第9章 资本资产定价模型

CHAPTER9资本资产定价模型9-2•Itistheequilibriummodelthatunderliesallmodernfinancialtheory它是一种均衡模型,是现代金融理论的基石•Derivedusingprinciplesofdiversificationwithsimplifiedassumptions它通过使用分散化和简化假设而来•Markowitz,Sharpe,LintnerandMossinareresearcherscreditedwithitsdevelopment此模型由马科维茨,夏普,林特纳和莫森研究CapitalAssetPricingModel(CAPM)资本资产定价模型9-3•Individualinvestorsarepricetakers个人投资者是价格接受者•Single-periodinvestmenthorizon投资持有期都相同：单期投资•Investmentsarelimitedtotradedfinancialassets投资范围仅限于金融市场上的交易资产•Notaxesandtransactioncosts无所得税和交易税Assumptions假设9-4•Informationiscostlessandavailabletoallinvestors信息由投资者共享•Investorsarerationalmean-varianceoptimizers投资者是理性的,追求均值方差最优者•Therearehomogeneousexpectations同质期望AssumptionsContinued假设（续）9-5•Allinvestorswillholdthesameportfolioforriskyassets–marketportfolio所以投资者持有相同风险资产组合-市场组合•Marketportfoliocontainsallsecuritiesandtheproportionofeachsecurityisitsmarketvalueasapercentageoftotalmarketvalue市场组合包含所有证券并且每一证券作为总市场价值的一部份是其市场价值ResultingEquilibriumConditions均衡条件9-6•Riskpremiumonthemarketdependsontheaverageriskaversionofallmarketparticipants市场风险溢价取决于所有市场参与者的平均风险厌恶水平•RiskpremiumonanindividualsecurityisafunctionofitscovariancewiththemarketResultingEquilibriumConditionsContinued均衡条件续9-7Figure9.1TheEfficientFrontierandtheCapitalMarketLine有效前沿和资本市场线9-8MarketRiskPremium市场风险溢价•Theriskpremiumonthemarketportfoliowillbeproportionaltoitsriskandthedegreeofriskaversionoftheinvestor:22()whereisthevarianceofthemarketportolioandistheaveragedegreeofriskaversionacrossinvestorsMfMMErrAA9-9•Theriskpremiumonindividualsecuritiesisafunctionoftheindividualsecurity’scontributiontotheriskofthemarketportfolio单个证券的风险溢价取决于单个证券对投资组合风险的贡献程度•Anindividualsecurity’sriskpremiumisafunctionofthecovarianceofreturnswiththeassetsthatmakeupthemarketportfolio•单个证券的风险溢价是该资产收益与市场组合收益的协方差的函数ReturnandRiskForIndividualSecurities单个证券收益和风险9-10UsingGETextExample通用电器公司为例•CovarianceofGEreturnwiththemarketportfolio:•Therefore,thereward-to-riskratioforinvestmentsinGEwouldbe:11(,),(,)nnGEMGEkkkkGEkkCovrrCovrwrwCovrr()()GE'scontributiontoriskpremiumGE'scontributiontovariance(,)(,)GEGEfGEfGEGEMGEMwErrErrwCovrrCovrr9-11UsingGETextExampleContinued续例•Reward-to-riskratioforinvestmentinmarketportfolio:•Reward-to-riskratiosofGEandthemarketportfolio:•AndtheriskpremiumforGE:2()MarketriskpremiumMarketvarianceMfMErr2()(()(,)GEfMfGEMMErrErrCovrr2(,)()()GEMGEfMfMCovrrErrErr9-12ExpectedReturn-BetaRelationship期望收益-贝塔关系•CAPMholdsfortheoverallportfoliobecause:•Thisalsoholdsforthemarketportfolio:P()()andPkkkkkkErwErw()()MfMMfErrErr9-13Figure9.2TheSecurityMarketLine证券市场线9-14Figure9.3TheSMLandaPositive-AlphaStock证券市场线和一个a值为正的股票9-15TheIndexModelandRealizedReturns指数模型和已实现收益•Tomovefromexpectedtorealizedreturns—usetheindexmodelinexcessreturnform:•TheindexmodelbetacoefficientturnsouttobethesamebetaasthatoftheCAPMexpectedreturn-betarelationship•这个指数模型贝塔系数显示为同资本资产定价模型期望收益-贝塔关系一样的贝塔值iiiMiRRe9-16Figure9.4EstimatesofIndividualMutualFundAlphas,1972-1991单个共同基金a的频率分布1972-19919-17TheCAPMandReality资本资产定价及其实现•IstheconditionofzeroalphasforallstocksasimpliedbytheCAPMmet资本资产定价模型满足所有股票的a值为零的条件吗?–Notperfectbutoneofthebestavailable该模型不太完美,但是最佳之一•IstheCAPMtestable该模型可检验?–Proxiesmustbeusedforthemarketportfolio代理必须用于市场组合•CAPMisstillconsideredthebestavailabledescriptionofsecuritypricingandiswidelyaccepted该模型仍被当作最能描述证券定价并被广泛采纳9-18EconometricsandtheExpectedReturn-BetaRelationship计量经济学与期望收益-贝塔关系•Itisimportanttoconsidertheeconometrictechniqueusedforthemodelestimated计量经济学技术用于此模型很重要•Statisticalbiasiseasilyintroduced容易出现统计偏差–MillerandScholespaperdemonstratedhoweconometricproblemscouldleadonetorejecttheCAPMevenifitwereperfectlyvalid–默顿和斯科尔斯的论文证明了计量问题可能会导致拒绝资本资产定价模型,即使它是十分有效的9-19ExtensionsoftheCAPM资本资产定价模型的拓展形式•Zero-BetaModel零贝塔模型–Helpstoexplainpositivealphasonlowbetastocksandnegativealphasonhighbetastocks有助于解释低的贝塔值,a是正的,高的贝塔值,a是负的•Considerationoflaborincomeandnon-tradedassets劳动收入和非交易资产•Merton’sMultiperiodModelandhedgeportfolios默顿的多期组合和对冲投资组合–Incorporationoftheeffectsofchangesintherealrateofinterestandinflation–纳入的利息和通货膨胀实际利率变动的影响9-20ExtensionsoftheCAPMContinued续前•Aconsumption-basedCAPM以消费为基础的资本资产定价模型ModelsbyRubinstein,Lucas,andBreeden(Rubinstein,Lucas,andBreeden的模型)•Investormustallocatecurrentwealthbetweentoday’sconsumptionandinvestmentforthefuture投资者必须在今天消费和为未来消费投资之间分配好流动资产9-21LiquidityandtheCAPM流动性与资本资产定价模型•Liquidity流动性•IlliquidityPremium非流动性溢价•Researchsupportsapremiumforilliquidity.•研究支持非流动性溢价–AmihudandMendelson–AcharyaandPedersen9-22Figure9.5TheRelationshipBetweenIlliquidityandAverageReturns非流动性与平均收益的关系9-23ThreeElementsofLiquidity流动性的三大因素•Sensitivityofsecurity’silliquiditytomarketilliquidity:•Sensitivityofstock’sreturntomarketilliquidity:•Sensitivityofthesecurityilliquiditytothemarketrateofreturn:1(,)()iMLMMCovCCVarRC3(,)()iMLMMCovCRVarRC2(,)()iMLMMCovRCVarRC