《CAPM theory and evidence(高级公司财务-资本资产定价模型-英文版课件).pptVIP

* Econ 906 Corporate Finance The Capital Asset Pricing Model (CAPM) Readings: Copeland/Weston Ch 7, BM Ch 9, GT Ch 5-6 Roll, Richard W. “A Critique of the Asset Pricing Theory’s Tests; Part I: On Past and Potential Testability of the Theory”, Journal of Financial Economics 4, no.2 (1977), pp 129-176 Kothari, S.P., et al., “Another Look at the Cross-Section of Expected Stock Returns”, Journal of Finance, 50, no. 1 (1995), pp 185-224. Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. * Learning outcomes Make distinction between CML and SML Identifying the efficiency frontier and minimum variance portfolio Analysing the relationship between risk and return Assessing empirical tests of the CAPM and the limitations of the model Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. * Introduction The CAPM show that the equilibrium rates of return on all risky assets are a function of their covariance with the market portfolio The APT on the other hand considers that the return on any risky asset is a linear combination of various factors that affect asset returns. The APT is more general than the CAPM since it allows numerous factors to explain the equilibrium return on a risky asset. Evaluation only. Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0. Copyright 2004-2011 Aspose Pty Ltd. * CAPM Assumptions Investors base their investment decision on a single-period analysis. Markets are frictionless (borrowing rate equals lending rate) and information is costless and simultaneously available to all investors. There are no market imperfections such as taxes, regulations, or restrictions on short-selling. Investors are risk-averse, and they care only about mean and variance of their portfolio returns. Investors have homogeneous expectation which means that all investors reach the same conclusions about the mean and stan