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It is the equilibrium model that underlies all modern financial theory 它是一种均衡模型,是现代金融理论的基石 Derived using principles of diversification with simplified assumptions 它通过使用分散化和简化假设而来 Markowitz,Sharpe,Lintner and Mossin are researchers credited with its development 此模型由马科维茨,夏普,林特纳和莫森研究Capital Asset Pricing Model(CAPM)资本资产定价模型 Individual investors are price takers 个人投资者是价格接受者 Single-period investment horizon 投资持有期都相同：单期投资 Investments are limited to traded financial assets 投资范围仅限于金融市场上的交易资产 No taxes and transaction costs 无所得税和交易税Assumptions 假设 Information is costless and available to all investors 信息由投资者共享 Investors are rational mean-variance optimizers 投资者是理性的,追求均值方差最优者 There are homogeneous expectations 同质期望Assumptions Continued 假设（续）All investors will hold the same portfolio for risky assets market portfolio 所以投资者持有相同风险资产组合-市场组合 Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value 市场组合包含所有证券并且每一证券作为总市场价值的一部份是其市场价值Resulting Equilibrium Conditions均衡条件 Risk premium on the market depends on the average risk aversion of all market participants 市场风险溢价取决于所有市场参与者的平均风险厌恶水平 Risk premium on an individual security is a function of its covariance with the market Resulting Equilibrium Conditions Continued均衡条件续Figure 9.1 The Efficient Frontier and the Capital Market Line有效前沿和资本市场线Market Risk Premium市场风险溢价The risk premium on the market portfolio will be proportional to its risk and the degree of risk aversion of the 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 单个证券的风险溢价取决于单个证券对投资组合风险的贡献程度 An individual securitys risk premium is a function of the covariance of returns with the assets that make up the market portfolio 单个证券的风险溢价是该资产收益与市场组合收益的协方差的函数Return and Risk For Individual Securities单个证券收益和风险Using GE Text Example通用电器公司为例 Covariance of GE return with the market portfolio:Therefore,the reward-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续例 Reward-to-risk ratio for investment in market portfolio:Reward-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-贝塔关系 CAPM holds for the overall portfolio because:This also holds for the market portfolio:P()()andPkkkkkkE rw E rw()()MfMMfE rrE rrFigure 9.2 The Security Market Line证券市场线Figure 9.3 The SML and a Positive-Alpha Stock证券市场线和一个a值为正的股票The Index Model and Realized Returns指数模型和已实现收益 To move from expected to realized returnsuse the index model in excess return form:The index model beta coefficient turns out to be the same beta as that of the CAPM expected return-beta relationship 这个指数模型贝塔系数显示为同资本资产定价模型期望收益-贝塔关系一样的贝塔值iiiMiRReFigure 9.4 Estimates of Individual Mutual Fund Alphas,1972-1991单个共同基金a的频率分布 1972-1991The CAPM and Reality资本资产定价及其实现 Is the condition of zero alphas for all stocks as implied by the CAPM met 资本资产定价模型满足所有股票的a值为零的条件吗?Not perfect but one of the best available 该模型不太完美,但是最佳之一 Is the CAPM testable 该模型可检验?Proxies must be used for the market portfolio代理必须用于市场组合 CAPM is still considered the best available description of security pricing and is widely accepted 该模型仍被当作最能描述证券定价并被广泛采纳Econometrics and the Expected Return-Beta Relationship计量经济学与期望收益-贝塔关系 It is important to consider the econometric technique used for the model estimated 计量经济学技术用于此模型很重要 Statistical bias is easily introduced 容易出现统计偏差 Miller and Scholes paper demonstrated how econometric problems could lead one to reject the CAPM even if it were perfectly valid 默顿和斯科尔斯的论文证明了计量问题可能会导致拒绝资本资产定价模型,即使它是十分有效的Extensions of the CAPM资本资产定价模型的拓展形式 Zero-Beta Model 零贝塔模型 Helps to explain positive alphas on low beta stocks and negative alphas on high beta stocks 有助于解释低的贝塔值,a是正的,高的贝塔值,a是负的 Consideration of labor income and non-traded assets 劳动收入和非交易资产 Mertons Multiperiod Model and hedge portfolios 默顿的多期组合和对冲投资组合 Incorporation of the effects of changes in the real rate of interest and inflation 纳入的利息和通货膨胀实际利率变动的影响 Extensions of the CAPM Continued续前 A consumption-based CAPM 以消费为基础的资本资产定价模型 Models by Rubinstein,Lucas,and Breeden (Rubinstein,Lucas,and Breeden的模型)Investor must allocate current wealth between todays consumption and investment for the future投资者必须在今天消费和为未来消费投资之间分配好流动资产Liquidity and the CAPM流动性与资本资产定价模型 Liquidity 流动性 Illiquidity Premium 非流动性溢价 Research supports a premium for illiquidity.研究支持非流动性溢价 Amihud and Mendelson Acharya and PedersenFigure 9.5 The Relationship Between Illiquidity and Average Returns非流动性与平均收益的关系Three Elements of Liquidity流动性的三大因素 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
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