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1、TheArbitrageTheoryofCapitalAssetPricingSTEPHENA.ROSS*Departmentsof’EconomicsandFinance,UniversityofPennsylvania,TheWhartonSchool,Philadelphia,Pennsylvania19174ReceivedMarch19,1973:revisedMay19,1976Thepurposeofthispaperistoexaminerigorouslythearbitragemodelofcapita
2、lassetpricingdevelopedinRoss[13,141.Thearbitragemodelwasproposedasanalternativetothemeanvariancecapitalassetpricingmodel,introducedbySharpe,Lintner,andTreynor,thathasbecomethemajoranalytictoolforexplainingphenomenaobservedincapitalmarketsforriskyassets.Theprincipa
3、lrelationthatemergesfromthemeanvariancemodelholdsthatforanyasset,i,its(exante)expectedreturnEt=p+u,3(1)wherepistherisklessrateofinterest,Xistheexpectedexcessreturnonthemarket,E,-p,andisthebetacoefficientonthemarket,whereCJ,~~isthevarianceofthemarketportfolioand02”
4、,isthecovariancebetweenthereturnsontheithassetandthemarketportfolio.(Ifarisklessassetdoesnotexist,pisthezero-betareturn,i.e.,thereturnonallportfoliosuncorrelatedwiththemarketportfolio.)lThelinearrelationin(1)arisesfromthemeanvarianceefficiencyofthemarketportfolio,
5、butontheoreticalgroundsitisdifficulttojustifyeithertheassumptionofnormalityinreturns(orlocalnormalityinWienerdiffusionmodels)orofquadraticpreferencestoguaranteesuchefficiency,andonempiricalgroundstheconclusionsaswellasthe*ProfessorofEconomics,UniversityofPennsylva
6、nia.ThisworkwassupportedbyagrantfromtheRodneyL.WhiteCenterforFinancialResearchattheUniversityofPennsylvaniaandbyNationalScienceFoundationGrantGS-35780.1SeeBlack[2]forananalysisofthemeanvariancemodelintheabsenceofarisklessasset.341Copyright!CI1976byAcademicPress,In
7、c.Allrightsofreproductioninanyformreserved.342STEPHENA.ROSSassumptionsofthetheoryhavealsocomeunderattack.2Therestrictivenessoftheassumptionsthatunderliethemeanvariancemodelhave,however,longbeenrecognized,butitstractabilityandtheevidentappealofthelinearrelationbetw
8、eenreturn,Ei,andrisk,6,)embodiedin(1)haveensureditspopularity.Analternativetheoryofthepricingofriskyassetsthatretainsmanyoftheintuitiveresultsoftheorigi
