An Analysis Of The Asset Pricing Deviation

The financial academic circle and press have in common on the asset pricing,that is the greater the risk, the higher the income. CAPM revised the perspective,and come to the greater systematic risk,the higher the expected rate of return.CAPM use the β Coefficient as the indicator of systematic risk.the β Coefficient and the expected rate of return showed an exact linear relationship.The symmetry between the β and ERR is one of the pillars in the classic financial theory. This paper demonstrates the asymmetry between the β and ERR as the beginning,and finally give a theoretical explanation and a model explanation for the pricing deviation.This paper redefine the stability and time-varying characteristics of risk β-coefficient,and use the CAPM and conditional CAPM to conduct econometric test. We show that the Four-Factor Model and its risk β are more significant, but other factors show differentiation,and we can not identify which factor works for any compay or industry because of without rhyme.Finally,we draw conclusion that Knight Uncertainty is the reason of β’s unreliability.By relying on experienced specialist and size advantage, mutual funds declare that they can optimize allocation to gain higher return, also provide differential investment style choice for the investor of different preference. The results of this paper show that it is not true. Using the three-factor model and the adding quadratic term to the three-factor model, we test the overall performance of actively managed open-ended stock funds in China (Equal-Weight and Value-Weight), three conclusions are summarized:first, the mutual fund can not outperform the market as a whole. Two periods regression analysis show that mutual funds can change their investment style in response to market environment, but a is still O; second, fund size has nothing to do with fund performance; third, the actual investment styles of the mutual funds tend to become similar, although which declare differential investment style. At last, we analyze the causes of the results and put forward several police suggestions.This paper discusses the cause of overvalued stock is "The Winner’s Curse". And explains why "The Winner’s Curse" will arise during the stock price rising,consolidating and declining.At last,we present that rapid, complete and accurate information transmission will weaken the Winner’s Curse,but can not vanish it because of the "animal sprits".This paper analyzed the asset pricing bubbles through a generic model. Based on the literature review of the fundamental theories of rational bubbles,This paper specifically put forward that the asset bubbles is irrational for representative agent with bounded rationality in incomplete market.Attention is paid to redefining an approach of bubbles measurement,assumed bounded rationality of subprime borrowers,constructing an asset bubbles model used related literature about Ponzi schemes as a source of reference.Finally, the concrete conditions of bubbles bust and some proposals of bubbles precaution are put forward.