資源描述：
《the capital asset pricing model》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在工程資料-天天文庫(kù)。
1、Chapter9:TheCapitalAssetPricingModelChapterOpenerp.280PART??IIITHECAPITALASSET?pricingmodel,almostalwaysreferredtoastheCAPM,isacenterpieceofmodernfinancialeconomics.Themodelgivesusaprecisepredictionoftherelationshipthatweshouldobservebetweentheriskofanassetanditsexpectedreturn.Thisrelations
2、hipservestwovitalfunctions.First,itprovidesabenchmarkrateofreturnforevaluatingpossibleinvestments.Forexample,ifweareanalyzingsecurities,wemightbeinterestedinwhethertheexpectedreturnweforecastforastockismoreorlessthanits“fair”returngivenitsrisk.Second,themodelhelpsustomakeaneducatedguessasto
3、theexpectedreturnonassetsthathavenotyetbeentradedinthemarketplace.Forexample,howdowepriceaninitialpublicofferingofstock?Howwillamajornewinvestmentprojectaffectthereturninvestorsrequireonacompany'sstock?AlthoughtheCAPMdoesnotfullywithstandempiricaltests,itiswidelyusedbecauseoftheinsightitoff
4、ersandbecauseitsaccuracyisdeemedacceptableforimportantapplications.9.1TheCapitalAssetPricingModelThecapitalassetpricingmodelisasetofpredictionsconcerningequilibriumexpectedreturnsonriskyassets.HarryMarkowitzlaiddownthefoundationofmodernportfoliomanagementin1952.TheCAPMwasdeveloped12yearslat
5、erinarticlesbyWilliamSharpe,1?JohnLintner,2?andJanMossin.3?ThetimeforthisgestationindicatesthattheleapfromMarkowitz'sportfolioselectionmodeltotheCAPMisnottrivial.???WewillapproachtheCAPMbyposingthequestion“whatif,”wherethe“if”partreferstoasimplifiedworld.Positinganadmittedlyunrealisticworld
6、allowsarelativelyeasyleaptothe“then”part.Onceweaccomplishthis,wecanaddcomplexitytothehypothesizedenvironmentonestepatatimeandseehowtheconclusionsmustbeamended.Thisprocessallowsustoderiveareasonablyrealisticandcomprehensiblemodel.p.281???Wesummarizethesimplifyingassumptionsthatleadtothebasic
7、versionoftheCAPMinthefollowinglist.Thethrustoftheseassumptionsisthatwetrytoensurethatindividualsareasalikeaspossible,withthenotableexceptionsofinitialwealthandriskaversion.Wewillseethatconformityofinvestorbehaviorvastlysimplifiesouranalysis.??1.?Thereare
