资本定价模型.pptVIP

流动溢价的资本资产定价模型CAPM with a Liquidity Premium E (ri ) – rf = βi [ E(rM ) - r f ] + f(ci) f (ci) = 证券i 的流动溢价， f (ci) 是关于ci的一阶单调递增函数。 liquidity premium for security i 非流动性与平均收益关系Illiquidity and Average Returns 平均月收益率 Average monthly return(%) 买卖差价 Bid-ask spread (%) Summary CAPM 模型假定所有投资者均为单期投资，并且遵循相同的投资构，并力求获得具有最小方差的最优资产组合。 The CAPM assumes that investors are single-period planners who agree on a common input list from security analysis and seek mean-variance optimal portfolios. Summary CAPM模型假定理想状态下的股票市场具有以下特征： a. 股票市场容量足够大，并且其中所有的投资者为价格接受者。 b. 不存在税收与交易费用。 c. 所有风险资产均可公开交易。 d. 投资者可以以无风险利率借入或贷出任意额度资产。 The CAPM assumes that security markets are ideal in the sense that: a. They are large, and investors are price-takers. b. There are no taxes or transaction costs. c. All risky assets are publicly traded. d. Investors can borrow and lend any amount at a fixed risk-free rate. SUMMARY 根据以上假定，投资者持有无差异的风险资产组合。 CAPM模型认为市场资产组合是唯一的具有最小方差的有相切的资产组合，所以消极的投资策略是有效的。 With these assumptions, all investors hold identical risky portfolios. The CAPM holds that in equilibrium the market portfolio is the unique mean-variance efficient tangency portfolio. Thus a passive strategy is efficient. SUMMARY CAPM 模型中的市场资产组合是市值加权资产组合，其意义为所有股票在资产组合中的权重等于该股票的流通市值占总市值的比重。 The CAPM market portfolio is a value-weighted portfolio. Each security is held in a proportion equal to its market value divided by the total market value of all securities. SUMMARY 如果市场资产组合有效且投资者平均无借入或贷出行为，则市场资产组合的风险溢价正比于其方差σM2，投资者风险厌恶的平均相关系数 A： If the market portfolio is efficient and the average investor neither borrows nor lends, then the risk premium on the market portfolio is proportional to its variance, σM2 , and to the average coefficient of risk aversion across investors, A: E (r M ) – r f = 0.01 A σM2 SUMMARY CAPM 模型认为任意单个资产或资产组合的风险溢价为市场资产组合的风险溢 价与贝塔系数的乘积： The C