对外经济贸易大学投资学课件6课件.pptVIP

Lecture 6 CAPM Capital Asset Pricing Model (CAPM) Explains the stocks’ expected return in terms of risk premium and sensitivity to market risk Provides a benchmark rate of return for evaluating possible investments provide a good “guess” as to the expected return on assets that have not yet been traded in the market, (IPO) Major Assumptions Individual investors are price takers All investors plan for one identical holding period No taxes, and transaction costs There exists risk-free borrowing and lending Investors are rational mean-variance optimizers Homogeneous expectations Resulting Equi