复旦大学 研究生投资学讲义 CHPT18-GMM in explicit discount factor models

投资学讲义免费的商务管理资料平台第一章財務管理概論恐龍蛋遊戲軟體設計公司，前一陣子推出「水滸傳」網路遊戲軟體。

這個公司成立迄今已有三年，已推出四個頗受市場歡迎的遊戲軟體，公司預計本年度的營收將達2億元。

目前，這家公司資本額為2千萬元，此外，為了籌措營運所需資金，公司準備將自有的廠房及倉庫抵押給銀行以取得4千萬元擔保放款。

這家公司還計畫進一步將營業項目擴展到商用以及教育應用軟體的開發設計。

為因應這些擴充計劃，公司財務副總經理發現現有的資金籌措方式將不足以應付未來公司對資金的需求。

更嚴重的是，公司將立即面臨短期營運現金不足的問題。

這家公司所面臨的幾個問題也正是財務管理這門課所關注的課題：（1）這家公司的未來投資策略應是什麼？（即，這家公司為何要進入商用及教育應用軟體的開發與生產？）如何評估並選擇最佳的投資計劃？（即，錢怎麼投資？）（2）一旦選定投資計畫，公司如何籌措投資計畫所需的資金？（即，錢從那裡來？）（3）這家公司日常營運需要多少週轉金？（即，如何管理現金？）企業選擇最適的投資策略前，必須先確立企業的經營目標。

選定後，經營目標的達成須借助投資計畫的評估，選擇以及執行。

投資計畫的評估，選擇就是投資決策的範疇。

投資決策（或稱資本預算決策，capital budgeting decisions），就是將公司資本支出預算用於購置公司營運所需的固定資產（如：廠房、機器設備）以及無形資產（如：商譽、商標及專利權），而公司經營目標就是追求所購置的資產創造最大的價值且必須大於資本支出。

亦即，若企業投資決策的目標是追求所購置的資產所創造的淨價值最大，則企業經營績效勢必取決於各項投資計畫能為股東創造多少的價值？故企業營運最終的目標就應是追求企業所有人所增加的財富極大。

1. 何謂財務管理？假設朱一決定自行創業成立公司生產CPU專用的散熱風扇。

公司設立前，朱一必須聘請會計、財務以及採購管理人員負責採購生產原物料以及財務、人事管理，找到合適的廠房、機器設備，並招募到足夠的工人從事生產。

Investment Styles Fan LongzhenIntroduction•Overview of investment styles;•Empirical evidence on returns of small capitalization firms and value stocks;•How to identify investment styles of a mutual fund –Characteristic-based style analysis–Return-based style analysis•Style benchmarks•Why value stock outperform growth stocks;•Earning and price momentumTypes of investment styles •Growth investing–Primarily concerned with the earning component of the P/E ratio–Look for high growth rate•Value (non-growth) investing–Primarily concerned with the price component of theP/E ratio–Look for cheap stocks•Small cap investing (as opposed to large cap)–Looking for neglected stocks–Undervalued relative to large cap equitiesInvestment styles•Value:–low price/book; low P/E; utilities industry •Growth: high EPS Growth–high profitability; health & technology •Small capitalizationWhy style analysis?•Returns of stocks in one category (e.g. growth) behave quite differently from stocks in another category (e.g. value)•Style analysis facilities–Monitoring style characteristics;–Diversification and risk control;–Performance valuation•In September 2001, a total of 3271 domestic equity managers participated in the survey–962 identify themselves as value managers;–1124 identify themselves as growth managers.Returns of small capitalization stocks•Fama and French (1992)–Rank the stocks into ten deciles based on marketcapitalization every year;–Compute the average 1-year holding period return after portfolio formation.–Found small stocks have higher returns than big stocks(1963-1991)–Fama and French do a secondary sort by beta withineach size decile, and find that beta can not explain thereturns.Return of high/low book-to-market stocks•Fama and French (1992, Journal of finance)–Rank stocks into ten deciles based on book-to-market ratio every year;–Compute the average 1-year holding periodreturn after portfolio formation;–Value stocks have higher average returns thangrowth stocks.Morningstar Fund Analysis •Market capitalization classification–Step 1: rank all stocks based market capitalization •Top 5% of the stocks as large cap;•Next 15% of the stocks are medium cap;•Remaining 80% of the stocks as small cap.---step 2:assign a score of 3 for large-cap stocks, 2 for mid-cap stocks, and 1 for small-cap stocks.---step3: calculate the weighted average of the market cap score across all stocks in the fund.---Step 4: classification•If market cap score<1.5 small cap fund •If 1.5<market cap score<2.5 medium cap fund•If market score>2.5 large cap fund ⇒⇒⇒Morningstar Fund Analysis •Growth/value classification–Step 1: estimate mediam P/E and P/B ratio of the stocks in three market-cap groups;–Step 2 compute the P/E and P/B score for each stock: divide each stock’s P/E and P/B by the median P/E and median P/B (respectively) of the stock’s market-cap group;–Step 3 calculate the average P/E and P/B score for each fund: average P/E or P/B score is 1.–Step 4 combined score=P/E score +P/B score –Step5 classification•If combined score>2.25 growth fund •If 1.75<combined score<2.25 blend fund •If combined score<1.75 value fund ⇒⇒⇒Return-based style analysis •Based on multiple factor model:•Where =return on fund •= return on style benchmark k •How to estimate the style exposure?–Regression of fund I on the return of style benchmarks;•Unconstrained regression•Constrained regression ( )•Quadratic programming ( )i K iK i i i e F b F b F b R ~~...~~~2211++++=i R ~k F ~1=∑ik b 0,1>=∑ik ik b bStyle benchmark•Six style index–S&P 500/Barra growth and value–S&P midcap 400/Barra growth and value–S&P smallcap 600/Barra growth and value•Growth and value indexes are constructed by dividing the stocks in the corresponding basic index based on book-to-price ratio. Each company in the index is assigned to either the value or growth index so that the two style add up to the full index.•The growth and value indexes are constructed so that they have the same market capitalization. Since growth companies are bigger than value companies, there are many more companies in the value index than the growth index.。

Chapter 19 GMM and regression-based tests of linear factor modelFan LongzhenNumber of parameter and Number of equation•If the number of parameter a is the same as the number of the equations r, we simply estimate θby solving•Usually r>a, so we have to set estimates to minimize the0);ˆ(=ΥTT g θ)];([)]';([);(T T T T g W g Q ΥΥ=ΥθθθOptimal weighting matrix•The optimal weighting matrix is the inverse of asymptoticvariance of •It turn out to be•Where •If were serially uncorrelated, then the matrix S could be consistently estimated by),(0T g Υθ{}∑∞−∞=∞→Γ=ΥΥ=v vT T t g g TE S )]';()][;([00lim θθ{})]',()][,([00v t t v y h y h E −=Γθθ{}∞−∞=t t y h ),(0θ(){})]',()][,([/1001*t t Tt Ty h y h T S θθ∑==Using GMM for regressions•OLS pick parameters to minimize the variance of the residual:•is derived from the first-order condition,which states that theresidual is orthogonal to the right-hand variable•This condition is exactly identified-the number of moments equals thenumber of parameters,thus we set the sample moments exactly to zero, and solve the estimate analytically,•The rest of the ingredients are •β{}])'[(2min t t T x y E ββ−β)]'([)ˆ(ββt t t T T x y x E g −=[])()'(ˆ1t t T t t T y x E x x E −=βtt t t t t t t e x x y x x f x x E d =−==)'(),(),'(ββRegression-based tests of linear factormodels-time series regression•For simple, consider a model with a single factor, we all use excess returns. The beta are defined by regression coefficients •(1)•The model states that expected returns are linear in the betas:•Since the factor is also excess return, the model applies to the factor as well, so •The model has one and only one implication for the data: all the regression intercepts should be zero;•Black, Jensen, and Scholes (1972) suggested a natural strategy for estimation and evaluation: run time-series regressions for each asset, the estimate of the factor risk premium is just the sample mean of thefactor:•Then use standard t-test to test if the intercept is zero .i t t i i ei t e f R ++=βα)()(f E R E i ei β=λ×=1)(f E )(ˆf E T=λDerivation of the Chi-square statistic, anddistributions with general errors•It derived it with GMM. This approach allows us togenerate straightforwardly the required corrections for auto correlated and heteroskedastic disturbances. It also serves to remind us that one can do a GMM estimate of an expected return-beta model.•Write the equations for all N assets together in vector form•We use the usual OLS moments to estimate thecoefficients t t e t f R εβα++=0])[()()(=⎟⎟⎠⎞⎜⎜⎝⎛⎥⎦⎤⎢⎣⎡=⎥⎥⎦⎤⎢⎢⎣⎡−−−−=t t t T t t e tT t e t T T f E f f R E f R E b g εεβαβαCross-sectional regressions •Start with the K-factor model, written as•The central economic question is why average returns vary across assets; expected returns of an asset should be high if that asset has high betas or a large risk exposure to factorsthat carry high risk premia;•For the case of a single factor CAPM, the model says the avergae returns should be proportional to betas, so plot the sample average returns against the betas. Even if the model is true, this plot will not work out perfectly in each sample, so there will be some spread as shown.•Given this fact, a natural idea is to run a cross-sectional regression to fit a line through the scatterplot of the figure.N i R E i ei ,...,3,2,1)('==λβcontinued•First find estimates of the betas from time-series regressions•Then estimate the factor risk premia from a regression across assets of average returns on the betas ,•As in the figure, are right-hand variables, are theregression coefficients, and the cross-sectional regressionresiduals are the pricing errors. This is known as a two-pass regression estimate. ieach for T t f R i t t i i eit ,...,2,1'=++=εβαλi i ei T R E αλβ+=')(βλi αDerivations and formulas for the variance ofestimated parameters•The easy and elegant way to account for the effects of the generated regressors such as beta is to map the whole thing into GMM.•To keep the algebra manageable, I treat the case of a single factor. The moments are⎥⎥⎥⎦⎤⎢⎢⎢⎣⎡=⎥⎥⎥⎦⎤⎢⎢⎢⎣⎡−−−−−=000)(])[)()(βλββe t t e t t e t T R E f f a R E f a R E b g。