收购方在标购目标公司以前就已经持有了目标公司的一定股票,可以解决上述“搭车问题”的困惑,收购方可以用自己手中股票的增值弥补收购带来的损失。然而Shleifer和Vishny的结论并没有在实证中得到证实,反而Desai和Kim(1988)的实证结果认为大多数的收购方在标购前并没有持有目标公司的股票。在收购行为研究方面的另外一个困惑就是收购行为往往导致股票价格的大幅上涨,例如:Jennings和Mazzeo(1993)发现收购发生时的收购人对目标公司的首次出价,大多数高于收购前10天的股票价格的20%。Fishman(1988)将这种现象解释为是由于有潜在竞争者随时会加入收购,较高的出价是为了阻止竞争者加入。4.新股发行(IPO)在1963年在由美国证券交易委员会组织的一项研究中,首次发现在新股上市后的短期存在着明显的超额回报的现象,以后许多学者在许多国家发现了这一现象,例如:Ibbotson和Ritter(1995)统计得出美国纽约证券市场1960-1992年发行新股的首日的超额回报是。在许多年中IPO现象成为挑战市场有效性假说的又一个证据。对IPO现象最早的解释是由Rock(1986)作出的,Rock认为IPO现象实质是个逆向选择问题,新股上市时市场上存在着两类投资者,一类是具有信息优势的投资者,一类是不具信息优势的投资者,信息投资者只是在新股定价低于其真实价值时才购买,而当定价高于其真实价值时只有不具信息优势的投资者才会参加购买,所以平均来说,不具信息优势的投资者购入了较大比例的被过高定价的股票,为了在市场中留住不具信息优势的投资者,公司在初次发行新股时常常有意低定价。类似Rock对IPO超额回报问题的解释,许多研究人员给出了这一问题的其他合理解释,例如:Allen和Faulhaber(1989)以及Grinblatt和Hwang(1989)将新股发行低定价解释为公司未来前景良好的信号;Hughes和Thakor(1992)认为公司新股发行低定价是为了规避诉讼风险;Ruud(1993)认为新股上市后的短期高回报是由于承销商的价格稳定活动造成的。在IPO领域中的另外一个难以解释的现象就是新股上市后长期表现不好。Ritter(1991)研究发现,在1975-1984年间发行的新股在发行后3年间的回报比正常股票的回报至少低15%。以后Loughran(1993,1995)再次证实了这一现象的存在。Shiller(1990)用所谓“主持人效应”解释新股长期回报不好的现象,他认为新股上市的初期承销商出于对自身声誉的考虑会创造短期超额需求的假象,随后随着承销商从市场的退出,导致了新股长期回报不佳的现象。(二)不对称信息在资产定价领域中的应用Grossman和stiglitz(1980)最早将非合作不对称信息的概念引入资产定价领域的研究中,建立了所谓资产定价的理性预期均衡理论,他们认为资本市场中的每个参与者都从市场价格的变化中获得信息(所谓的学习过程),并且每个参与者的行为不会对市场价格构成影响。在80年代初期这一理论成果主要用于解释公司财务方面的问题,直到Kyle(1985)以及Kyle和Milgrom(1985)研究做市商制度下的价格形成机制的成果出现以后,不对称信息对资产价格的影响才越来越多地引起人们关注,以后在Kyle Milgrom框架的基础上出现了大量的研究成果。由于在这一框架下的价格决定机制不同于Modigliani Miller的市场均衡机制,是通过研究具体市场条件下的资产价格形成机制,所以常常将这部分研究成果称为市场微观结构理论。Kyle研究了在做市商制度下证券市场的价格形成机制,在Kyle的模型中,市场由三类参与者构成:风险中性的做市商、噪音交易者和信息交易者,噪音交易者出于自己的流动性需求进入市场交易,信息交易者根据自己的信息交易,为了最大化自己的利益,信息交易者选择自己在市场上的交易数量。与Kyle不同之处在于,Milgrom建立的序贯交易模型(Sequential Trade Model)中交易者每次交易的数量都是固定的,即每次都只能买入或卖出一个单位的资产,做市商根据交易指令的类型来设定买卖价差,在均衡条件下,由于有竞争做市商的存在,买入报价是做市商收到卖出指令时关于资产价值的条件期望值,卖出报价是做市商收到买入交易指令时关于资产价值的条件期望值,因而交易者的交易指令将促使做市商调整其买卖报价,这种调整从本质上是一种贝叶斯学习过程。Easley和O'Hara(1987)在Milgrom模型的基础上考察了交易规模对做市商价格行为的影响,其结论是做市商的定价策略会依赖指令的规模,数量比较大的指令往往以比较差的价格成交。以后Easley和O'Hara(1992)又考察了交易时间对价格行为的影响,发现交易时间会影响价格,并且交易间隔影响交易价差的大小。现代金融理论方法经过近一个世纪的发展,取得了许多重大突破,特别是进入80年代以后,越来越多的金融难题得到解释。但是由于金融市场的复杂性,至今对许多问题的解释还很难令人满意,例如:对P/E比率和P/B比率对资产价值的影响的现象至今还没有合理的解释,对IPO以及基金中的折价现象的研究结果也没有较为统一的认识,另外市场中是否存在信息操纵问题也是一个争论的焦点。对这些问题的研究与解释,将进一步推动金融理论的发展。
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