CAPM有用吗?一早期的证据 Fama-MacBeth(1973, JPE) 实证模型 R1=C0+C1B1+C2B2+c3s+6 研究假设 E(C2)=0-non-linearity &E(C3)=0-non-systematic &E(CIt-ERm-EIr>0 Sharpe-Lintner hypothesis: E(co)=Rf8 CAPM有用吗？－早期的证据 ❖ Fama-MacBeth (1973, JPE)： ❖ 实证模型: Ri = co +c1i+ c2i 2 +c3tsi+it ❖ 研究假设: ❖ E(c2 ) = 0 – non-linearity ❖ E(c3 ) = 0 – non-systematic ❖ E(c1t) = E[Rm] – E[Rf ] > 0 ❖ Sharpe-Lintner hypothesis: E(c0 ) = Rf