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1、 It is the equilibrium model that underlies all modern financial theory 它是一種均衡模型,是現(xiàn)代金融理論的基石 Derived using principles of diversification with simplified assumptions 它通過使用分散化和簡化假設(shè)而來 Markowitz,Sharpe,Lintner and Mossin are researchers credited with its development 此模型由馬科維茨,夏普,林特納和莫森研究Capital Asset Pric

2、ing Model(CAPM)資本資產(chǎn)定價(jià)模型 Individual investors are price takers 個(gè)人投資者是價(jià)格接受者 Single-period investment horizon 投資持有期都相同：單期投資 Investments are limited to traded financial assets 投資范圍僅限于金融市場上的交易資產(chǎn) No taxes and transaction costs 無所得稅和交易稅Assumptions 假設(shè) Information is costless and available to all investors 信

3、息由投資者共享 Investors are rational mean-variance optimizers 投資者是理性的,追求均值方差最優(yōu)者 There are homogeneous expectations 同質(zhì)期望Assumptions Continued 假設(shè)（續(xù)）All investors will hold the same portfolio for risky assets market portfolio 所以投資者持有相同風(fēng)險(xiǎn)資產(chǎn)組合-市場組合 Market portfolio contains all securities and the proportion of

4、 each security is its market value as a percentage of total market value 市場組合包含所有證券并且每一證券作為總市場價(jià)值的一部份是其市場價(jià)值Resulting Equilibrium Conditions均衡條件 Risk premium on the market depends on the average risk aversion of all market participants 市場風(fēng)險(xiǎn)溢價(jià)取決于所有市場參與者的平均風(fēng)險(xiǎn)厭惡水平 Risk premium on an individual security i

5、s a function of its covariance with the market Resulting Equilibrium Conditions Continued均衡條件續(xù)Figure 9.1 The Efficient Frontier and the Capital Market Line有效前沿和資本市場線Market Risk Premium市場風(fēng)險(xiǎn)溢價(jià)The risk premium on the market portfolio will be proportional to its risk and the degree of risk aversion of t

6、he investor:22()where is the variance of the market portolio and is the average degree of risk aversion across investorsMfMME rrAA The risk premium on individual securities is a function of the individual securitys contribution to the risk of the market portfolio 單個(gè)證券的風(fēng)險(xiǎn)溢價(jià)取決于單個(gè)證券對投資組合風(fēng)險(xiǎn)的貢獻(xiàn)程度 An indi

7、vidual securitys risk premium is a function of the covariance of returns with the assets that make up the market portfolio 單個(gè)證券的風(fēng)險(xiǎn)溢價(jià)是該資產(chǎn)收益與市場組合收益的協(xié)方差的函數(shù)Return and Risk For Individual Securities單個(gè)證券收益和風(fēng)險(xiǎn)Using GE Text Example通用電器公司為例 Covariance of GE return with the market portfolio:Therefore,the rewa

8、rd-to-risk ratio for investments in GE would be:11(,),(,)nnGEMGEk kkkGEkkCov rrCov rw rw Cov r r()()GEs contribution to risk premiumGEs contribution to variance(,)(,)GEGEfGEfGEGEMGEMwE rrE rrw Cov rrCov rrUsing GE Text Example Continued續(xù)例 Reward-to-risk ratio for investment in market portfolio:Rewar

9、d-to-risk ratios of GE and the market portfolio:And the risk premium for GE:2()Market risk premiumMarket varianceMfME rr2()()(,)GEfMfGEMME rrE rrCov rr2(,)()()GEMGEfMfMCov rrE rrE rrExpected Return-Beta Relationship期望收益-貝塔關(guān)系 CAPM holds for the overall portfolio because:This also holds for the market

10、 portfolio:P()()andPkkkkkkE rw E rw()()MfMMfE rrE rrFigure 9.2 The Security Market Line證券市場線Figure 9.3 The SML and a Positive-Alpha Stock證券市場線和一個(gè)a值為正的股票The Index Model and Realized Returns指數(shù)模型和已實(shí)現(xiàn)收益 To move from expected to realized returnsuse the index model in excess return form:The index model be

11、ta coefficient turns out to be the same beta as that of the CAPM expected return-beta relationship 這個(gè)指數(shù)模型貝塔系數(shù)顯示為同資本資產(chǎn)定價(jià)模型期望收益-貝塔關(guān)系一樣的貝塔值iiiMiRReFigure 9.4 Estimates of Individual Mutual Fund Alphas,1972-1991單個(gè)共同基金a的頻率分布 1972-1991The CAPM and Reality資本資產(chǎn)定價(jià)及其實(shí)現(xiàn) Is the condition of zero alphas for all

12、stocks as implied by the CAPM met 資本資產(chǎn)定價(jià)模型滿足所有股票的a值為零的條件嗎?Not perfect but one of the best available 該模型不太完美,但是最佳之一 Is the CAPM testable 該模型可檢驗(yàn)?Proxies must be used for the market portfolio代理必須用于市場組合 CAPM is still considered the best available description of security pricing and is widely accepted 該模

13、型仍被當(dāng)作最能描述證券定價(jià)并被廣泛采納Econometrics and the Expected Return-Beta Relationship計(jì)量經(jīng)濟(jì)學(xué)與期望收益-貝塔關(guān)系 It is important to consider the econometric technique used for the model estimated 計(jì)量經(jīng)濟(jì)學(xué)技術(shù)用于此模型很重要 Statistical bias is easily introduced 容易出現(xiàn)統(tǒng)計(jì)偏差 Miller and Scholes paper demonstrated how econometric problems co

14、uld lead one to reject the CAPM even if it were perfectly valid 默頓和斯科爾斯的論文證明了計(jì)量問題可能會導(dǎo)致拒絕資本資產(chǎn)定價(jià)模型,即使它是十分有效的Extensions of the CAPM資本資產(chǎn)定價(jià)模型的拓展形式 Zero-Beta Model 零貝塔模型 Helps to explain positive alphas on low beta stocks and negative alphas on high beta stocks 有助于解釋低的貝塔值,a是正的,高的貝塔值,a是負(fù)的 Consideration of

15、labor income and non-traded assets 勞動收入和非交易資產(chǎn) Mertons Multiperiod Model and hedge portfolios 默頓的多期組合和對沖投資組合 Incorporation of the effects of changes in the real rate of interest and inflation 納入的利息和通貨膨脹實(shí)際利率變動的影響 Extensions of the CAPM Continued續(xù)前 A consumption-based CAPM 以消費(fèi)為基礎(chǔ)的資本資產(chǎn)定價(jià)模型 Models by Rub

16、instein,Lucas,and Breeden (Rubinstein,Lucas,and Breeden的模型)Investor must allocate current wealth between todays consumption and investment for the future投資者必須在今天消費(fèi)和為未來消費(fèi)投資之間分配好流動資產(chǎn)Liquidity and the CAPM流動性與資本資產(chǎn)定價(jià)模型 Liquidity 流動性 Illiquidity Premium 非流動性溢價(jià) Research supports a premium for illiquidity.

17、研究支持非流動性溢價(jià) Amihud and Mendelson Acharya and PedersenFigure 9.5 The Relationship Between Illiquidity and Average Returns非流動性與平均收益的關(guān)系Three Elements of Liquidity流動性的三大因素 Sensitivity of securitys illiquidity to market illiquidity:Sensitivity of stocks return to market illiquidity:Sensitivity of the security illiquidity to the market rate of return:1(,)()iMLMMCov C CVar RC3(,)()iMLMMCov C RVar RC2(,)()iMLMMCov R CVar RC