投资学课件第9章CAPM.pptVIP

3. CAPM Liquidity Liquidity Illiquidity Premium Research supports a premium for illiquidity. Amihud and Mendelson CAPM with a Liquidity Premium f (ci) = liquidity premium for security i f (ci) increases at a decreasing rate ci：illiquidity cost Liquidity and Average Returns Average monthly return(%) Bid-ask spread (%) Exercises Chapter 9: 3, 18, 28 * * 4-* Handout 5 投资学 Investments CAPM是现代金融经济学的核心之一。 It is the equilibrium model that underlies all modern financial theory. Derived using principles of diversification with simplified assumptions. Markowitz, Sharpe, Lintner and Mossin are researchers credited with its development. 1. Capital Asset Pricing Model (CAPM) Related literature Markowitz, Harry M. (1952). Portfolio Selection, Journal of Finance, 7 (1), 77-91. Sharpe, William F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance, 19 (3), 425-442. Lintner, John (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics, 47, 13-37. Jan Mossin (1966). Equilibrium in a Capital Asset Market, Econometrica, Oct, 1966. Individual investors are price takers.(所有的投资者为价格接受者) 存在大量投资者，每个投资者的财富相对于所有投资者的财富总额来说，都是微不足道的，单个投资者的交易行为对证券价格不发生影响。 Single-period investment horizon. 所有资者都在同一证券持有期内规划自己的投资行为（短视行为）。 Investments are limited to traded financial assets. 投资范围仅限于公开金融市场上交易的资产，比如股票，债券，借入或者借出无风险资产，排除了投资于非交易性资产，比如教育、私有企业、市政大楼等。此外，还假设投资者可以在固定的无风险利率基础上介入或者贷出任何额度的资产。 Assumptions No taxes and transaction costs. 不存在证券交易费用及税赋。 Investors are rational mean-variance optimizers. 投资者是理性的，以期望回报率和标准差作为评价证券组合好坏的标准，意味着他们都采用Markowitz的资产选择模型。 There are homogeneous expectations. 投资者有相同的预期，即，他们对证券回报率的期望、方差、以及相互之间的协方差的判断是一致的。 Assumptions (cont’d) All investors will choose to hold a portfolio of risky assets in proportions that duplicate representation of the assets in the market portfolio (M), which includes all traded assets. 所有投资者将持有同样的风险资产组合：市场资产组合（