2013 Eugene Fama Robert J Shiller 7 Peter

2013年诺贝尔经济学奖 � Eugene Fama Robert J. Shiller 7 Peter Hansen 2022/2/6

2013年诺贝尔经济学奖 � “The 8 Laureates have laid the foundation for the current understanding of asset prices. It relies in part on fluctuations in risk and risk attitudes, and in part on behavioral biases and market frictions. ” � “One approach interprets these findings in terms of the response by rational investors to uncertainty in prices. High future returns are then viewed as compensation for holding risky assets during unusually risky times. ” � “Another approach focuses on departures from rational investor behavior. So-called behavioral finance takes into account institutional restrictions, such as borrowing limits, which prevent smart investors from trading against any 2022/2/6 mispricing in the market. ”

The Universe of Investable Assets Market Size of Asset Classes(trillion $) Bloomberg, Bank for International Settlement, JP Morgan, 2013 70 67 61 60 50 44 36 40 30 20 12 5 10 0 Equity 19 Credit Gov. Bonds FX Options Commodity 2022/2/6

大陆金融市场: 股票 总市值(万亿元) 公司家数 23 中小板 创业板 合计 主板 中小板 创业板 495 44. 70 33. 08 7. 65 3. 97 770 492 58. 45 42. 37 10. 48 5. 59 1481 726 406 42. 86 35. 54 5. 14 2. 19 2489 1439 695 355 27. 25 21. 99 3. 75 1. 51 2012 2494 1444 695 355 26. 78 23. 02 2. 89 0. 87 2011 2342 1421 640 281 25. 01 21. 52 2. 75 0. 74 2010 2063 1383 527 153 30. 52 26. 25 3. 53 0. 74 2009 1718 1358 324 36 29. 07 27. 24 1. 67 0. 16 2008 1625 1354 271 0 14. 84 14. 21 0. 62 0. 00 年份 合计 主板 2016 2835 1568 772 2015 2827 1565 2014 2613 2022/2/6

共同基金 大��券投�基金�展�模 35000 1800 1600 30000 25000 1200 20000 15000 800 600 10000 �券投�基金数量 (只数) �券投�基金�模 (�元) 1400 5000 200 0 0 2004 2005 2006 2007 2008 �券投�基金只数 29 2009 2010 2011 2012 2013 �券投�基金�模 2022/2/6

对冲基金 Number 1200 Capital(Million RMB) 180000 Launch Number Launch Capital 1100 1000 160000 900 140000 800 120000 700 100000 600 500 80000 400 60000 300 40000 20000 100 0 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 0 2012 Year 大陆阳光私募发展概况 相对价值型 （28只） 债券型 （63只） 事件驱动型 （81只） 股票型 （1424只） 月超额收益率（%） 0. 272 0. 285 -0. 085 -0. 48 发行规模（百万元） 89. 6 1. 4 23. 1 11. 2 147. 3 1. 0 30. 0 14. 0 93. 4 1. 7 20. 2 14. 9 93. 0 1. 7 20. 3 29. 8 变量 资产管理费（%） 业绩提成费（%） 年龄（月） 30 2022/2/6

订单 � 订单类型(Order 37 type) � 市价单 Market order � 限价单 Limit Order � 止损单 Stop Order 2022/2/6

融资例子 � 保证金制度 � (初始最低)保证金比例=现金/融资买入总额： 50% � 杠杆倍数=(现金+融资买入总额）/现金 � 维持保证金比例： 30% ，催缴保证金( Margin Call） � 维持担保比例=(现金+融资买入金额)/融资买入总额： 130% � Buying on Margin Stock price falls to $90 per share X Corp $100 50% Initial Margin 30% Maintenance Margin 100 Shares Purchased New Position Stock $13, 500 Initial Position Equity Stock $15, 000 Borrowed $10, 000 Equity � 41 $5, 000 Borrowed $10, 000 $3, 500 Margin% = $3, 500/$10, 000 = 35% 通过融资，损失由-10%变为-30% 2022/2/6

融券例子 � Short Sales Dot Bomb 50% 30% $100 Sale Proceeds Margin & Equity Stock Owed 43 1, 000 Shares Initial Margin Maintenance Margin Initial Price $100, 000 50, 000 100, 000 Stock Price Rises to $110 Sale Proceeds $10, 000 Initial Margin 5, 000 Stock Owed 11, 000 Net Equity 4, 000 Margin % (4000/11, 000) 36% � 通过融券，损失由-10%变为-20% � 2015年 11月，沪深交易所将融资保证金比例由 50%上调到 100%， 融券保证金比例继续维持50%。 2022/2/6

Stock market turmoil in 2015

Leverage and market boom � It is now widely recognized that a large amount of leverage fueled the stock market boom in Nov 2014 -June 2015 � De-leveraging markets � Leverage had led to liquidity spiral in stock entered stock markets in several channels Margin accounts within the system � Debt financing through various shadow systems �

New Circuit Breaker � CSRC instituted circuit breaker on China’s Ashare markets, starting on January 4, 2016 � If the CSI 300 index falls by 5%, trading of A shares in both Shanghai and Shenzhen stock exchanges will be halted for 15 minutes � If the CSI 300 index falls by 7%, trading ends for the day

January 4, 2016 HSCCI(Jan 4 th) 0, 00% 9: 34 10: 04 10: 34 11: 04 11: 34 13: 05 13: 35 14: 05 14: 35 15: 05 15: 35 -0, 50% -1, 00% -1, 50% -2, 00% -2, 50% -3, 00% -3, 50% CSI 300 (Jan 4 th) -4, 00% 0, 00% 9: 30 -1, 00% -2, 00% -3, 00% -4, 00% -5, 00% -6, 00% -7, 00% -8, 00% 10: 00 10: 30 11: 00 13: 30 14: 00 14: 30 15: 00

January 7, 2016 HSCCI (Jan 7 th) 0, 50% 9: 31 10: 01 10: 31 11: 01 11: 31 13: 01 13: 31 14: 01 14: 31 15: 01 15: 31 -0, 50% -1, 50% -2, 50% -3, 50% CSI 300 (Jan 7 th) -4, 50% 0% 9: 30 -1% -2% -3% -4% -5% -6% -7% -8% 10: 00 10: 30 11: 00 13: 30 14: 00 14: 30 15: 00