很多金融教材比如Baxter&Rennie，Bjork都有一种倾向想要说明金融学和经济学是不同的，无套利分析和一般均衡是不一样的，国内的学者比如宋逢明也是赞成这种观点的，我想可能不同的人对这个问题都有不同的理解吧，引述asset pricing领域的著名学者的几段话。cochrane                 financial markets and the real economyMany financial economists dismiss macroeconomic approaches to asset pricing becauseportfolio-based models “work better” — they provide smaller pricing errors. This dismissalof macroeconomics by financial economists is just as misguided as the dismissal of financeby macroeconomists. First, a good part of the better performance of portfolio-based models simply reflectsRoll’s (1977) theorem: We can always construct a reference portfolio that perfectly fits allasset returns: the sample mean-variance efficient portfolio. The only content to empiricalwork in asset pricing is what constraints the author put on his fishing expedition toavoid rediscovering Roll’s theorem. The instability of many “anomalies” and the changingpopularity of different factor models (Schwert 2003) lends some credence to this worry.The main fishing constraint one can imagine is that the factor portfolios are in factmimicking portfolios for some well-understood macroeconomic risk. Fama (1991) famouslylabeled the ICAPM and similar theories “fishing licenses,” but his comment cuts in both directions.Yes, current empirical implementations do not impose much structure from theory,but no, you still can’t fish without a license. For example, momentum has yet to acquire thestatus of a factor despite abundant empirical success, because it has been hard to come upwith stories that it corresponds to some plausible measure of the marginal utility of wealth.Second, much work in finance is framed as answering the question whether markets are“rational” and “efficient” or not. No amount of research using portfolios on the right handside can ever address this question. The only possible content to the “rationality” questionis whether the “hunger” apparent in asset prices — the discount factor, marginal value ofwealth, etc. — mirrors macroeconomic conditions correctly. If Mars has perfectly smoothconsumption growth, then prices that are perfectly “rational” on volatile Earth would be“irrational” on Mars. Price data alone cannot answer the question, because you can’t tellfrom the prices which planet you’re on. In sum, the program of understanding the real, macroeconomic risks that drive assetprices (or the proof that they do not do so at all) is not some weird branch of finance; it isthe trunk of the tree. As frustratingly slow as progress is, this is the only way to answer thecentral questions of financial economics, and a crucial and unavoidable set of uncomfortablemeasurements and predictions for macroeconomics.