刘成昆Ch6CAPMAPT.ppt

年末效应(the Turn-of-the-Year Effect) Keim，Reinganum和Stambaugh等人的研究发现，在每年12月，公司股票——特别是小企业和那些股票价格在当年下落的公司股票收益呈现下降趋势，而在次年1月，特别是1月的头两个星期价格又重新回升。 一般来讲，1月份是全年股票价格最高的月份，而十二月是全年股票价格最低的月份。 小公司的这种现象主要发生在每年的1月，因此，又被称为“小公司1月现象”。(如图示) L. The Arbitrage Pricing Theory套利定价理论（APT） The Arbitrage Pricing Theory (APT) was introduced by Ross (1976), and it is a theory of risk-return relationship derived from no-arbitrage considerations in large capital markets APT 和资产定价基本定理 * Ross 1978 年的经典论文 APT 和资产定价基本定理 * Ross 论文的引言 APT 和资产定价基本定理 * 引言的译文 “在一个没有未被开发的套利机会的资产市场中，存在一个线性估值算子，它可以毫不含糊地以完善的市场替代来为收益流定价，或者对通过市场组合界定的现金流来界定其值。用不到进一步假定，只要预计的收益可以通过购买一个市场资产组合的确定的跨时规划来复制(或界定)，这是可能的。这些结果已被证明，并且被用来简化和统一许多金融经济学中的论述，其中包括项目估值，Modigliani-Miller 理论，远期定价，封闭式互助基金悖论以及有效市场理论。” What Is Arbitrage? The opportunity to buy an asset at a low price then immediately selling it on a different market for a higher price. Based on the law of one price. Two items that are the same cannot sell at different prices If they sell at a different price, arbitrage will take place in which arbitrageurs(套利者) buy the good which is cheap and sell the one which is higher priced till all prices for the goods are equal What Does Arbitrage Mean? The simultaneous purchase and sale of an asset in order to profit from a difference in the price. It is a trade that profits by exploiting price differences of identical or similar financial instruments, on different markets or in different forms. Arbitrage exists as a result of market inefficiencies; it provides a mechanism to ensure prices do not deviate substantially from fair value for long periods of time.  Example 1：Arbitrage opportunity Example for the arbitrage: if all the following stocks is worth $8 today, are there any arbitrage opportunities? Long (A+B)/2 and short C can create an arbitrage portfolio Two stocks A: E(r) = 4%; Interest-rate beta = -2.20 B: E(r) = 26%; Interest-rate beta = 1.83 Invest 54.54% in B and 45.46% in A P