资产价格分布与有效市场
Asset Price Distributions and Efficient Markets
摘要：
我们探讨了一个分解，其中一个大类的投资组合相对于市场的回报取决于一个平滑的非负漂移和资产价格分布的变化。这种分解是使用一般的连续半鞅价格表示得到的，因此与几乎任何资产定价模型都是一致的。投资组合相对收益的波动取决于资产价格的随机时变离散。因此，我们的框架揭示了一个资产定价因素，它的存在源于不同经济和金融环境中普遍存在的会计恒等式，这一事实对市场有效性有着深刻的影响。特别是，在一个封闭的、无股息的市场中，资产价格离散度相对恒定，随着时间的推移，一大类投资组合的表现必然优于市场投资组合。我们发现，在商品期货市场的价格分散只略有增加，并确认存在大量的超额收益率，随着我们的理论预测的价格分散的变化。
英文摘要：
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous semimartingale price representations, and is thus consistent with virtually any asset pricing model. Fluctuations in portfolio relative returns depend on stochastic time-varying dispersion in asset prices. Thus, our framework uncovers an asset pricing factor whose existence emerges from an accounting identity universal across different economic and financial environments, a fact that has deep implications for market efficiency. In particular, in a closed, dividend-free market in which asset price dispersion is relatively constant, a large class of portfolios must necessarily outperform the market portfolio over time. We show that price dispersion in commodity futures markets has increased only slightly, and confirm the existence of substantial excess returns that co-vary with changes in price dispersion as predicted by our theory.
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