资本资产定价模型在中国市场的实证研究

本文试图运用深沪股票市场的数据,对资本资产定价模型进行了研究,目的是检验风险和收益的关系是否符合CAPM理论。并根据股票市场中的三种市场格局划分了三个时间段进行分别的检验。     

资本资产定价模型(CAPM)的文献综述

20世纪60年代,夏普(William Sharpe),林特尔(John Lintner)以及莫森(Jan Mossin)等人在马克维茨投资组合理论的基础上分别建立了资本资产定价模型(Capital Asset Pricing Model,简称CAPM)。鉴于这一理论的简捷性与可操作性,该模型一经提出便对金融理论的实践和发展产生了巨大的影响,成为现代金融学的理论基础。但是,其有效性也广受国内外学者质疑。本文通过对国内外相关文献的回顾,对资本资产定价模型的争论进行一些梳理,以求为探求资本资产定价模型在中国市场上的应用提供理论参考价值。     

资本资产定价模型的分析及评述

诺贝尔经济学奖获得者夏普教授运用资本定价模型（CAPM）解释投资风险。该模型的特点是简洁、实用,在西方证券市场的技术分析中得到广泛的应用。本文对改模型的假设、建立过程及实用性进行了分析．并对该模型做了评迷。     

资本资产定价模型在我国证券市场中的应用

<正>一、资本资产定价模型回顾投资于证券及其他风险资产首先需要解决的两个核心问题,即预期收益与风险。如何测定组合投资的风险与收益成为市场投资者迫切需要解决的问题。正是在这样的背景下,在50年代和60年代初,马科维茨投资组合理论应运而生。马科维茨认为,在一定的条件下,一个投资者的投资组合选择可以简化为     

欧洲股票市场的规模和动因:基于不同β系数的资本资产定价模型实证研究

我们选用在13个欧洲股市上市的证券,形成规模和动因组合.我们不仅发现规模溢价的证据,还发现8个样本市场存在重大动因收益率.这些收益率可能不构成异常现象,因为它们与不同β值的资本资产定价模型一致.我们还发现,系统风险与经济周期有关.此外,研究结果显示,虽然规模和动因收益率显著,但是难以在中、短期利用它们,因为在我们的样本...     

基于动态条件相关性的跨期资本定价实证研究

跨期资本资产模型提出了风险与收益之间的跨期关系,但是以往在证明跨期关系时普遍使用的是静态条件协方差。动态条件相关性模型能够描述时间序列间动态的相关性,利用动态条件相关性模型验证了跨期资本资产定价模型中的跨期关系,并且得到了资产组合收益率和这些因素间的动态条件协方差,然后测试这些协方差是否能够预测资产组合收益的时间序列变化。通过实证分析发现对于长样本和短样本来说,资产组合和市场组合之间的协方差对资产组合收益的影响是不同的。     

基于小波分析的资本资产定价模型

小波分析是在应用数学的基础上发展起来的一门新兴学科,经过数十年来的飞速发展,小波分析理论已经被广泛运用于各行各业。本文在借鉴国内外关于小波分析理论在金融领域应用的基础上,将小波分析应用于资本资产定价模型(CAPM模型)中,从上证50指数中,挑选了其中5只股票,分析在不同时间尺度下,个股以及资产组合的市场风险。通过计算不同时间尺度下的β值,我们发现,对于个股以及资产组合,其系统性风险具有多期性结构。     

资本资产定价及模型的理论探讨

一、基本原理1.当资产风险水平（标准差）相同时,理性投资者将选择具有较高收益率的投资组合;当预期收益率相同时,他们将选择风险水平（标准差）较小的投资组合。同时满足这两个条件的投资组合的集合就是有效集。     

基于资本资产定价模型的债券市场估值

资本资产定价是现代金融理论的三大基石之一,一些西方的发达国家的投资者常常用资本资产定价模型来解决金融投资决策等相关问题。该模型在资产预算、投资风险控制分析、投资组合绩效预测、投资案例研究分析等方面被广泛应用。     

资本资产定价模型及其适用性分析

资产定价是金融学的核心问题之一,许多资产定模型论对金融理论和实践产生了巨大影响。从金融市场存在的第一天起,投资者就试图预测金融资产价格的未来变化,因此探讨金融资产价格运动规律的理论模型就应运而生。CAPM模型是其中的佼佼者,近年来引起了金融界广泛的关注和研究,有人质疑,有人予以肯定。     

资产定价:理论演进及应用研究

资产定价理论是现代金融理论的核心.本文通过对资产定价理论的综述,揭示了从传统资产定价理论到行为资产定价理论的演进脉络,并对各理论及相应模型的内涵和应用进行了描述,最后对传统资产定价理论和行为资产定价理论进行了比较,以期对我国金融理论和实践的发展有所帮助.     

Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model

Under the assumptions of the Consumption-based Capital Asset Pricing Model (CCAPM), Pareto optimal consumption allocations are characterized by each agent's consumption process being adapted to the filtration generated by the aggregate consumption process of the economy. The wealth processes of the agents, however, are adapted to the finer filtration generated by aggregate consumption and the conditional distribution of future aggregate consumption. Therefore, in order to achieve Pareto optimal consumption allocations, a sufficiently varied set of assets must exist such that any wealth process adapted to this finer filtration can be implemented by dynamically trading in that set of assets. We provide sufficient conditions for the existence of such a set of assets based on dynamically trading contingent claims on aggregate consumption. In addition, we give sufficient conditions for the existence of equilibria in a dynamically effectively complete market in which agents are only able to trade in contingent claims on aggregate consumption, the market portfolio of firms, and a (numeraire) zero-coupon bond. We demonstrate the role of short- and long-term contingent claims on aggregate consumption for the implementation of Pareto optimal allocations in the presence of short- andlong-term risks. In addition, in the presence of personal risks, we demonstrate the role of insurance contracts.     

Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model

Under the assumptions of the Consumption-based Capital AssetPricing Model (CCAPM), Pareto optimal consumption allocationsare characterized by each agent's consumption process beingadapted to the filtration generated by the aggregate consumptionprocess of the economy. The wealth processes of the agents,however, are adapted to the finer filtration generated by aggregateconsumption and the conditional distribution of future aggregateconsumption. Therefore, in order to achieve pareto optimal consumptionallocations, a sufficiently varied set of assets must existsuch that any wealth process adapted to this finer filtrationcan be implemented by dynamically trading in that set of assets.We provide sufficient conditions for the existence of such aset of assets based on dynamically trading contingent claimson aggregate consumption. In addition, we give sufficient conditionsfor the existence of equilibria in a dynamically effectivelycomplete market in which agents are only able to trade in contingentclaims on aggregate consumption, the market portfolio of firms,and a (numeraire) zero-coupon bond. We demonstrate the roleof short- and long-term contingent claims on aggregate consumptionfor the implementation of Pareto optimal allocations inthe presenceof short- and long-term risks. In addition, in the presenceof personal risks, we demonstrate the role of insurance contracts.JEL Classification: G13.     

An International Asset Pricing Model with Time-Varying Hedging Risk

This paper employs a two-factor international equilibrium asset pricing model to examine the pricing relationships among the world's five largest equity markets. In addition to the traditional market factor premium, a hedging factor premium is included as the second factor to explain the relationship between risks and returns in the international stock markets. Moreover, a GARCH parameterization is adopted to characterize the general dynamics of the conditional second moments. The results suggest that the additional hedging risk premium is needed to explain rates of return on international equities. Furthermore, the restriction that the coefficient on the hedge-portfolio covariance is one smaller than the coefficient on the market-portfolio covariance can not be rejected. This suggests that the intertemporal asset pricing model proposed by Campbell (1993) can be used to explain the returns on the five largest stock market indices.     

A Strategic Asset Pricing Model for Relative Performance Concern

We propose a strategic asset pricing model for the relative performance concern with heterogeneous beliefs in the framework of Nash equilibrium. In our model, the presence of heterogeneous beliefs generates the upward pressure on the stock market volatility and gives rise to the separation of agents’ perceived Sharpe ratios. We show that if one of the agents temporarily wins the market, the presence of relative performance concern will reduce the impacts of the winner and make the investors who have been edged out of the market more inclined to return. Besides, the sufficiently strong concern of relative performance will bring investors the extreme aversion to losing and get them to trade similarly.     

Some Tests of the Risk-Return Relationship Using Alternative Asset Pricing Models and Observed Expected Returns

This study examines the performance of three asset pricing models: the CAPM, the APT and the UAPT using observed expected returns from a three-phase dividend discount model with Value Line analyst estimates of future company-level earnings, dividends and growth rates. Our study is the first we know of to test the three major asset pricing models using observed expected returns. Our results are similar to prior research using ex post (realized) returns in that we find that the UAPT using macroeconomic factors is the best performing model, followed by the APT and the CAPM. However, our results also suggest that the importance of macroeconomic factors is much greater to expected returns than to realized returns, and the corresponding R2 values for models using expected returns are much higher than for models using realized returns. Combining our results for the UAPT with those of Marston and Harris (1993) for the CAPM suggests that these models are more successful in tests using observed expected returns than in tests using realized returns as proxies for expected returns. Unit root tests suggest that monthly observed expected returns follow the classic random walk without drift model while monthly realized returns do not.     

Default Risk, Asset Pricing, and Debt Control

The pricing and control of firms’ debt has become a majorissue since Merton’s (1974) seminal article. Yet Mertonas well as other recent theories presume that the asset valueof the firm is independent of the debt of the firm. However,when using debt finance, firms may have to pay a premium foran idiosyncratic default risk and may face debt constraints.We demonstrate that firm-specific debt constraints and endogenousrisk premia, based on collateralized borrowing, affect the assetvalue of the firm and, in turn, the collateral value of thefirm. In order to explore the interdependence of debt financeand asset pricing of firms, we endogenize default premia andborrowing constraints in a production-based asset pricing model.In this context then the dynamic decision problem of maximizingthe present value of the firm faces an additional constraintgiving rise to the debt-dependent firm value. We solve for theasset value of the firm with debt finance by the use of numericaldynamic programming. This allows us to solve the debt controlproblem and to compute sustainable debt as well as the firm’sdebt value.     

行为如何影响资产定价——理论模型与实证分析

本文基于金融经济学中状态价格与随机折现因子等理论的分析,认为资产定价会受到行为因素的影响.在此基础上本文提出了状态价格函数,并建立了行为影响资产定价的多项式模型.     

Portfolio Construction for Tests of Asset Pricing Models

Portfolios are commonly used in finance literature to study asset‐pricing models. In business practice portfolios are used to detect abnormal performance in certain asset groups or to construct reference assets. However, analyses on practical issues related to portfolio construction are surprisingly few. This paper presents and discusses issues related to portfolio return calculation from theoretical and practical perspectives. Special attention is given both to smaller and emerging stock markets. These stock markets often share common features like low liquidity, multiple stock series, and changes in foreign ownership restrictions that greatly affect portfolio construction.