资源描述：
《Unbiased estimation of expected return using CAPM》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。
1、InternationalReviewofFinancialAnalysis12(2003)69–81UnbiasedestimationofexpectedreturnusingCAPMJanBartholdy*,PaulaPeareAarhusSchoolofBusiness,FuglesangsAlle4,AarhusV8210,DenmarkAbstractEstimationofexpectedreturnisrequiredformanyfinancialdecisions.Forexample,anesti
2、mateforcostofcapitalisrequiredforcapitalbudgetingandcostofequityestimatesareneededforperformanceevaluationbasedonmeasuressuchasEVA.EstimatesforexpectedreturnareoftenbasedontheCapitalAssetPricingModel(CAPM),whichstatesthatexpectedexcessreturn(expectedreturnminusth
3、erisk-freerate)isequaltotheasset’ssensitivitytotheworldmarketportfolio(b)timestheriskpremiumonthe‘‘worldmarketportfolio’’(themarketriskpremium).Sincetheworldmarketportfolio,bydefinition,containsallassetsintheworld,itisnotobservable.Asaresult,anestimateforexpected
4、returniscommonlyobtainedbytakinganestimateforbbasedonsomeindex(asaproxyfortheworldmarketportfolio)andanestimateforthemarketriskpremiumbasedonapotentiallydifferentindexandmultiplyingthemtogether.Inthispaper,itisshownthatthisresultsinabiasedestimateforexpectedretur
5、n.Thisisundesirablesincebiasedestimatesleadtomisallocationoffundsandbiasedperformancemeasures.ItisalsoshowninthispaperthatthestraightforwardproceduresuggestedbyFamaandMacBeth[J.Financ.Econ.1(1974)43]resultsinanunbiasedestimateforexpectedreturn.Furtherfromtheanaly
6、sisdone,itfollowsthat,foranunbiasedestimate,itdoesnotmatterwhatproxyisused,aslongasitisusedcorrectlyanunbiasedestimateforexpectedreturnresults.D2003ElsevierScienceInc.Allrightsreserved.Keywords:CapitalAssetPricingModel;Expectedreturn;Unbiasedestimate1.Introductio
7、nEstimatingexpectedreturniscrucialformanyfinancialdecisions,suchasinvestmentdecisions,capitalbudgetingdecisions,capitalstructuredecisions,andperformanceevalu-*Correspondingauthor.E-mailaddresses:jby@asb.dk(J.Bartholdy),ppe@asb.dk(P.Peare).1057-5219/03/$–seefrontm
8、atterD2003ElsevierScienceInc.Allrightsreserved.doi:10.1016/S1057-5219(02)00122-970J.Bartholdy,P.Peare/InternationalReviewofFinancialAnalysis12(2003)69–81ationu
