The Capital Asset Pricing__ Model

《The Capital Asset Pricing__ Model》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、TheCapitalAssetPricingModel:TheoryandEvidenceEugeneF.Fama&KennethR.FrenchcontentTheLogicofCAPMCAPMFailsinEmpiricalTestsICAPMThree-FactorModelIntheory:CAPMofferspowerfulandintuitivelypleasingpredictionsabouthowtomeasureriskandtherelationbetweenexpectedre

2、turnandrisk.Inempirical:CAPMispoor—poorenoughtoinvalidatethewayitisusedinapplications.WHY?simplifyingassumptions?difficultiesinimplementingvalidtestsofthemodel?orsomeotherreasons.ThelogicoftheCAPMInMarkowitz’smodel(1959):Investorschoose“mean-variance-effi

3、cient”portfolios,whichcanbegetintwoways:1)minimizethevarianceofportfolioreturn,givenexpectedreturn.2)maximizeexpectedreturn,givenvariance.Sharpe(1964)andLintner(1965)addtwokeyassumptions:•completeagreement•borrowingandlendingatarisk-freerate.ThelogicoftheCA

4、PMWecangetasequencesof{x}—theweightofsecurityiinieportfolioe—minimizingtheportfolio'svarianceunderagivenexpectreturn.Thenwecandrawacurvetoexpresstheresult.ThelogicoftheCAPMThelogicoftheCAPMThecurveabc,whichiscalledtheminimumvariancefrontier,tracescombinat

5、ionsofexpectedreturnandriskforportfoliosofriskyassetsthatminimizereturnvarianceatdifferentlevelsofexpectedreturn.Thetradeoffbetweenriskandexpectedreturnforminimumvarianceportfoliosisapparent.ThelogicoftheCAPMAddingrisk-freeborrowingandlendingturnstheeffici

6、entsetintoastraightline.Rpf=+−xR(1xR)TER(pf)=xER()+−(1xER)(T)σσ(RpT)=(1−xR)()When0

7、ar.ifthereareNriskyassetsThelogicoftheCAPMSharpe-Lintner’sversion:Allowunrestrictedrisk-freeborrowingandlending.ThelogicoftheCAPMFischerBlack’sversion:Unrestrictedrisk-freeborrowingandlendingisanunrealisticassumption.Heprovedthatunderunrestrictedshortsell

8、ingofriskyassets,portfoliosmadeupofefficientportfoliosarethemselvesefficient.Thus,themarketportfolioisefficient.EarlyEmpiricalTestsCAPMTest:Testwhethertheinterceptequalstozero,thatiswhetherthe