Chap資本資產(chǎn)定價(jià)模型

9-1Itistheequilibriummodelthatunderliesallmodernfinancialtheory綜合所有現(xiàn)代金融理論的均衡模型Derivedusingprinciplesofdiversificationwithsimplifiedassumptions利用分散化和簡(jiǎn)化的原則建立Markowitz,Sharpe,LintnerandMossinareresearcherscreditedwithitsdevelopment馬克維茨、夏普、林特和莫森逐步發(fā)展而來(lái)CapitalAssetPricingModel(CAPM)

資本資產(chǎn)定價(jià)模型CAPM模型9-2Assumptions假設(shè)Individualinvestorsarepricetakers個(gè)人投資者都是價(jià)格接受者Single-periodinvestmenthorizon單期的投資持有期Investmentsarelimitedtotradedfinancialassets投資范圍僅限于市場(chǎng)上公開(kāi)交易的金融資產(chǎn)Notaxesandtransactioncosts沒(méi)有稅收和交易成本Informationiscostlessandavailabletoallinvestors信息是沒(méi)有費(fèi)用Investorsarerationalmean-varianceoptimizers投資者都是理性的，都追求資產(chǎn)組合的方差最小化Therearehomogeneousexpectations同質(zhì)期望，對(duì)經(jīng)濟(jì)前景的看法相同9-3Allinvestorswillholdthesameportfolioforriskyassets–marketportfolio所有投資者均持有相同的風(fēng)險(xiǎn)資產(chǎn)-市場(chǎng)組合Marketportfoliocontainsallsecuritiesandtheproportionofeachsecurityisitsmarketvalueasapercentageoftotalmarketvalue市場(chǎng)組合是包含所有證券，而且比例就是它們的市值占據(jù)市場(chǎng)總市值的比例ResultingEquilibriumConditions

導(dǎo)致的均衡關(guān)系或者條件9-4Riskpremiumonthemarketdependsontheaverageriskaversionofallmarketparticipants市場(chǎng)的風(fēng)險(xiǎn)溢價(jià)水平依賴與所有市場(chǎng)參與者的風(fēng)險(xiǎn)厭惡程度Riskpremiumonanindividualsecurityisafunctionofitscovariancewiththemarket單個(gè)證券的風(fēng)險(xiǎn)溢價(jià)水平是它和市場(chǎng)的協(xié)方差的函數(shù)ResultingEquilibriumConditions

導(dǎo)致的均衡條件9-5Figure9.1TheEfficientFrontierandtheCapitalMarketLine有效邊界與資本市場(chǎng)線9-6MarketRiskPremium

市場(chǎng)的風(fēng)險(xiǎn)溢價(jià)Theriskpremiumonthemarketportfoliowillbeproportionaltoitsriskandthedegreeofriskaversionoftheinvestor:市場(chǎng)組合的風(fēng)險(xiǎn)溢價(jià)正比于風(fēng)險(xiǎn)大小和投資者的風(fēng)險(xiǎn)厭惡情況

9-7Theriskpremiumonindividualsecuritiesisafunctionoftheindividualsecurity’scontributiontotheriskofthemarketportfolio單個(gè)證券的合理風(fēng)險(xiǎn)溢價(jià)取決于單個(gè)資產(chǎn)對(duì)投資者的所有資產(chǎn)組合風(fēng)險(xiǎn)的貢獻(xiàn)程度Anindividualsecurity’sriskpremiumisafunctionofthecovarianceofreturnswiththeassetsthatmakeupthemarketportfolio.單個(gè)資產(chǎn)的風(fēng)險(xiǎn)溢價(jià)也取決于這個(gè)資產(chǎn)與市場(chǎng)組合資產(chǎn)的協(xié)方差水平ReturnandRiskForIndividualSecurities單個(gè)證券的收益與風(fēng)險(xiǎn)9-8GEExample通用電氣公司的案例CovarianceofGEreturnwiththemarketportfolio:通用收益與市場(chǎng)組合協(xié)方差Therefore,thereward-to-riskratioforinvestmentsinGEwouldbe:收益風(fēng)險(xiǎn)比為9-9GEExample通用電氣公司的案例Reward-to-riskratioforinvestmentinmarketportfolio:投資市場(chǎng)組合的風(fēng)險(xiǎn)收益比Reward-to-riskratiosofGEandthemarketportfolioshouldbeequal:通用公司和市場(chǎng)組合的風(fēng)險(xiǎn)收益比在投資者行為一致的情況下應(yīng)該相等9-10GEExample通用電氣公司的案例TheriskpremiumforGE:風(fēng)險(xiǎn)溢價(jià)Restating,weobtain:重新排列后9-11ExpectedReturn-BetaRelationship

期望收益—貝塔關(guān)系CAPMholdsfortheoverallportfoliobecause:對(duì)任一資產(chǎn)均成立因?yàn)榭梢酝ㄟ^(guò)別的資產(chǎn)復(fù)制任一種證券收益Thisalsoholdsforthemarketportfolio:對(duì)市場(chǎng)組合本身也是成立的9-12Figure9.2TheSecurityMarketLine

證券市場(chǎng)線9-13Figure9.3TheSMLandaPositive-AlphaStock證券市場(chǎng)線與一只阿爾法正值的股票9-14TheIndexModelandRealizedReturns指數(shù)模型與實(shí)現(xiàn)收益Tomovefromexpectedtorealizedreturns,usetheindexmodelinexcessreturnform:從期望收益到實(shí)現(xiàn)收益TheindexmodelbetacoefficientisthesameasthebetaoftheCAPMexpectedreturn-betarelationship.指數(shù)模型中的貝塔系數(shù)同CAPM定理中的貝塔是一樣的9-15Figure9.4EstimatesofIndividualMutualFundAlphas,1972-1991單個(gè)共同基金阿爾法值的估計(jì)9-16IstheCAPMPractical?

CAPM模型實(shí)際嗎？CAPMisthebestmodeltoexplainreturnsonriskyassets.Thismeans:CAPM模型是解釋資產(chǎn)風(fēng)險(xiǎn)回報(bào)率的最佳模型Withoutsecurityanalysis,αisassumedtobezero.理論上完美市場(chǎng)中的所有的阿爾法值都將為零，也就是沒(méi)有超額收益，不需要證券分析Positiveandnegativealphasarerevealedonlybysuperiorsecurityanalysis.正值或者負(fù)值的阿爾法值只有被優(yōu)秀的證券分析所揭示出來(lái)9-17IstheCAPMPractical?

CAPM模型實(shí)際嗎？Wemustuseaproxyforthemarketportfolio.我們必須為市場(chǎng)組合找到一個(gè)替代資產(chǎn)CAPMisstillconsideredthebestavailabledescriptionofsecuritypricingandiswidelyaccepted.即使這樣CAPM模型仍然被看做是資產(chǎn)定價(jià)的最廣為人知的模型，而且被很多人所接受9-18EconometricsandtheExpectedReturn-BetaRelationship期望收益-貝塔關(guān)系的計(jì)量經(jīng)濟(jì)學(xué)Statisticalbiasiseasilyintroduced.統(tǒng)計(jì)偏差很容易出現(xiàn)MillerandScholespaperdemonstratedhoweconometricproblemscouldleadonetorejecttheCAPMevenifitwereperfectlyvalid.這兩個(gè)人的論文證明了即使模型是完全正確的，現(xiàn)實(shí)數(shù)據(jù)的計(jì)量模型也可能無(wú)法發(fā)現(xiàn)CAPM所證實(shí)的關(guān)系9-19ExtensionsoftheCAPM

CAPM模型的擴(kuò)展Zero-BetaModel零貝塔值模型HelpstoexplainpositivealphasonlowbetastocksandnegativealphasonhighbetastocksConsiderationoflaborincomeandnon-tradedassets考慮工資收入或者不可交易資產(chǎn)比如人力資本的回報(bào)9-20ExtensionsoftheCAPM

CAPM模型的擴(kuò)展Merton’sMultiperiodModelandhedgeportfolios莫頓的多期和對(duì)沖模型Incorporationoftheeffectsofchangesintherealrateofinterestandinflation包含真實(shí)利率、通脹變化效應(yīng)的模型Consumption-basedCAPM基于消費(fèi)的模型Rubinstein,Lucas,andBreedenInvestorsallocatewealthbetweenconsumptiontodayandinvestmentforthefuture投資者當(dāng)期消費(fèi)一部分，未來(lái)消費(fèi)投資的部分9-21LiquidityandtheCAPM

流動(dòng)性與CAPM模型Liquidity:Theeaseandspeedwithwhichanassetcanbesoldatfairmarketvalue資產(chǎn)在不錯(cuò)的市場(chǎng)價(jià)格下變現(xiàn)的快速和方便IlliquidityPremium:Discountfromfairmarketvaluethesellermustaccepttoobtainaquicksale.流動(dòng)性溢價(jià)是偏離不錯(cuò)市場(chǎng)價(jià)格的折扣，是因?yàn)橘u(mài)者想要快速出售資產(chǎn)的代價(jià)Measuredpartlybybid-askedspread部分的可以被買(mǎi)賣(mài)價(jià)差所衡量Astradingcostsarehigher,theilliquiditydiscountwillbegreater.交易成本越高流動(dòng)性折扣越大9-22Figure9.5TheRelationshipBetweenIlliquidityandAverageReturns流動(dòng)性與平均收益之間的關(guān)系9-23Liquidity