上海复旦大学 研究生投资学讲义 CHPT14 The CAPM test.pdf

Chapter 14 The CAPM Applications and tests Fan Longzhen Predictions and applications • CAPM: in market equilibrium, investors are only rewarded for bearing the market risk; • APT: in the absence of arbitrage, investors are only rewarded for bearing the factor risk; • Applications: • professional portfolio managers: evaluating security returns and fund performance • corporate manager: capital budgeting decisions. Early tests of CAPM • Cross-sectional test of the model: • Douglas (1969); • Miller and Scholes (1972); • Black, Jensen and Scholes (1972); • Fama and Macbeth (1973) ( ) ( [ ] ) E R R +β E R −R i f i m f ˆ + + , 1,2,..., R γ γ β e i n i 0 1 i i ? ˆ γ R 0 f ? ˆ γ R −R 1 m f continued • Douglas (1969) • Adds own-variance to regression significant; ˆ 2 σ (e ) • Linter adds i to regression significant; • Miller and Scholes (1972) • Measurement error in ˆ ‘s; βi