第五章资本资产定价模型 (CAPM)
第五章 资本资产定价模型 （CAPM）
Markowitz模型与CAPM之间的关系 CAPM假设 市场证券组合 均衡 资本市场线 ■证券市场线 CAPM拓展 ■CAPM模型实证检验
◼ Markowitz 模型与CAPM之间的关系 ◼ CAPM假设 ◼ 市场证券组合 ◼ 均衡 ◼ 资本市场线 ◼ 证券市场线 ◼ CAPM拓展 ◼ CAPM模型实证检验
0. Markov忆z模型与CAPM Markowitz A4: how to select a portfolio given that we know what the expected returns and return covariances are However, we dont yet know where to get estimates of these data Particularly since expected returns are very hard to measure, one thing that would be useful, but which we don t yet have, is a model of what returns should be The CaPM is an equilibrium model of the relation between the expected rate of return and the return covariances for all assets Equilibrium is an economics term that characterizes a situation where no investor wants to do anything differently -----We will need this concept to come up with a pricing model Note that the markowitz portfolio problem is relevant for each investor, regardless of whether the equilibrium argument, and the CAPM, is correct or not
0. Markowitz 模型与CAPM ◼ Markowitz 模型: how to select a portfolio, given that we know what the expected returns and return covariances are. ◼ However, we don't yet know where to get estimates of these data. ◼ Particularly since expected returns are very hard to measure, one thing that would be useful, but which we don't yet have, is a model of what returns should be. ◼ The CAPM is an equilibrium model of the relation between the expected rate of return and the return covariances for all assets. ◼ Equilibrium is an economics term that characterizes a situation where no investor wants to do anything differently -----We will need this concept to come up with a pricing model. ◼ Note that the Markowitz portfolio problem is relevant for each investor, regardless of whether the equilibrium argument, and the CAPM, is correct or not
■CAPM是现代金融经济学的中心之 CAPM给出了资产的风险和收益之间关系 的一种精确预测 为评估可行投资提供了一个基准收益率 帮助我们对证券的回报率作出估计
◼ CAPM是现代金融经济学的中心之一。 ◼ CAPM给出了资产的风险和收益之间关系 的一种精确预测 ◼ 为评估可行投资提供了一个基准收益率 ◼ 帮助我们对证券的回报率作出估计
The approach we will take is to ask; if everyone in the economy holds an efficient portfolio then how should securities be priced so that they are actually bought 100% in equilibrium? For example if based on the prices/ expected returns our model comes up with, we found that IBM would never enter any maximizing investor's portfolio(long), then something is wrong IBM would be priced too high(offer too low an expected rate of return) The price of IBM would have to fall to the point where in aggregate, investors want to hold exactly the number of IBM shares outstanding Similarly, if we found that every one of a million optimizing investors would want to purchase $1M worth of Intel, and there are only $1B worth of Intel shares, our model's price for Intel must be too low So, what sort of prices(risk return relationships are feasible in equilibrium? This is the question we will try to answer with the CAPM
◼ The approach we will take is to ask: if everyone in the economy holds an efficient portfolio, then how should securities be priced so that they are actually bought 100% in equilibrium? ◼ For example, if based on the prices/expected returns our model comes up with, we found that IBM would never enter any maximizing investor's portfolio (long), then something is wrong. ◼ IBM would be priced too high (offer too low an expected rate of return). ◼ The price of IBM would have to fall to the point where, in aggregate, investors want to hold exactly the number of IBM shares outstanding. ◼ Similarly, if we found that every one of a million optimizing investors would want to purchase $1M worth of Intel, and there are only $1B worth of Intel shares, our model's price for Intel must be too low. ◼ So, what sort of prices (risk/return relationships) are feasible in equilibrium? This is the question we will try to answer with the CAPM
Although the capm does not fully withstand empirical tests, it is widely used because its accuracy suffices for many important applications a If it is wrong this means that we can do better" than the market portfolio(assuming that expected return and standard deviation are what matter for us) The intuition behind the capm will be the basis for the more advanced asset pricing models that we will look at
◼ Although the CAPM does not fully withstand empirical tests, it is widely used because its accuracy suffices for many important applications. ◼ If it is wrong, this means that we can “do better" than the market portfolio (assuming that expected return and standard deviation are what matter for us). ◼ The intuition behind the CAPM will be the basis for the more advanced asset pricing models that we will look at
1CAPM的基本假设 CAPM模型是建立在一系列假设基础之上的。设定 假设的原因在于:由于实际的经济环境过于复杂, 以至我们无法描述所有影响该环境的因素,而只能 集中于最重要的因素,而这又只能通过对经济环境 作出的一系列假设来达到 放宽假设
◼ 1 CAPM的基本假设 ◼ CAPM模型是建立在一系列假设基础之上的。设定 假设的原因在于：由于实际的经济环境过于复杂， 以至我们无法描述所有影响该环境的因素，而只能 集中于最重要的因素，而这又只能通过对经济环境 作出的一系列假设来达到。 ◼ 放宽假设
■假设1:在一期时间模型里,投资者以期望回报率 和标准差作为评价证券组合好坏的标准,所有投资 者都是价格接受者。 假设2:所有的投资者都是非满足的 假设3:所有的投资者都是风险厌恶者。 假设4:每种证券都是无限可分的,即,投资者可 以购买到他想要的一份证券的任何一部分 假设5:无税收和交易成本 假设6:投资者可以以无风险利率无限制的借和贷
◼ 假设1：在一期时间模型里，投资者以期望回报率 和标准差作为评价证券组合好坏的标准，所有投资 者都是价格接受者。 ◼ 假设2：所有的投资者都是非满足的。 ◼ 假设3：所有的投资者都是风险厌恶者。 ◼ 假设4：每种证券都是无限可分的，即，投资者可 以购买到他想要的一份证券的任何一部分。 ◼ 假设5：无税收和交易成本。 ◼ 假设6：投资者可以以无风险利率无限制的借和贷
假设7:所有投资者的投资周期相同。 ■假设8:对于所有投资者而言,无风险利率是相 同的。 假设9:对于所有投资者而言,信息可以无偿自 由地获得。 ■假设10:投资者有相同的预期,即,他们对证 券回报率的期望、方差、以及相互之间的协方差 的判断是一致的
◼ 假设7：所有投资者的投资周期相同。 ◼ 假设8：对于所有投资者而言，无风险利率是相 同的。 ◼ 假设9：对于所有投资者而言，信息可以无偿自 由地获得。 ◼ 假设10：投资者有相同的预期，即，他们对证 券回报率的期望、方差、以及相互之间的协方差 的判断是一致的
■完善市场
◼ 完善市场