CAPM模型在股票价格分析中的实证研究

对经典的CAPM模型进行变化后,形成一个一元线性回归模型,再从上海证券交易所A股中随机抽取一支股票进行回归分析,发现CAPM是有效的,且个股收益率与组合收益呈较明显的正相关关系,同时,通过对截距项20分析,比较股票的预期收益率与实际收益率的大小,分析股价的走势,据此指导中小投资者进行投资决策。     

Tests of international CAPM with time-varying covariances

We perform maximum-likelihood estimation of a model of international asset pricing based on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing model. The ‘betas’ in our CAPM vary over time as the supplies of assets change and as the conditional covariances or returns on those assets change. We let the covariances change over time as a function of macroeconomic data, and an alternative model allows the covariances to follow a multivariate ARCH process. We also can identify a modified CAPM model with measurement error. We find that the estimated CAPM performs much better when variances are not constant over time. Nonetheless, CAPM is rejected in favour of the lessrestricted model of asset pricing.     

CAPM模型在上海股票市场的有效性检验

根据资本资产定价模型(CAPM),从上海A股市场随机抽取100支股票,计算它们的收益率,选择上证综合指数为市场组合的市场指数,并利用双层回归分析方法对2007年1月1日至2011年12月31日这段时间的100支股票进行实证检验。虽然很多国外研究表明,CAPM模型在一定程度上能够解释市场收益,并在资产估价、资本预算、投资风险分析方面已经得到了广泛应用,同时也有利于投资者构建最优的证券投资组合,但本文实证研究结果发现,CAPM模型并不适合中国的股票市场,股票预期收益率和系统风险之间不仅不存在正相关的关系,而且也不存在线性关系,除了系统风险外,非系统风险在解释股票收益上也具有一定的作用。     

Portfolio management using a factor-analytic stock selection strategy

This study takes an integrated look at six widely documented price-related CAPM anomaly variables. Using maximum likelihood factor analysis, we extract factors common to these variables. We find that portfolios formed according to the first extracted factor alone exhibit abnormal performance. Further, the performance of firms ranked on the basis of extracted factor scores for this factor is superior to that of firms selected on the basis of any one of the six variables. Our results have implications for (1) isolating missing factors in the CAPM specification and (2) designing dynamic portfolio strategies aimed at jointly exploiting more than one anomaly.     

The non-relevance of the elusive holy grail of asset pricing tests: The “true” market portfolio does not alter CAPM validity conclusions

Empirical evaluations of CAPM usually attach a caveat that rejection is conditional on the choice of market proxy. We explore the criticality of the proxy choice disclaimer. Using different proxies and comprehensive simulations of the unobserved “true” market in Fama–MacBeth tests of CAPM, we find that the significance (t-statistics) corresponding to betas remain consistently unaltered, even if the proxy is a small fraction of or has a low correlation with the true market. The constancy of t-statistics persists in a simulated true-CAPM world as well: if CAPM is indeed valid, the choice of proxy is unlikely to reject it erroneously. Identity of the elusive true market portfolio and the choice of representative proxy cannot overturn conclusions on validity of CAPM based on Fama–MacBeth tests. Roll’s Critique, incontrovertible in theory, may be quite forgiving in practice – CAPM cannot be resurrected by a “closer” approximation of the elusive true market portfolio when it has commonly been rejected.     

金融资产定价异常与资产定价模型:理论与实证

通过委托-代理理论对传统资产定价模型进行的拓展,得出了信息不对称下的扩展资产定价和代理成本资产定价模型.据此,进一步通过因子分析设计出了反映逆向选择、道德风险和代理成本的相应变量,并运用上市公司的相应数据对传统的资产定价模型(CAPM)、羊群效应CAPM、FF三因素模型、扩展的CAPM和代理成本CAPM进行了对比分析.对比结果显示:在保证系数和模型准确性的前提下,运用二阶段最小二乘法(TSLS)对扩展的CAPM和代理成本CAPM的估计结果相较于上述三类模型显示了更强的解释力度.     

CAPM as a strategic planning tool

In this paper, the use of the capital asset pricing model (CAPM) as a strategic planning tool is reviewed. The links between the CAPM and other approaches to strategic planning are noted and discussed. We conclude that the CAPM complements other types of analysis very effectively and offers management an extremely powerful analytical tool for strategic planning.     

Land of addicts? an empirical investigation of habit‐based asset pricing models

This paper studies the ability of a general class of habit‐based asset pricing models to match the conditional moment restrictions implied by asset pricing theory. We treat the functional form of the habit as unknown, and estimate it along with the rest of the model's finite dimensional parameters. Using quarterly data on consumption growth, assets returns and instruments, our empirical results indicate that the estimated habit function is nonlinear, that habit formation is better described as internal rather than external, and the estimated time‐preference parameter and the power utility parameter are sensible. In addition, the estimated habit function generates a positive stochastic discount factor (SDF) proxy and performs well in explaining cross‐sectional stock return data. We find that an internal habit SDF proxy can explain a cross‐section of size and book‐market sorted portfolio equity returns better than (i) the Fama and French ( 1993 ) three‐factor model, (ii) the Lettau and Ludvigson ( 2001b ) scaled consumption CAPM model, (iii) an external habit SDF proxy, (iv) the classic CAPM, and (v) the classic consumption CAPM. Copyright © 2009 John Wiley & Sons, Ltd.     

Risk and return in the Tehran stock exchange

This paper analyzes market index returns in the Tehran stock exchange (TSE) within the context of three variants of the Capital Asset Pricing Model: the static international; the constant-parameter intertemporal; and a Markov-switching intertemporal CAPM, which allows for time-varying degree of integration with regional and international equity markets. We find that TSE returns are CAPM-efficient at monthly frequency with respect to several international market indices. Moreover, we find evidence in support of international integration of the TSE with respect to international markets. In addition, we conduct an extensive investigation for the direction of causality between TSE returns, international market index returns, and those in neighboring countries.     

资本资产定价模型对会计的启示

资本资产定价模型(CAPM)将有效市场的证券价格、风险和预期收益有机的联系在一起,提供了对投资项目收益的量化计算方法,但其严格的前提假设给该模型的实际应用带来了一定的困难。本文分析了CAPM的前提假设和模型推导,揭示了该模型对会计信息披露和资本市场监管方面的启示。     

基于模糊收益率的CAPM实证检验

首先引入模糊收益率的概念,讨论了基于模糊线性回归模型的资本资产定价模型(CAPM)变化形式。作为应用,随机选取上海证券交易所的一支股票,安徽合力(600761),统计该股票在2009年1月1日至2010年12月31日的周收益率以及同期的市场周收益率,共102个数据。对所取得的数据进行模糊化和平移处理,求出其模糊回归方程。利用2011年的数据对回归方程进行检验,结果显示回归方程的拟合效果符合实际,CAPM在单支股票上是可行的,可用于指导实际的投资操作。     

Risk and return: CAPM and CCAPM

Can consumption growth risk (or consumption beta) serve a better measure of risk than market beta? This paper answers this question by testing and comparing the performance of the traditional Capital Asset Pricing Model (CAPM) and consumption-based CAPM (CCAPM) across seven financial market sub-sectors in the emerging Taiwan stock market. The empirical performance of the CAPM is encouraging. The relationship between stock returns and beta is statistically significant and the coefficient of determination of the regression is high across all of seven industry sub-sectors. In comparison, the CCAPM fails to explain the Taiwan stock market although the consumption beta should offer a better measure of systematic risk theoretically.     

基于顾客资产的资本资产定价模型

以夏普的资本资产定价模型为基础,指出顾客资产计量模型中应该考虑顾客信用因素的必要性,并将其导入资本资产定价模型是建立计量模型的必然要求,从而推导建立了顾客资产期望收益率模型。     

Two remarks on the uniqueness of equilibria in the CAPM

In the standard ‘capital asset pricing model’ (CAPM) with a riskless asset we give a sufficient condition for uniqueness. This condition is a joint restriction on the agents’ endowments and their preferences which is compatible with non-increasing absolute risk aversion and which is in particular satisfied with constant absolute risk aversion. Moreover, in the CAPM without a riskless asset we give an example for multiple equilibria even though all agents have constant absolute risk aversion.     

Long-run risk-return trade-offs

Excess market returns are correlated with past market variance. This dependence is statistically mild at short horizons (thereby leading to a hard-to-detect risk-return trade-off, as in the existing literature) but increases with the horizon and is strong in the long run (i.e., between 6 and 10 years). From an econometric standpoint, we find that the long-run predictive power of past market variance is robust to the statistical properties of long-horizon stock-return predictive regressions. From an economic standpoint, we show that, when conditioning on past market variance, conditional versions of the traditional CAPM and consumption-CAPM yield considerably smaller cross-sectional pricing errors than their unconditional counterparts.     

The Role of Networks In the Diffusion of Technological Innovation*

This research considers the diffusion of computer-aided production management (CAPM) technology in the UK manufacturing sector during the mid to late 1980s, focusing on the role of inter-organizational networks in the diffusion process. Research on innovation diffusion has tended to adopt a ‘pro-innovation bias’ such that adoption of prescribed best practice technologies is always considered to be the best policy. In the UK, one particular form of CAPM (MRP/MRPII) has been heavily promoted by technology suppliers as best practice. However, the notion of ‘best practice’ de-emphasizes the importance of decisions about technology design when users attempt to develop firm-specific solutions. Crucial to these decisions are the inter-organizational networks through which potential adopters learn about relevant technologies. Using three case companies, where the introduction of CAPM occurred at approximately the same time, decisions regarding adoption, design and subsequent implementation, are explored in order to establish the influence of inter-organizational networks on the diffusion and subsequent appropriation of CAPM technologies. These cases revealed that potential adopters engaged in a range of inter-organizational networks through which they learned about new technologies. However, the knowledge diffused through many of these networks was shaped by technology suppliers who were promoting similar ideas about best practice. Thus, while involvement in inter-organizational networks gave potential adopters access to information about new technology, this information tended to reinforce supplier images of best practice and did not always lead these firms to develop appropriate technological solutions. Problematic relationships between the suppliers of the technology and the users was seen here to limit the redesign and further diffusion of CAPM.     

资产定价模型(CAPM)在住房抵押贷款证券化(MBS)定价中的应用

20世纪80年代以来,住房抵押贷款证券化(MBS)在我国有了长足的发展,为了对住房抵押贷款证券化产品进行合理定价,本文引入CAPM模型来确定正确反应证券风险的贴现率,并且分析了CAPM模型的产生以及发展过程,最后对其进行动态的修正.     

The link between the Shapley value and the beta factor

In this article, we provide a link between the Shapley value in cooperative game theory and the capital asset pricing model (CAPM) in finance. In particular, the Shapley value of a suitably defined cooperative game is closely related to the beta factor in the CAPM. The beta factor for any given security may be interpreted as the asset’s fairly allocated share of the market risk or as the asset’s average marginal contribution to the market risk, respectively. Other fairness properties and axioms of the Shapley value may be reinterpreted in this context to attain a deeper understanding of the beta factor and the connotation of systematic risk. Our game theoretic approach further allows for a generalisation of the CAPM with respect to arbitrary risk measures other than variance. Last but not least, we discuss the volatility of an asset’s theoretical fair assessment of risk and of its systematic risk, respectively. This result lends itself to face the challenge of an empirical investigation on real stock markets.     

具有结构突变的CAPM的阶段异方差和自相关性的调整LM检验

由于金融市场是动荡不定的,资产定价模型CAPM往往会出现结构突变,异方差,序列相关,因此需要对CAPM的随机误差进行齐性检验。对于具有单个结构突变点的CAPM,本文得到了检验阶段异方差和自相关性的调整LM检验统计量。Monte Carlo模拟的结果显示,该调整LM检验统计量具有比普通LM检验统计量更好的检验功效。最后,我们用一个具体的实例论证了方法的有效性。