Background : Prof. Lin, Ji-Chai 為Ph.D. in Finance, U. of Iowa (1988)。
現為Lloyd F. Collette Chair of Financial Services and Professor, Department of Finance, E.J. Ourso College of Business Administration, Louisiana State University。
他的主要研究領域為公司理財 資產定價 市場微結構等，並已在許多國際頂尖學術期刊發表論文，其中包括 Journal of Finance、Review of Financial Studies、Journal of Financial and Quantitative Analysis及Journal of Banking and Finance。
Abstract : Based on the widely used Fama-French (FF) three-factor model, this paper proposes an alternative asset pricing representation, with the certainty equivalent loss as a measure of risk and the certainty equivalent gain as a measure of reward for taking risk. The representation makes two contributions to the asset pricing literature. First, it is more robust than the beta representation. The gain and loss measures can determine the equilibrium asset value even in the presence of pricing errors. By contrast, when alpha in the return generating process could be nonzero, the beta representation produces a biased cost of capital. Second, it simplifies risk measurement. Instead of three betas under the FF model, one simple measure of risk, the certainty equivalent loss, can be used in applications involving risk assessment. The analysis can be extended to other linear factor-pricing models. Empirically, based on industry portfolios, we find the existence of the gain-loss tradeoff in U.S. equity markets.
