[英语学习]riskandvaluationunderaninteremporalcapitalassetpricingmodel.pdf

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