金融学的发展历史

Finance Theory

Finance theory has a surprisingly short history in

economics. Economists have long been aware of the basic economic function of credit markets but they were not keen on analyzing it much further than that. As such, early ideas about financial markets were largely intuitive, mostly formulated by practitioners. Pioneering theoretical work on financial markets, notably that of Louis Bachelier (1900), tended to be basically ignored by theoreticians and practitioners alike.

Portfolio Theory

This does not mean that the early economists ignored financial markets. Irving Fisher (1906, 1907, 1930) had already outlined the basic functions of credit markets for economic activity, specifically as a way of allocating resources over time -- and had recognized the importance of risk in the process. In developing their theories of money, John Maynard Keynes(1930, 1936), John Hicks(1934, 1935, 1939), Nicholas Kaldor(1939) and Jacob Marschak(1938) had already conceived of portfolio selection theory in which uncertainty played an important role.

However, for many economists during this early period, financial markets were still regarded as mere "casinos" rather than "markets" properly speaking. In their view, asset prices were determined largely by expectations and counter-expectations of capital gains and thus they were "held up by their own bootstraps" as it were. John Maynard Keynes's "beauty contest" analogy is representative of this attitude.

As such, a good amount of ink was spent on the topic of speculative activity (i.e. the purchase/temporary sale of goods or assets for later resale). For instance, in their pioneering work on futures markets, John

Maynard Keynes(1923, 1930) and John Hicks(1939) argued that the price of a futures contract for delivery of a commodity will be generally below the expected spot price of that commodity (what Keynes called "normal backwardation"). This, Keynes and Hicks argued, was largely because hedgers shifted their price risk onto speculators in return for a risk premium. Nicholas Kaldor (1939) went on to analyze the question of whether speculation was successful in stabilizing prices and, in so doing, expanded Keynes's theory of liquidity preference considerably.

(In later years, Holbrook Working (1953, 1962) would dispute this, arguing that there was, in fact, no difference between the motivations of hedgers and speculators. This led to an early empirical race -- Hendrik Houthakker(1957, 1961, 1968, 1969) finding evidence in favor of normal backwardation and Lester Telser (1958, 1981) finding evidence against it.)

John Burr Williams (1938) was among the first to challenge the "casino" view economists held of financial markets and questions of asset pricing. He argued that asset prices of financial assets reflected the "intrinsic value" of an asset, which can be measured by the discounted stream of future expected dividends from the asset. This "fundamentalist" notion fit well with Irving Fisher's(1907, 1930) theory, and the "value-investing" approach of practitioners such as Benjamin Graham.

Harry Markowitz(1952, 1959) realized that as the "fundamentalist" notion relied on expectations of the future, then the element of risk must come into play and thus profitable use could be made of the newly developed expected utility theory of John von Neumann and Oskar Morgenstern (1944). Markowitz formulated the theory of optimal portfolio selection in the context of trade-offs between risk and return, focusing on the idea of portfolio diversification as a method of reducing risk -- and thus began what has become known as "Modern Portfolio Theory" or simply MPT.

As noted, the idea of an optimal portfolio allocation had already been considered by Keynes, Hicks and Kaldor in their theories of money, and thus it was a logical step for James Tobin (1958) to add money to Markowitz's story and thus obtain the famous "two-fund separation theorem". Effectively, Tobin argued that agents would diversify their savings between a risk-free asset (money) and a single portfolio of risky assets (which would be the same for everyone). Different attitudes towards risk, Tobin contended, would merely result in different combinations of money and that unique portfolio of risky assets.

The Markowitz-Tobin theory was not very practical. Specifically, to estimate the benefits of diversification would require that practitioners calculate the covariance of returns between every pair of assets. In their Capital Asset Pricing Model (CAPM), William Sharpe(1961, 1964) and John Lintner (1965) solved this practical difficulty by demonstrating that one could achieve the same result merely by calculating the covariance of every asset with respect to a general market index. With the necessary calculating power reduced to computing these far fewer terms ("betas"), optimal portfolio selection became computationally feasible. It was not long before practitioners embraced the CAPM.

The CAPM would be eventually challenged empirically in a series of papers by Richard Roll(1977, 1978). One of the alternatives offered up was the "intertemporal CAPM" (ICAPM) of Robert Merton(1973). Merton's approach and the assumption of rational expectations led the way to the Cox, Ingersoll and Ross(1985) partial differential equation for asset prices and, perhaps only a step away, Robert E. Lucas's (1978) theory of asset pricing.

A more interesting alternative was the "Arbitrage Pricing Theory" (APT) of Stephen A. Ross(1976). Stephen Ross's APT approach moved away from the risk vs. return logic of the CAPM, and exploited the notion of "pricing by arbitrage" to its fullest possible extent. As Ross himself has noted, arbitrage-theoretic reasoning is not unique to his particular theory but is in fact the underlying logic and methodology of virtually all of finance theory. The following famous financial theorems illustrate Ross's point.

The famous theory of option pricing by Fisher Black and Myron Scholes(1973) and Robert Merton (1973) relies heavily on the use of arbitrage reasoning. Intuitively, if the returns from an option can be replicated by a portfolio of other assets, then the value of the option must be equal to the value of that portfolio, or else there will be arbitrage opportunities. Arbitrage logic was also used by M. Harrison and David M. Kreps (1979) and Darrell J. Duffie and Chi-Fu Huang (1985) to value multi-period (i.e. "long-lived") securities. All this spills over into the Neo-Walrasian theories of general equilibrium with asset markets (complete and incomplete) developed by Roy Radner (1967, 1968, 1972), Oliver D. Hart (1975) and many others since.

The famous Modigliani-Miller theorem (or "MM") on the irrelevance of corporate financial structure for the value of the firm also employs arbitrage logic. This famous theorem Franco Modigliani and Merton H. Miller (1958, 1963) can actually be thought of as an extension of

the "Separation Theorem" originally developed by Irving Fisher

(1930). Effectively, Fisher had argued that with full and efficient capital markets, the production decision of an entrepreneur-owned firm ought to be independent of the intertemporal consumption decision of the entrepreneur himself. This translates itself into saying that the profit-maximizing production plan of the firm will not be affected by the borrowing/lending decisions of its owners, i.e. the production plan is independent of the financing decision.

Modigliani-Miller extended this proposition via arbitrage logic. Viewing firms as assets, if the underlying production plans of

differently-financed firms are the same, then the market value of the firms will be the same for, if not, there is an arbitrage opportunity there for the taking. Consequently, arbitrage enforces that the value of the firms to be identical, whatever the composition of the firm's financial structure.

Efficient Markets Hypothesis

The second important strand of work on finance was the empirical analysis of asset prices. A particularly disturbing finding was that it seemed that prices tended to follow a random walk. More specifically, as documented already by Louis Bachelier (1900) (for commodity prices) and later confirmed in further studies by Holbrook Working (1934) (for a variety of price series), Alfred Cowles(1933, 1937) (for American stock prices) and Maurice G. Kendall (1953) (for British stock and commodity prices), it seemed as there was no correlation between successive price changes on asset markets.

The Working-Cowles-Kendall empirical findings were greeted with horror and disbelief by economists. If prices are determined by the "forces of supply and demand", then price changes should move in particular direction towards market clearing and not randomly. Not everyone was displeased with these results, however. Many viewed them as proof that the "fundamentalist" theory was incorrect, i.e. that financial markets really were wild casinos and that finance was thus not a legitimate object of economic concern. Yet others crowed that it proved the failure

of traditional "statistical" methods to illuminate much of anything. High-powered time series methods were used by Clive Granger and Oskar Morgenstern (1963) and Eugene F. Fama (1965, 1970), but they came up with the same randomness result.

The great breakthrough was due to Paul A. Samuelson (1965) and Benoit Mandelbrot(1966). Far from proving that financial markets did not work according to the laws of economics, Samuelson interpreted the Working-Cowles-Kendall findings as saying that they worked all too

well! The basic notion was simple: if price changes were not random (and thus forecastable), then any profit-hungry arbitrageur can easily make appropriate purchases and sales of assets to exploit this. Samuelson and Mandelbrot thus posited the celebrated "Efficient Market Hypothesis" (EMH): namely, if markets are working properly, then all public (and, in some versions, private) information regarding an asset will be channelled immediately into its price. (note that the term "efficient", as it is used here, merely means that agents are making full use of the information available to them; it says nothing about other types of "economic efficiency", e.g. efficiency in the allocation of resources in production, etc.). If price changes seem random and thus unforecastable it is because investors are doing their jobs: all arbitrage opportunities have already been exploited to the extent to which they can be.

The "Efficient Markets Hypothesis" was made famous by Eugene Fama(1970) and later connected to the rational expectations hypothesis of New Classical macroeconomics. It did not please many

practioners. "Technical" traders or "chartists" who believed they could forecast asset prices by examining the patterns of price movements were confounded: the EMH told them that they could not "beat the market" because any available information would already be incorporated in the price. It also had the potential to annoy some fundamentalist practioners: the idea of efficient markets rests on "information" and "beliefs", and thus does not, at least in principle, rule out the possibility of speculative bubbles based on rumor, wrong information and the "madness of crowds".

More disturbingly, the EMH has not pleased economists. EMH is probably one of the more resiliant empirical propositions around (albeit, see Robert Shiller's (1981) critique), yet it does not seem to have a clearly sound theoretical standing. It all seems to collapse on one particular objection: namely, that if all information is already contained in prices and investors are fully rational, then not only can one not profit from using one's information, indeed, there might not be any trade at

all! These peculiar, contradictory implications of rational expectations were demonstrated by Sanford J. Grossman and Joseph E. Stiglitz (1980) and Paul Milgrom and Nancy Stokey(1982). Intuitively, the objection can be put this way (and here we are oversimplifying a bit). The efficient markets hypothesis effectively implies that there is "no free lunch", i.e. there are no $100 bills lying on the pavement because, if there were, someone would have picked them up already. Consequently, there is no point in looking down at the pavement (especially if there is a cost to looking down). But if everyone reasons this way, no one looks down at the pavement, then any $100 bills that might be lying there will not be

picked up by anyone. But then there are$100 bills lying on the pavement and one should look down. But then if everyone realizes that, they will look down and pick up the $100 bills, and thus we return to the first stage and argue that there are not any $100 bills (and therefore no point in looking down, etc.) This circularity of reasoning is what makes the theoretical foundations of the efficient markets hypothesis somewhat shaky.

金融学的历史在经济学中令人咤舌的短。经济学家们早就意识到信用市场的基本经济功能，但他们并未热衷到在此基础之上做进一步的分析研究。正因为如此，关于金融市场的早期观点大多非常直观，而且绝大多数都是由实业家们提出来的。而对金融市场进行开创性理论研究的Louis Bachelier (1900) 似乎根本就被理论家和实业家们所忽视和遗忘了。

投资组合理论

以上事实并不意味着早期经济学家们忽视了金融市场。Irving Fisher (1906, 1907, 1930) 早就描述了信用市场在经济活动中的基本功能，尤其是其作为在时间上分配资源的作用－－他已经认识到风险在这一过程中的重要性。之后John Maynard Keynes (1930, 1936), John Hicks (1934, 1935, 1939), Nicholas Kaldor (1939) 及Jacob Marschak (1938) 在他们发展货币理论的过程中，也已经开始孕育不确定性(uncertainty) 具有重要意义的投资组合理论了。

但是对于那一时期的很多经济学家来说，金融市场仍然被认为只不过是纯粹的“赌场”而非真正的“市场”。他们认为资产价值大多是由资本收益的期望和反期望决定的，因此它们是“自己被自己套牢”了。John Maynard Keynes 的“选美”类比是其中代表性的观点。

因为如此，很多人对投机行为的研究费了不少笔墨(投机行为即为今后零售所需而进行的商品或资产买入或短期卖出的行为)。比如说，John Maynard Keynes (1923, 1930) 和John Hicks (1939) 在其对期货市场的开创性文章中论述道，商品交割的期货合同的价格通常要低于该商品未来现货交割价的期望值(Keynes 称之为“正常交割延迟”) Keynes 和Hicks 认为这在很大程度上是因为套期保值者将他们的价格风险转让给了投机者以换取风险溢价(Cat 注：亦称风险贴水)。Nicholas Kaldor (1939)则分析了投机活动是不是能稳定价格的问题，这在很大程度上扩展了Keynes 的流动性偏好理论。

(后来Holbrook Working (1953, 1962) 则认为套期保值者和投机者的动机没有任何区别。这一论点引发了早期的实证研究浪潮－－Hendrik Houthakker (1957, 1961, 1968, 1969) 发现有利于正常交割延迟的证据而Lester Telser (1958, 1981)则发现了不利证据。)

John Burr Williams (1938) 是挑战经济学家对金融市场是“赌场”观点及资产定价问题的先锋之一。他认为金融资产的价格反映了该资产的“内在价值”，其可以用该资产未来预期股利现金流的折现价来表示。这一“基本派”观点与Irving Fisher (1907, 1930) 的理论，以及诸如Benjamin Graham等实业家的“价值投资”方法不谋而合。

Harry Markowitz (1952, 1959)意识到当“基本派”观点依赖于对未来的预期时，风险因素必须要起作用，从而由Jonh von Neumann 和Oskar Morgenstern (1944) 创立的预期效用理论可以得到非常有效的利用。Markowitzd 在风险-收益协调均衡的前提下系统阐述了最佳投资组合选择理论--该理论从此成为“现代投资组合理论”（简称“MPT”）的前身。

如之前所述，关于最优投资组合分配的早期观点早就已经在Keynes, Hicks, 及Kaldor等人的货币理论中被提及和考虑到，因而James Tobin (1958) 将货币因素加入Markowitz的理论中得到著名的“两基金分离定理”也是非常符合逻辑的一步。Tobin 有效的论证了经济个体将通过投资在一种无风险资产（货币）和唯一的风险资产组合（这一组合对所有人都相同）来分散其储蓄风险。Tobin 声称，对风险的不同态度，仅导致货币和该唯一风险资产的组合不同而已。

Markowitz-Tobin理论并不是非常实用。特别是估计风险分散化利益时要求实业家们计算每一对资产收益间的协方差。William Sharpe (1961, 1964) 和John Lintner (1965) 在他们的资产定价模型(CAPM)中解决了这一操作性困难。他们论证了只要计算每一种资产和一个市场指数之间的协方差便可以得到和Markowitz-Tobin同样的结果。由于计算量大大减少到这一模型中少量的几项(betas,贝塔系数)，最优投资组合选择具备了计算上的可行性。很快的，实业家们就开始运用CAPM了。

CAPM后来受到了Richard Roll (1977, 1978)一系列实证上的批判。可以对其取而代之的改良理论之一为Robert Merton (1973) 的跨期资产定价模型。Merton的方法和理性预期假设引导了后来Cox, Ingersoll 和Ross (1985) 的资产价格偏微分方程，他的模型可能离Robert E. Lucas (1978) 的资产定价理论仅一步之遥。

另一个更有意思的可以取代CAPM的理论是Stephen A. Ross (1976) 的“套利定价理论”(APT)。他的方法偏离了CAPM中风险与资产的逻辑，却全面发展了关于“套利定价”的观点。如Ross所声称的，套利的理论推导在他的这一理论中并不具有唯一性，但实质上却是所有金融理论中的基础逻辑和方法论。如下的著名金融定理解释了Ross的观点。

Fisher Black 和Myron Scholes (1973) 著名的期权定价理论及Robert Merton (1973) 的理论在很大程度上依赖于对套利的逻辑推导。直觉上来说，如果期权收益可以由一个由其他资产组成的投资组合复制的话，那么这个期权的价值一定等于该投资组合的价值，否则的话就会存在套利的机会。套利的逻辑还被M. Harrison 和David M. Kreps (1979), 及Darrell J. Duffie 和Chi-Fu Huang (1985) 用来计算多期(即“长期存在的”)证券。所有这些还反映在由Roy Radner (1967, 1968, 1972), Oliver D. Hart (1975) 及其他经济学家等创立的关于(完全和不完全)资产市场一般均衡的新瓦尔拉斯理论中。

著名的关于公司金融结构与公司价值无关性的Modigliani-Miller定理(简称“MM”定理)也应用了套利的基本逻辑。这一由Franco Modigliani 和Merton H. Miller (1958, 1963) 创立的著名定理可以看成是最初由Irving Fisher (1930) 创立的“分离定理”的一个推广。事实上，Fisher认为在完全和有效的资本市场上，私人企业主的生产决策和企业主自己多期的消费决定应当是相互独立的。他的意思是说，企业的利润最大化生产计划将不会受到企业主的借贷决定的影响，即生产决策和融资决策是相互独立的。

Modigliani-Miller 在套利假设下扩展了Fisher 的这一定理。将企业看作是资产，对具有不同融资政策的企业来说，如果它们基本的生产决策是相同的话，那么这些企业的市场价值就应当是相同的。否则的话就会存在套利机会。因此，不管公司的融资结构如何，套利机会的存在保证了公司的价值一定相同。

有效市场假说

金融学中重要性排在其次的系列工作是资产价格的实证分析。一个比较麻烦的发现是价格似乎是服从随机游走的。更具体点来说，最初根据Louis Bachelier (1900,研究商品价格)，其后由Holbrook Working (1934, 研究不同种的价格时间序列)，Alfred Cowles (1933, 1937,研究美国股票价格)，以及Maurice G. Kendall (1953,研究英国股票和商品价格)等人的工作表明，后继价格变化和资产市场之间似乎没有任何关联。

Working-Cowles-Kendall的实证发现带来了经济家的恐慌和质疑。因为如果资产价格是由“供给和需求力量”决定的话，那么价格的变化应当只向市场出清方向移动而不是随机游走的。但并不是所有的人都讨厌这一结果。许多人将其看作是论证“基本派”观点不正确的证据，即金融市场确实是无规则的“赌场”，因而不在经济学家应当考虑的合理对象范畴内。但还有其他人则声称这一结果表明企图用传统的“统计”方法来表达任何现象的做法是失败的。之后Clive Granger 和Oskar Morgenstern (1963)，及Eugene F. Fama (1965, 1970) 等运用了更强大的时间序列方法但也得出了相同的随机的结果。

历史性的突破应当归功于Paul A. Samuelson (1965) 和Benoit Mandelbrot (1966)。Samuelson 不仅没有认为金融市场没有按照经济规律运作，相反地，他将Working-Cowles-Kendall的结果解释成为金融市场非常有效地在按照经济规律运作！他的基本观点非常简单：如果价格波动不是随机的(因而是可以预测的)话，那么任何一个寻求利润的套利者就可以通过适当的资产买卖来实现这一利润。Samuelson和Mandelbrot 因此提出了著名的有效市场假说(简称“EMH”)：如果市场有效，则所有关于资产的公开(在有些版本中还包括不公开)信息将瞬间反映在价格上。(注意“有效”一词仅仅是指市场参与者充分利用了他们所能知道的信息；与其他类型的“经济有效性”如生产资源分配的有效性无关。) 如果价格变化看上去是随机并不可预测的话，那是因为投资者们尽了他们应尽的职责：所有可能存在的套利机会都已经被发现并最大程度地利用了。

这一“有效市场假说” 先因Eugene Fama (1970)而变成了著名理论，之后又被人与新古典宏观经济学派的理性预期假说联系起来。这一理论并未取悦实业家。“技术分析”交易家或是“图表主义者”认为他们可以通过观察价格变动的方式来预测资产价格的观点受到了挑战：EMH认为他们不能够“击败市场”因为任何可得的信息都已经融合到价格中了。这一理论也在无形中惹恼了基本派实业家：有效市场的观点依赖于“信息”和“看法”，因而至少在原则上排除了因谣言而形成的投机泡沫，错误信息及“人群疯狂症”等的可能性。

更加令人烦恼的是，EMH也没有令经济学家们感到高兴。EMH可能是比较适应现实情况的实证性假说之一(即使Robert Shiller (1981) 对其有批判)，但它似乎并没有强有力的理论基础。同时该理论似乎对以下的反对意见无力反驳：如果所有的信息已经包含在价格之中，投资者是完全理性的话，那么不仅没有人可以通过信息获利，而且很可能根本不会有交易发生！Sanford J. Grossman 和Joseph E. Stiglitz (1980) 及Paul Milgrom 和Nancy Stokey (1982) 提出了这一理性预期的悖论。直觉上来说，这一悖论由以下的例子来解释(这里我们稍稍简化了一点)。有效市场假说实际上意味着“没有免费午餐”，即不会有100块钱躺在路边等人来捡。因为如果有的话，别人早就已经把它们捡走了。因此，看路边有没有钱是根本没有意义的(尤其是在这一看的动作还有成本的情况下)。但是如果每个人都这么想，没有人会去低头看路边的话，那么在路边就可能会有还没被人捡起来的100块钱。但是现在确实有100块钱躺在路边，人们就应该低头看一看。但是如果每个人都意识到了这一点，那么他们就会低头看并捡起那些100块钱，那么我们就回到了最初的第一阶段，并且认为地上不会有100块钱(因此看路边就没有任何意义，等等)。正是有效市场假说的理论基础并不是那么有力才导致了这一推断的死循环。