Asset Pricing 분야의 최근 연구동향

This paper surveys recent trends in the asset pricing areas and proposes some future research issues. Despite a surge of theoretical models proposed for capturing the dynamics of financial asset prices, several key empirically stylized anomalies are still challenging to theoretically explain. Such incompatibility of theoretical models with empirical data may be inevitable due to the fact that the theoretical models cannot encompass inherently all aspects of reality. To overcome such limitations, researchers often loosen the theoretical restrictions and/or adopt new economic frameworks. Among them, we summarize the recent advances related to the theory of risky asset pricing models and theory of interest rate term structure models. In Section II, we deal with the theory of risky asset pricing, which can be classified into time-series asset pricing and cross-sectional asset pricing. First, the time-series asset pricing models aim to theoretically explain the time-series anomalies, such as the equity premium puzzle,the volatility puzzle, the risk-free rate puzzle, and the predictability puzzle. The efforts to the explanation for such puzzles can be categorized as follows :1) Pesso Prblem and Survival bias of market 2) Habit formation preference 3) Preference for robustness and ambiguity aversion 4) Recursive preference and long run risk 5) Behavioral approach: Prospect theory 6) Investment costs Second, cross-sectional asset pricing models focus on the size and value premium puzzle, which are firstly introduced by Fama and French (1987). Since the restrictive assumptions of time-series asset pricing models, including investors’ preference and market clearing condition,can be moderate in cross-sectional asset pricing models, a bunch of literature is proposed for capturing the cross-sectional risk factors. These attempts are categorized as follows :1) Multi-factor models 2) Conditional CAPM 3) Cash-flow risk 4) Long Run Risk with Epstein-Zin preference 5) Composition Effect of Consumption 6) Various Behavioral Approaches In Section III we summarize developments of traditional dynamic term structure models(DTSMs). Advances in DTSMs are accelerated by the two competitors, affine-and non-affine DTSMs. Based upon the seminal work of Duffie and Kan(1996), Dai and Singleton(2000) succeed in finding canonical form of affine term structure models (ATSMs), which designate the yield as an affine function of the underlying state variables. Recent ATSMs such as Duffee(2002), Duarte(2004), and Cheridito, Filipovic,and Kimmel(2007) propose more flexible specifications for market price of factor risks within the canonical representation. Despite of these glaring advances, theoretical trade-offs inherent in ATSMs fostered developments of many alternative DTSMs. Quadratic term structure models (QTSMs) proposed by Ahn, Dittmar, and Gallant(2002), which designate the yield as a quadratic function of the state variables, successfully resolve structural limitations of ATSMs. Equipped with various and flexible specifications, researchers began to explore issues regarding the economic drivers for the yield curve dynamics. Traditional DTSMs such as ATSMs and QTSMs do not provide answers for these questions because they are built upon latent(unobservable)state variables. We survey macro-finance term structure models(MFTSMs), which try to fill this gap. Since the pioneering work of Ang and Piazzesi(2003), voluminous papers add macroeconomic variables as state variables, and investigate the role of macroeconomic factors in explaining the yield curve dynamics. In addition, given the increased globalization of both international financial markets and real economies,there arises an important need for models of international term structures and foreign exchange rates. Thus, we survey international term structure models(ITSMs).