论文标题
资产回报的内源性代表
Endogenous Representation of Asset Returns
论文作者
论文摘要
自引入资本资产定价模型（CAPM）和套利定价理论（APT）以来，资产回报的因素建模一直是投资科学的主要实践。考虑到系统风险的因素是指定或解释为外源的。他们解释了大型投资组合中的大部分风险。我们提出了一个框架，该框架询问我们在股票市场中看到的风险可能是通过资产回报本身来解释的。为了回答这个问题，我们将资产分解为内源性组件和其余部分，并分析所得风险分解的特性。提供从数据分解的统计方法以及经验测试。我们的结果表明，股票市场中大多数风险的可能性可以通过稀疏的互动资产（或其发行公司）的网络来解释。这种稀疏的网络可以给出一个设定的外源性因素的外观，实际上可能没有。我们通过几个案例研究来说明我们的结果。
Factor modeling of asset returns has been a dominant practice in investment science since the introduction of the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). The factors, which account for the systematic risk, are either specified or interpreted to be exogenous. They explain a significant portion of the risk in large portfolios. We propose a framework that asks how much of the risk, that we see in equity markets, may be explained by the asset returns themselves. To answer this question, we decompose the asset returns into an endogenous component and the remainder, and analyze the properties of the resulting risk decomposition. Statistical methods to estimate this decomposition from data are provided along with empirical tests. Our results point to the possibility that most of the risk in equity markets may be explained by a sparse network of interacting assets (or their issuing firms). This sparse network can give the appearance of a set exogenous factors where, in fact, there may be none. We illustrate our results with several case studies.
