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浙江大学学报(人文社会科学版)  2009, Vol. 39 Issue (4): 129-    DOI:
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主权财富基金的兴起及其对全球 资产价格的影响——基于资产定价模型的估算
The Emergence of Sovereign Wealth Funds and Their Influence on World Asset Prices : Estimation Based on the Asset Pricing Model

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摘要 

21世纪初特别是 2007年夏天以来 ,伴随着全球资源性商品价格高涨和世界经济失衡加剧 ,主权财富基金蓬勃发展 ,成为全球资本市场上的重要投资者。由于主权财富基金的设立原因、资产规模以及管理者的风险偏好等因素 ,主权财富基金的兴起必将改变全球主要资产的供需均衡 ,进而影响全球主要资产的价格走向。在预测主权财富基金未来规模的基础上 ,就主权财富基金的兴起对全球风险资产回报率、无风险资产回报率、风险溢价以及市盈率等资产价格的影响进行定量研究后发现 ,主权财富基金对风险资产和无风险资产回报率的影响是同向的 ,且对无风险资产回报率的影响更为显著 ;对风险溢价和市盈率的影响也是同向的 ,且与风险资产和无风险资产方向相反 ;“新增经常账户盈余的 86 .5%转移到主权财富基金”是主权财富基金影响四种资产价格的“拐点”。

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宋玉华 李 锋
关键词 主权财富基金资产定价模型平均风险厌恶资产价格    
Abstract

Owing to the boom of world resource commodity markets and the aggravation of global economic imbalance in the early part of the 21st century , sovereign wealth funds have appeared in the world economy and have become the important investors in global capital markets .Because of the cause of the establishment of sovereign wealth funds , the capital scale and the risk preference of the administrators , the emergence of sovereign wealth funds will surely change the supply-demand equilibrium of global capital markets and markedly affect the price tendency of the world's main asset . By forecasting the future scale of sovereign wealth funds , this article is an attempt to estimate the influences of the emergence of sovereign wealth funds on the returned rate of risky asset and risk-free asset , the equity premium and the price-earnings ratio . The major conclusions reached in this study are as follows : the influences of sovereign wealth funds on the returned rate of risky asset and risk-free asset are of the same direction , but it is much more notable on the risk-free asset . The influences on equity premium and price-earnings ratio are also of the same direction , and is much more notable as sovereign wealth funds become stronger . The direction of sovereign wealth funds'influences on equity premium and price-earnings ratio is opposite to that of risky and risk-free assets .″Transferring 86 .5% of the new current account surplus to sovereign wealth funds every year″is the inflexion point of sovereign wealth funds'influences on the four asset prices .

    
引用本文:   
宋玉华 李 锋. 主权财富基金的兴起及其对全球 资产价格的影响——基于资产定价模型的估算[J]. 浙江大学学报(人文社会科学版), 2009, 39(4): 129-.
链接本文:  
https://www.zjujournals.com/soc/CN/     或     https://www.zjujournals.com/soc/CN/Y2009/V39/I4/129
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