期刊-NBER美国国民经济研究局-fall2000_58页_2mb

NBER Reporter Summary - Fall 2000

Core Content

The NBER Reporter Fall 2000 issue focuses on asset pricing, portfolio choice, market behavior, and macroeconomic implications. It highlights new research on the relationship between asset prices and macroeconomic conditions, the role of risk premiums, the behavior of investors, and the impact of financial frictions and market structure on asset returns.

Main Topics and Key Points

1. Asset Pricing and Macroeconomic Risks

• Asset pricing is central to understanding financial markets, including stock, bond, and derivative prices.
• Researchers explore time-varying risk premiums and macroeconomic factors that influence asset returns.
• The "value effect" is well-documented, where stocks with lower price-to-book ratios tend to outperform in the long run.
• "Recession factors" play a significant role in explaining cross-sectional variation in stock returns, especially during bad economic times.

2. Conditional Asset Pricing Models

• Conditional models are more effective than unconditional models in explaining asset returns, as they account for time-varying risk and information asymmetry.
• Martin Lettau and Sydney Ludvigson show that conditional CAPM and consumption-based models can explain the cross-section of stock returns as well as the Fama-French model.
• Expected cash flows and discount rates are key factors in the value effect, with diversification discount partially attributed to higher discount rates and profit volatility.

3. Momentum and Anomalies

• Momentum is a short-term anomaly where stocks that performed well in the past continue to do so in the near future.
• Momentum is concentrated in small losing stocks and is more pronounced in stocks with limited analyst coverage.
• Negative cross-correlation between stocks is a major driver of momentum, suggesting it is not solely due to irrational behavior.
• Tax-induced trading may explain some anomalies, especially those concentrated around the end of the year.

4. Crashes and Market Behavior

• Crashes are defined as asymmetries in the conditional distributions of stock returns.
• Joseph Chen, Hong, and Stein find that increased trading volume and positive prior returns are linked to crash occurrences.
• David Bates and Roger Craine suggest that liquidity concerns and market rumors may have contributed to the 1987 crash.

5. Portfolio Choice and Risk Management

• Long-term investors should consider indexed perpetuities as the relevant risk-free rate.
• Diversification is crucial, but diversification discount is partially due to higher discount rates.
• Luis M. Viceira studies how investors with labor income risks should adjust their portfolios over time.
• William N. Goetzmann and Massimo Massa analyze the behavior of mutual fund investors, finding that frequent traders tend to be contrarians, while infrequent traders are momentum investors.

6. Volatility and Risk Premia

• Stock volatility has increased, even as market volatility has decreased.
• Correlations among individual stocks have declined, reducing the explanatory power of the market as a benchmark.
• Peter F. Christoffersen and Francis X. Diebold argue that volatility forecasting is less useful for long-term risk management.

7. Interest Rate Term Structure

• Interest rate models continue to evolve, incorporating nonlinear and multifactor approaches.
• David Backus, Silverio Foresi, and Chris Telmer integrate the literature on interest rate term structures.
• Boudoukh and Richardson construct a nonlinear, continuous-time model for interest rate volatility.

Key Researchers and Contributions

• John H. Cochrane: Program Director of the NBER's Asset Pricing Program, highlights the role of macroeconomic factors and time-varying risk premiums.
• John Y. Campbell: Reviews the literature on conditional asset pricing and momentum.
• Martin Lettau and Sydney Ludvigson: Show that conditional CAPM and consumption-based models can explain the cross-section of returns.
• Tano Santos and Pietro Veronesi: Develop a model where dividends and consumption are treated as distinct factors.
• George M. Constantinides and Darrell Duffie: Argue that cross-sectional risk to labor income can explain asset pricing puzzles.
• Owen Lamont: Introduces economic tracking portfolios to study the relationship between asset prices and macroeconomic events.
• James M. Poterba and Andrew Samwick: Analyze tax incentives and their effect on household portfolio allocations.
• Peter F. Christoffersen and Francis X. Diebold: Discuss the forecastability of volatility and its implications for risk management.

NBER Overview

• The National Bureau of Economic Research (NBER) is a private, nonprofit research organization focused on quantitative analysis of the American economy.
• It is supported by individuals, corporations, and private foundations.
• The Reporter is not copyrighted and can be freely reproduced with proper attribution.

Additional Resources

• The NBER website provides access to over 5000 working papers, books, and research associates.
• The NBER Macroeconomic History Database includes 3500 time series and Penn World Tables for country data.

Conclusion

The Fall 2000 issue of the NBER Reporter underscores the complex interplay between macroeconomic conditions, risk premiums, and market behavior in asset pricing. It highlights the importance of conditional models, the role of information and frictions, and the impact of tax policies on investment behavior. The issue also emphasizes the evolving nature of financial markets and the need for more nuanced models to capture anomalies and market dynamics.