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[英语学习]riskandvaluationunderaninteremporalcapitalassetpricingmodel
Michael J. Brennan
Anderson Graduate School of Management,
University of California, Los Angeles
Yihong Xia
Wharton School, University of Pennsylvania
Risk and Valuation under an
Intertemporal Capital Asset
Pricing Model*
I. Introduction
We analyze the risk
Despite the terminology, neither the single-period characteristics and
1 valuation of assets in an
Capital Asset Pricing Model nor its intertemporal economy in which the
version (Merton 1973), actually prices capital investment opportunity
assets; rather, these models provide necessary set is described by the
conditions between the expected rates of change real interest rate and the
in asset prices and the covariances of those rates maximum Sharpe ratio.
We show that, holding
of change with other variables that must be sat- constant the beta of the
isfied in equilibrium. These necessary conditions underlying cash flow, the
can be combined with a rational expectations beta of a security is a
assumption (Lucas 1978) to derive a partial dif- function of the cash flow
ferential equation that, given the appropriate maturity. For parameter
values estimated from
boundary conditions, can be solved for asset prices, U.S. data, the security
as in Cox, Ingersoll, and Ross (1985). A related beta always increases
approach to pricing assets relies on the multi- with the maturity of the
period Euler con
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