金融论文：the arbitrage theory of capital assets pricing（英文）.pdfVIP

The Arbitrage Theory of Capital Asset Pricing STEPHEN A. ROSS* Departments of’ Economics and Finance, University of Pennsylvania, The Wharton School, Philadelphia, Pennsylvania 19174 Received March 19, 1973: revised May 19, 1976 The purpose of this paper is to examine rigorously the arbitrage model of capital assetpricing developed in Ross [13, 141.The arbitrage model was proposed as an alternative to the meanvariance capital assetpricing model, introduced by Sharpe, Lintner, and Treynor, that has becomethe major analytic tool for explaining phenomena observed in capital markets for risky assets. The principal relation that emerges from the mean variance model holds that for any asset, i, its (ex ante) expected return Et = p + u, 3 (1) where p is the riskless rate of interest, X is the expected excess return on the market, E, - p, and is the beta coefficient on the market, where CJ,~~is the variance of the market portfolio and 02”,is the covariance betweenthe returns on the ith assetand the market portfolio. (If a risklessassetdoes not exist, p is the zero-beta return, i.e., the return on all portfolios uncorrelated with the market portfolio.)l The linear relation in (1) arisesfrom the meanvariance efficiency of the market portfolio, but on theoretical grounds it is difficult to justify either the assumption of normality in returns (or local normality in Wiener diffusion models) or of quadratic preferencesto guarantee such efficiency, an