The Capital Asset Pricing Model推荐.docxVIP

Chapter9: The Capital Asset Pricing ModelChapter Openerp. 280PART??IIITHE CAPITAL ASSET?pricing model, almost always referred to as the CAPM, is a centerpiece of modern financial economics. The model gives us a precise prediction of the relationship that we should observe between the risk of an asset and its expected return. This relationship serves two vital functions. First, it provides a benchmark rate of return for evaluating possible investments. For example, if we are analyzing securities, we might be interested in whether the expected return we forecast for a stock is more or less than its “fair” return given its risk. Second, the model helps us to make an educated guess as to the expected return on assets that have not yet been traded in the marketplace. For example, how do we price an initial public offering of stock? How will a major new investment project affect the return investors require on a companys stock? Although the CAPM does not fully withstand empirical tests, it is widely used because of the insight it offers and because its accuracy is deemed acceptable for important applications.9.1 The Capital Asset Pricing ModelThe capital asset pricing model is a set of predictions concerning equilibrium expected returns on risky assets. Harry Markowitz laid down the foundation of modern portfolio management in 1952. The CAPM was developed 12 years later in articles by William Sharpe,/sites//student_view0/ebook/chapter9/chbody1/9_1_the_capital_asset_pricing_model.htm \l id__001_1?John Lintner,/sites//student_view0/ebook/chapter9/chbody1/9_1_the_capital_asset_pricing_model.htm \l id__001_2?and Jan Mossin./sites//student_view0/ebook/chapter9/chbody1/9_1_the_capital_asset_pricing_model.htm \l id__001_3?The time for this gestation indicates that the leap from Markowitzs portfolio selection model to the CAPM is not trivial.?We will approach the CAPM by posing the question “what if,” where the “if” part refers to a simplified world. Positing an admittedly unreal