本资产定价模型.pptVIP

第五章 资本资产定价模型 资本资产定价模型（CAPM）是现代金融学的奠基石，它是基于马科维茨的资产组合选择模型所推导出的理想状态下的资产风险与其期望收益之间的均衡关系。尽管现实与模型所假设的理想状况存在许多差异，模型的实证检验结果并不令人满意，资本资产定价模型以其简洁的形式得到了广泛的应用，是资产定价理论的基础。 第一节 资本资产定价模型 第二节 证券市场风险结构 第三节 资本资产定价模型的实证检验 第四节 传统资本资产定价模型的扩展 第一节资本资产定价模型 资产定价理论是投资学乃至整个金融学的核心，研究如何确定某种资产的合理的公平的价格，即均衡或无套利的价格。在马科维茨的资产组合理论的基础上，Sharpe（1964）、Lintner（1965）和Mossin（1966）分别独立提出资本资产定价模型（CAPM）。Sharpe同Markowitz、Miller一起获得了1990年经济学Nobel奖。以下是 颁奖委员会的评价词。 第一节资本资产定价模型 The first pioneering contribution in the field of financial economics was made in the 1950s by Harry Markowitz who developed a theory for households and firms allocation of financial assets under uncertainty, the so-called theory of portfolio choice. This theory analyzes how wealth can be optimally invested in assets which differ in regard to their expected return and risk, and thereby also how risks can be reduced.A second significant contribution to the theory of financial economics occurred during the 1960s when a number of researchers, among whom William Sharpe was the leading figure, used Markowitzs portfolio theory as a basis for developing a theory of price formation for financial assets, the so-called Capital Asset Pricing Model, or CAPM.A third pioneering contribution to financial economics concerns the theory of corporate finance and the evaluation of firms on markets. The most important achievements in this field were made by Merton Miller, initially in collaboration with Franco Modigliani (who received the Alfred Nobel Memorial Prize in Economic Sciences in 1985 mainly for other contributions). This theory explains the relation (or lack of one) between firms capital asset structure and dividend policy on one hand and their market value on the other. 第一节资本资产定价模型 基本形式的CAPM的若干假定如下，其核心是将个人投资行为同质化以简化分析。 1）市场存在大量投资者，投资者是价格接受者，单个投资者的财富相对于总财富很小，由此单个投资者的交易行为对证券价格不发生影响。这等同于将证券市场看成是完全竞争市场。 2）所有投资者都在同一证券持有期计划自己的投资行为，不考虑多期投资。 3）投资者的投资范围仅限于公开金融市场上的交易的资产，排除了在非交易性资产上的投资（如人力资本上）。假定投资者可在固定无风险利率上借入或贷出任何额度的资产。 第一节资本资产定价模型 4）不存在证券交易费用及税赋。 5