考虑交易成本和良好资产的资本性资产定价模型.pdfVIP

第 29 卷 第 3 期 昆 明 理 工 大 学 学 报 ( 理 工 版 ) Vol . 29 　No 3 2004 年 6 月 　 　Journal of Kunming University of Science and Technology (Science and Technology) 　J un . 2004 考虑交易成本和优良资产的资本性资产定价模型 罗秋兰 , 陈有禄 (广西工学院 管理系 ,广西 柳州 　545006) 摘要 : Sharp e 的 CAPM 理论是现代金融理论的核心内容 , 已被广泛应用于金融资产定价分析及 投资决策等领域 ,但该模型过于严格的基础假设 ,尤其是忽略交易成本和优 良资产的存在 ,使模 型的应用范围和使用效果受到了限制. 通过引入交易成本和优良资产 ,讨论在资本市场中单个风 险资产的风险与回报的关系 , 从而得到一种新的更为适用的资本性资产定价模型修正模型 SCAPM . 改进后的 CAPM ,更加贴近资本证券市场的实际. 关键词 : 优良资产 ;交易成本 ; CAPM 中图分类号 :F830 . 59 文献标识码 :A 文章编号 :1007 - 855X (2004) 03 - 0 128 - 04 Study of the Capital Asset Pricing Model with a Superior Asset and Transaction Cost LUO Qiulan CHEN Yo ulu (Dep artment of Management , Guangxi University of Technology , Liuzhou 545006 , China) Abstract : Sharp e ’s CAPM theory is the core of modem financial theories , and has been widely applied to the fields such as pricing analysis of financial asset s and investment decision - making , etc . However , the rigid ba sic hypothesis of the mode make the applied scop e and usage effect of CAPM to be bounded ,esp ecially in ignor ing the existence of transaction , cost s and sup erior asset s . By means of considering transaction , cost and sup erior asset s , the relation between the exp ected rate of an individual asset and it s individual risk in a capital market is studied , and a kind of the adaptable revised model of capital asset pricing model ( SCAPM) is given . The im proved CAPM mode will be more appropriate for the real situation of the capital security market . Key words : sup erior asset s ; transaction cost s ; CAPM 0 引 言