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1、CHAPTER 9,The Capital Asset Pricing Model 资本资产定价模型CAPM模型,9-2,It is the equilibrium model that underlies all modern financial theory综合所有现代金融理论的均衡模型 Derived using principles of diversification with simplified assumptions利用分散化和简化的原则建立 Markowitz, Sharpe, Lintner and Mossin are researchers credited with
2、its development马克维茨、夏普、林特和莫森逐步发展而来,Capital Asset Pricing Model (CAPM)资本资产定价模型CAPM模型,9-3,Assumptions假设,Individual investors are price takers个人投资者都是价格接受者 Single-period investment horizon单期的投资持有期 Investments are limited to traded financial assets投资范围仅限于市场上公开交易的金融资产 No taxes and transaction costs没有税收和交易
3、成本,Information is costless and available to all investors信息是没有费用 Investors are rational mean-variance optimizers投资者都是理性的，都追求资产组合的方差最小化 There are homogeneous expectations同质期望，对经济前景的看法相同,9-5,Risk premium on the market depends on the average risk aversion of all market participants市场的风险溢价水平依赖与所有市场参与者的风
4、险厌恶程度 Risk premium on an individual security is a function of its covariance with the market单个证券的风险溢价水平是它和市场的协方差的函数,Resulting Equilibrium Conditions导致的均衡条件,9-6,Figure 9.1 The Efficient Frontier and the Capital Market Line有效边界与资本市场线,9-7,Market Risk Premium市场的风险溢价,The risk premium on the market portfo
5、lio will be proportional to its risk and the degree of risk aversion of the investor:市场组合的风险溢价正比于风险大小和投资者的风险厌恶情况,9-8,The risk premium on individual securities is a function of the individual securitys contribution to the risk of the market portfolio单个证券的合理风险溢价取决于单个资产对投资者的所有资产组合风险的贡献程度 An individual
6、securitys risk premium is a function of the covariance of returns with the assets that make up the market portfolio.单个资产的风险溢价也取决于这个资产与市场组合资产的协方差水平,Return and Risk For Individual Securities单个证券的收益与风险,9-9,GE Example通用电气公司的案例,Covariance of GE return with the market portfolio:通用收益与市场组合协方差 Therefore, the
7、 reward-to-risk ratio for investments in GE would be:收益风险比为,9-10,GE Example通用电气公司的案例,Reward-to-risk ratio for investment in market portfolio:投资市场组合的风险收益比 Reward-to-risk ratios of GE and the market portfolio should be equal:通用公司和市场组合的风险收益比在投资者行为一致的情况下应该相等,9-11,GE Example通用电气公司的案例,The risk premium for
8、 GE:风险溢价 Restating, we obtain:重新排列后,9-12,Expected Return-Beta Relationship期望收益贝塔关系,CAPM holds for the overall portfolio because:对任一资产均成立因为可以通过别的资产复制任一种证券收益 This also holds for the market portfolio:对市场组合本身也是成立的,9-13,Figure 9.2 The Security Market Line证券市场线,9-14,Figure 9.3 The SML and a Positive-Alpha
9、 Stock证券市场线与一只阿尔法正值的股票,9-15,The Index Model and Realized Returns指数模型与实现收益,To move from expected to realized returns, use the index model in excess return form:从期望收益到实现收益 The index model beta coefficient is the same as the beta of the CAPM expected return-beta relationship.指数模型中的贝塔系数同CAPM定理中的贝塔是一样的,9
10、-16,Figure 9.4 Estimates of Individual Mutual Fund Alphas, 1972-1991单个共同基金阿尔法值的估计,9-17,Is the CAPM Practical?CAPM模型实际吗？,CAPM is the best model to explain returns on risky assets. This means: CAPM模型是解释资产风险回报率的最佳模型 Without security analysis, is assumed to be zero.理论上完美市场中的所有的阿尔法值都将为零，也就是没有超额收益，不需要证券分析
11、 Positive and negative alphas are revealed only by superior security analysis.正值或者负值的阿尔法值只有被优秀的证券分析所揭示出来,9-18,Is the CAPM Practical? CAPM模型实际吗？,We must use a proxy for the market portfolio.我们必须为市场组合找到一个替代资产 CAPM is still considered the best available description of security pricing and is widely acc
12、epted.即使这样CAPM模型仍然被看做是资产定价的最广为人知的模型，而且被很多人所接受,9-19,Econometrics and the Expected Return-Beta Relationship期望收益-贝塔关系的计量经济学,Statistical bias is easily introduced.统计偏差很容易出现 Miller and Scholes paper demonstrated how econometric problems could lead one to reject the CAPM even if it were perfectly valid.这两
13、个人的论文证明了即使模型是完全正确的，现实数据的计量模型也可能无法发现CAPM所证实的关系,9-20,Extensions of the CAPMCAPM模型的扩展,Zero-Beta Model零贝塔值模型 Helps to explain positive alphas on low beta stocks and negative alphas on high beta stocks Consideration of labor income and non-traded assets考虑工资收入或者不可交易资产比如人力资本的回报,9-21,Extensions of the CAPM
14、CAPM模型的扩展,Mertons Multiperiod Model and hedge portfolios莫顿的多期和对冲模型 Incorporation of the effects of changes in the real rate of interest and inflation包含真实利率、通胀变化效应的模型,Consumption-based CAPM基于消费的模型 Rubinstein, Lucas, and Breeden Investors allocate wealth between consumption today and investment for th
15、e future投资者当期消费一部分，未来消费投资的部分,9-22,Liquidity and the CAPM流动性与CAPM模型,Liquidity: The ease and speed with which an asset can be sold at fair market value资产在不错的市场价格下变现的快速和方便 Illiquidity Premium: Discount from fair market value the seller must accept to obtain a quick sale. 流动性溢价是偏离不错市场价格的折扣，是因为卖者想要快速出售资产
16、的代价 Measured partly by bid-asked spread部分的可以被买卖价差所衡量 As trading costs are higher, the illiquidity discount will be greater.交易成本越高流动性折扣越大,9-23,Figure 9.5 The Relationship Between Illiquidity and Average Returns流动性与平均收益之间的关系,9-24,Liquidity Risk流动性风险,In a financial crisis, liquidity can unexpectedly dry up.金融危机时流动性枯竭 When liquidity in one stock decreases, it tends to decrease in other stocks at the same time.流动性干涸的相关性很强 Investors demand compensation for liquidity risk需要流动性风险补偿 Liquidity betas流动性贝塔
