文档介绍：New facts in finance
John H. Cochrane
Introduction and summary economists view of the investment world was based
The last 15 years have seen a revolution in the way on three bedrocks:
financial economists understand the investment world. 1. The CAPM is a good measure of risk and thus
We once thought that stock and bond returns were a good explanation of the fact that some assets (stocks,
essentially unpredictable. Now we recognize that portfolios, strategies, or mutual funds) earn higher
stock and bond returns have a substantial predictable average returns than others. The CAPM states that
component at long horizons. We once thought that assets can only earn a high average return if they
the capital asset pricing model (CAPM) provided a have a high beta, which measures the tendency
good description of why average returns on some of the individual asset to move up or down with the
stocks, portfolios, funds, or strategies were higher than market as a whole. Beta drives average returns because
others. Now we recognize that the average returns of beta measures how much adding a bit of the asset to
many investment opportunities cannot be explained a diversified portfolio increases the volatility of the
by the CAPM, and multifactor models are used in portfolio. Investors care about portfolio returns, not
its place. We once thought that long-term interest about the behavior of specific assets.
rates reflected expectations of future short-term rates 2. Returns are unpredictable, like a coin flip. This
and that interest rate differentials across countries is the random walk theory of stock prices. Though
reflected expectations of exchange rate depreciation. there are bull and bear markets; long sequences of
Now, we see time-varying risk premiums in bond and good and bad past returns; the expected future return
foreign exchange markets as well as in stock markets. is always about the same. Technical analysis that
We once thought that mutual fund aver