长期投资者收益可预测条件下战略资产配置决策:——理论与中国实证

中国管理科学 ›› 2012, Vol. ›› Issue (3): 63-69.

长期投资者收益可预测条件下战略资产配置决策:——理论与中国实证

杨朝军, 陈浩武, 杨玮沁

上海交通大学安泰经济与管理学院, 上海 200052

收稿日期:2010-08-28 修回日期:2012-04-05 出版日期:2012-06-29 发布日期:2012-07-05
基金资助:
国家自然科学基金资助项目(70773075)

Return Predictability and Strategic Asset Allocation: Theory and Evidence from China Stock Market

YANG Chao-jun, CHEN Hao-wu, YANG Wei-qin

College of Economics & Management, Shanghai Jiao Tong University, Shanghai 200030, China

Received:2010-08-28 Revised:2012-04-05 Online:2012-06-29 Published:2012-07-05

摘要/Abstract

摘要： 本文研究了资产收益可预测性影响长期投资者最优资产组合选择的理论问题,并结合中国证券市场历史数据做了相应的实证研究。研究结论表明:在长期投资期限下中国股票市场收益具有可预测性,长期投资者资产组合可以比短期投资者配置更高权重的风险资产。由此本文提出,可相应提高我国社保基金、企业年金和保险公司等长期投资者战略资产配置中股票类风险资产的投资比例上限。

关键词: 战略资产配置, 长期投资者, 收益可预测性, 股票投资比例

Abstract: In this paper, thorough research is conducted both theoretically and empirically on predictability in asset returns affecting optimal portfolio choice for investors with long horizons. Based on China stock market data, it is found that: the returns of China stock market have predictability in long horizon, and differ from the classical theory, the long-term investors should allocate more risk assets than the short-term investors. It is suggested that in China, the long-term investors such as social security funds, occupational pensions and insurance companies, could increase their allocation shares for stocks.

Key words: strategic asset allocation, return predictability, investment horizon

中图分类号:

F830

杨朝军, 陈浩武, 杨玮沁. 长期投资者收益可预测条件下战略资产配置决策:——理论与中国实证 [J]. 中国管理科学, 2012, (3): 63-69.

YANG Chao-jun, CHEN Hao-wu, YANG Wei-qin. Return Predictability and Strategic Asset Allocation: Theory and Evidence from China Stock Market[J]. Chinese Journal of Management Science, 2012, (3): 63-69.

参考文献

[1] Markowitz H M. Portfolio selection [J]. Journal of Finance, 1952, 7: 77-91.
[2] Samuelson P A. Lifetime portfolio selection by dynamic Stochastic Programming [J]. Review of Economics and Statistics, 1969, 51: 239-246.
[3] Hodrick R. Dividend yields and expected stock returns [J]. Review of Financial Studies, 1992, 5: 357-386.
[4] Campbell J Y, Viceira L M. Strategic asset allocation: portfolio choice for long-term investors [M]. Oxford:Oxford University Press, 2002.
[5] Wachter J A. Portfolio and consumption decisions under mean-reverting returns: an exact solution for complete markets [J]. Journal of Financial and Quantitative Analysis, 2002, 37: 63-91
[6] Keim D B, Stambaugh R F. Predicting returns in the stock and bond markets [J]. Journal of Financial Economics, 1986, 17: 357-390.
[7] Campbell J Y. Stock returns and the term structure [J]. Journal of Financial Economics, 1987, 18: 373-399.
[8] Campbell J Y, Shiller R J. Stock prices, earnings, and expected dividends [J]. Journal of Finance, 1988, 43: 661-676.
[9] Fama E F, French K R. Business conditions and expected returns on stocks and bonds [J]. Journal of Financial Economics, 1989, 25: 23-49.
[10] Cochrane J H. New facts in finance [J]. Economic Perspectives Federal Reserve Bank of Chicago, 1999, 23: 36-58.
[11] Fama E F. Efficient capital markets: II [J]. Journal of Finance, 1991, 46: 1575-1617.
[12] Barberis N C. Investing for the long run when returns are predictable [J]. Journal of Finance, 2000, 55: 225-264.
[13] Boudry W, Gary P. Assessing the economic significance of return predictability: a research note [J].Journal of Business Finance and Accounting, 2003, 30(9-10): 1305-1326.
[14] Brennan M J,Schwartz E S, Lagnado R.Strategic asset allocation [J]. Journal of Economic Dynamics and Control, 1997, 21: 1377-1403.
[15] Campbell J Y, Viceira L M. Consumption and portfolio decisions when expected returns are time varying [J]. The Quarterly Journal of Economics, 1999, 114: 433-495.
[16] 刘海龙.养老基金动态资产配置研究评述 [J].系统管理学报, 2011, 20(1): 1-9.
[17] 陈婷, 赵杨, 熊军.中国养老基金战略资产配置实证分析 [J].宏观经济研究, 2011, 10: 47-52.
[18] 盛伟华.基于长波经济周期的战略资产配置及实证分析 [J].金融与经济, 2010, 6: 19-22.
[19] Kandel S R, Stambaugh F. On the predictability of stock returns: an asset allocation perspective [J]. Journal of Finance, 1996, 51: 385-424.
[20] Zellner A. An Introduction to Bayesian Inference in Econometrics [M].New York: John Wiley and Sons, 1971.
[21] Hamilton J D A. Time Series Analysis [M].Princeton: Princeton University Press, 1994.
[22] Stambaugh R F. Predictive regressions [J]. Journal of Financial Economics, 1999, 54: 375-421.
[23] 张兵, 李晓明.中国股票市场的渐进有效性研究 [J].经济研究, 2003, 1: 54-61.
[24] 卢方元.中国股市收益率分布特征研究 [J].中国管理科学, 2004, 12: 18-22.
[25] 王春峰, 韩冬, 蒋祥林, 等.交易活跃程度与股票回报——基于上海股市的实证研究 [J].天津大学学报(社科版), 2003, 5: 194-201.
[26] 赵振全, 薛丰慧.股票市场交易量与收益率动态影响关系的计量检验:国内与国际股票市场比较分析 [J].世界经济, 2005, 11:64-79.
[27] 杨朝军, 张志鹏, 廖士光.证券市场流动性综合测度指标研究 [J].上海交通大学学报, 2008, 11: 1767-1771.
[28] Amihud Y. Illiquidity and stock returns: cross-section and time-series effects [J]. Journal of Financial Markets, 2002, 5: 31-56.
[29] Duffie P. Presidential address: asset price dynamics with slow-moving capital [J].The Journal of Finance, 2010, 4: 1237-1267.
[30] Bacchetta P, van Wincop E. Infrequent portfolio decisions: a solution to the forward discount puzzle [J]. American Economic Review, 2010, 100(3): 870-904.