【作者】 邓燊；

【导师】 杨朝军；

【作者基本信息】 上海交通大学 ， 金融学， 2008， 博士

【摘要】 基于经济周期的资产配置是一种积极的资产配置策略。关于资产配置的重要性和各种积极资产配置策略和方法的研究自20世纪80年代以来陆续有重要的研究文献。自上世纪90年代以来,一些学者根据经济周期不同阶段各种资产收益率的变化特点提出了在经济周期的不同阶段应适合配置不同资产的观点。但是这些研究主要局限在股票、债券等传统资产。对经济周期的划分根据滞后确定的经济周期的转折点。这些基于经济周期的资产配置的文献在以下方面存在着局限性:第一,涉及的配置资产范围主要包括股票债券等传统资产,对房地产这一占居民财富比重越来越大的金融资产没有包括进来。第二,对股票债券等金融资产与经济周期的关系大多局限在定性分析和实证阶段,缺乏一个统一的定量模型将股票、房地产、债券与经济周期的关系进行描述;第三,由于经济周期阶段划分的滞后性以及事前判断的不确定性,对各阶段的资产配置规则有待改善。有鉴于此,本文在充分借鉴前人研究的基础上作了以下方面的工作:(1)将房地产纳入资产配置范畴,研究了股价与房价的关系,股价房价波动与经济周期的关系;确立了房地产在经济周期各阶段中最合适配置的阶段,并进行了相应的实证研究。运用协整检验、Granger因果检验、向量误差修正模型、脉冲响应和方差分解的方法对1968-2006年期间日本股价与房价的关系进行了实证检验,结果显示股价与房价存在长期的协整关系,股价是房价的Granger原因。运用相关性检验、Granger因果检验和系统方程的回归模型研究了股价房价波动与经济周期的关系,结果显示,股价波动领先经济周期,房价波动与经济周期基本一致,股价波动大大领先房价波动。(2)建立了一个股价房价债券价格波动与经济周期关系的定量分析模型,将股票房地产债券在经济周期不同阶段的配置统一在一个分析框架内。在现金流贴现模型对各金融资产进行估值定价公式的基础上,抽象出金融资产随时间定价的基本模型,通过推导得到基于经济周期的资产配置模型(AABCM)。根据经济周期不同阶段预期收入和利率的不同变化特征将经济周期不同阶段与各种金融资产的不同收益率联系起来。在经济复苏阶段应重点配置股票资产,在经济繁荣阶段应重点配置房地产资产,在经济衰退阶段应持有货币资产或进行卖空,在经济萧条阶段应重点配置债券资产。(3)根据经济周期不同阶段的分析指标,结合各资产的价值评估模型提出了一个资产配置规则。进行资产配置时参照所处经济周期不同阶段的判断,结合对各资产的价值评估水平,综合确定重点配置资产的入市和退出时机。股票的估值以市盈率和市净率作为评价指标,房地产以房价收入比和购租比作为评价指标,债券以收益率水平参考收益率曲线形状来作为评估指标。价值高估或低估的标准采用该指标长期的波动区间来确定。(4)综合前人的研究成果,将各种资产与经济周期的关系进行了梳理,并提供了大量的证据。金融资产收益率与经济周期的关系体现在宏观经济状况对金融资产价格决定因子的影响。决定股票价格的因素是上市公司的预期利润和预期市场利率水平。房价的决定因素是房地产的预期收入和市场的利率水平及变化趋势。房价的预期收入体现在房地产的租金收益和房产增值,利率水平的变化体现在建筑成本和预期收益的贴现成本的变化。债券价格的决定因子主要是利率水平及其变动趋势。由于债券属于固定收益产品,预期收入不变,因此债券的价格主要受市场利率变化的影响。经济周期的不同阶段,经济增长速度、利率水平及其变化趋势以及通货膨胀程度不一样,变化的贴现因子和时变的投资机会为经济周期不同阶段进行积极的资产配置提供了理论依据。(5)将经济衰退阶段的资产配置机理作进行了总结。经济衰退阶段的资产配置有别于其他三个阶段。在经济衰退时期,由于股票房地产和债券等金融资产的收益率都为负值,只能持有货币资产或对金融资产进行卖空。金融资产收益率与经济周期的关系是在经济衰退时期,金融资产普遍下跌经常导致金融危机。其传导机制是首先从外汇市场作为导火索,传导到股票市场,由股票市场再传导到房地产市场,由房地产市场再传递到银行等货币市场,由货币市场最后传导到实体经济。期间各金融市场在外溢效应下相互感染,加上衍生品市场的放大效应推波助澜,导致金融危机全面爆发并向相关地区扩散引发区域性的金融危机甚至经济危机。全文的创新点主要有:(1)建立了基于经济周期的资产配置模型(Asset Allocation Based on Business Cycles Model ) ,简称AABCM。该模型的方程为:dt,在该模型中,提出了“预期收入效应”和“资本成本效应”两个概念来解释金融资产在经济周期各阶段的收益水平。在经济复苏阶段,尽管股票、房地产和债券的收益率都为正,但由于股票相对于另外两种资产的风险最大,因此,收益率最高,最适合配置股票资产。在经济繁荣阶段,利率上升,债券的收益为负,股票的预期收入效应抵不上资本成本效应,收益也为负;房地产因为利率和通胀上升带来的预期收入效应大于资本成本效应,因此房地产的收益率为正,在经济繁荣时期最适合配置房地产。在经济衰退阶段,股票、房地产和债券的收益均为负,这时期最适宜持有货币,或对下跌资产进行卖空。在经济萧条时期,利率下降,债券价格上升,最适合配置债券资产。(2)将房地产纳入基于经济周期配置的金融资产范畴,研究了房价与股价的关系,房价股价波动与经济周期的关系。指出股价与房价之间存在长期的协整关系,股价是房价的Granger原因,股价先于房价波动可用财富效应来解释。房价与GDP增长率、利率和物价呈显著的正相关关系,房价随利率和物价上涨,是房地产在经济繁荣时期预期收入效应大于资本成本效应的内在原因,房价波动与经济周期波动基本一致,股价波动大大领先房价波动。(3)提出了一个积极的资产配置规则。在基于经济周期的资产配置模型中,首先识别所处的经济周期阶段,然后对该周期阶段的最佳资产进行价值评估,如果金融资产价值评估的结果与周期阶段识别的判断一致,可以实施这个阶段的资产配置决策。更多还原

【Abstract】 Asset allocation based on the economic cycle is a positive asset allocation strategy. The importance of asset allocation and the various positive asset allocation strategies and methods of research since the 1980s have been important research literatures. Since the 1990s, some scholars thought the different stages of the economic cycle should be tailored to different assets based on assets yield changes in the features of the different stages of the economic cycle. However, the main limitation of these studies focus on stocks, bonds and other traditional assets.the limitation also include the determination ofdifferent stages of ecnomoc cycles according to the delay turning point in the economic cycle, or according to the actual GDP and potential GDP output gap.Asset allocation literature based on the economic cycle exists in the following limitations: first, involving the distribution of assets including stocks and shares, and other traditional assets, the property of the residents of this increasingly large proportion of the wealth of financial assets not included; Second, the stock bonds, and other financial assets and economic cycles are limited to the relationship between the directional analysis and empirical stage, lacking a unified quantitative model as description of the relationship between stock, real estate, bonds and the economy cycle; third, because of the lag of economic cycle and uncertainty prior judgment of the various stages , asset allocation rules need to be improved. Therefore, in this paper, studies on the basis of previous studies made on the following aspects:(1) the real estate is involved into asset allocation areas, the relationship between the stock price fluctuations ,house prices fluctuations and the economic cycle are researched; Established real estate in most appropriate configuration stage, and the corresponding empirical study. Use cointegration test, Granger causality test, vector error correction model and the impulse response variance decomposition method for the period 1968-2006 Japanese stock prices and the empirical test results show that the relationship between stock prices and the long-term existence of cointegration relationship and stock prices are the reason for Granger. Use related test, Granger causality test and the system equations regression model on the fluctuations in stock prices and the economic cycle, which shows that the stock prices lead economic cycle fluctuations and house prices fluctuations are basically the same as economiccycles, stock price volatility fluctuations significantly ahead.(2) the establishment of a quantitative analysis model.the model include stock property and bonds in different stages of the economic cycle in a unified framework of analysis. Asset allocation based on busibess cycles model(AABCM)derived from the pricing formula for the valuation of assets on the basis on the cash flow discount. According to the economic cycle different stages of expected income and interest rate changes will be characterized by different economic cycles at different stages with a variety of financial assets linked to different yield. Economic recovery phase asset allocation should focus on equity, economic prosperity stage should focus on the real estate , the economic recession phase should hold monetary assets or selling short, depression stage should focus on bonds.(3) A asset allocation rule is proposed according to the econoomic indicators in the different stages of the economic cycle ,combining assessment of the value of assets.Asset allocation for the economic cycle, where the light of the different stages of the judgment, with the right level of assessment of the value of assets, integrated set priorities and allocation of assets from the market timing. The valuation of the stock by PE and PB, real estate by price to income ,bonds by the level of bonds yield and yield curve shape as a reference assessment indicators. The range of these indicators in long term determine the standard of value of assetd.(4) Consolidate results of previous studies about the relationship between returns of financial asset and economic cycles and provide a lot of evidence. Relationship between financial assets yield and the economic cycle embodied in influence of the macroeconomic situation on financial asset prices determinants. Factors deciding stock price are the expected profits of listed companies and expected level of market interest rates. The determining factors of property are real estate income and the anticipated level of market interest rates and changes in the trend. Expected income housing prices in the housing rental income and property value, the interest rate level changes reflected in the construction costs and expected benefits of the discount cost of the changes. The main determinants of bond prices is interest rates and changes in the trend. The bonds are fixed-income products, expected revenue unchanged, the prices of the major bond change with market interest rates . The different stages of the economic cycle, the rate of economic growth, interest rates and changes in the level and trend of inflation is different. Random discount factor and time-varying investment opportunities for the different stages of the economic cycle for active asset allocation provides a theoretical basis.(5) The asset allocation mechanism in economic recession phase is summarised. The asset allocation of economic recession phase is different from the other three stages. In times of economic recession, as shares real estate and financial assets such as bonds yields are negative, only holders of monetary assets or short sale of financial assets is suitable. In times of economic recession, financial assets decreased often leads to a financial crisis. The conduction mechanism is the first from the foreign exchange market as a fuse, conduction to the stock market, the stock market again by conduction to the real estate market, the real estate market to the banks to transfer the money market, by the currency market last transmission to the real economy. During the financial markets the spillover effects of cross contamination, coupled with the amplification of fire derivative markets, resulting in full-blown financial crisis related to the proliferation of regional financial crisis triggered a regional and even economic crisis.The the major innovations are:(1)The establishment of asset allocation model (Asset Allocation Model Based on Business Cycles), or AABCM. The model equation: dt,in the model, concepts "expected income effect" and "capital cost-effective" to explain the earnings level of financial assets in various stages of the economic cycle earnings level. The economic recovery phase, despite the stock, real estate and bond yields are positive, but because of the stock relative to the other two assets at greatest risk, therefore, equity ,the highest yield, is the most appropriate asset. Economic prosperity stage, the rise in interest rates, yields a negative, the income effect of the stock is not expected to touch on capital cost-effective, revenue for stocks is the negative; Real estate interest rates and rising inflation because of the income effect greater than expected capital cost-effective, the rate of return for real estate is in the economic prosperity during the best suited . The economic recession phase, stocks, bonds and real estate earnings are negative, the most appropriate asset is currency , or assets fell short. In times of economic depression, a decline in interest rates, bond prices rose, and the most appropriate asset is bond.(2) Real estate is included in financial assets areas, and relationship between stock prices and property prices are researched. Stock prices and house prices exists in relation of long-term and Cointegration, stock prices is the Granger reason, fluctuations in stock prices before property prices can be explained for the wealth effect. House prices and GDP growth rates, interest rates and prices were significantly positive correlation. house prices with interest rates and inflation, is the internal reason of expected income effect greater than capital cost-effective in a period of economic prosperity, fluctuations in housing prices and the economic cycle fluctuations is basically the same, stock price volatility fluctuations significantly ahead.(3) a positive asset allocation rules is proposed. Based on the economic cycle asset allocation model identified first the stage of the economic cycle, then the assets assessment. if the assessment results agree with the identification phase of the cycle , the asset allocation decision can be made.更多还原