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关于CAPM适应性的论述 总被引:1,自引:0,他引:1
资本资产定价模型(CAPM)是目前证券市场上应用最广泛的模型。但是同时,它也存在一定的局限性。首先,论述了资本资产定价模型的由来和应用范围;然后,从资本资产定价模型的假设和参数估计方面,提出了资本资产定价模型的局限性;并论述了该模型在我国证券市场的适应性。针对此模型的局限性,目前大量学者发展了CAPM,但是仍然没有一个模型能完全替代资本资产定价模型。 相似文献
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资本资产定价模型是在马柯维茨资产组合理论的基础上发展起来的,本文主要阐述资本资产定价模型在收益性房地产估价、网络公司资产估价、股票定价中的应用. 相似文献
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基于顾客资产的资本资产定价模型 总被引:1,自引:0,他引:1
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。 相似文献
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金梦影 《中国乡镇企业会计》2020,(6):9-10
本文首先阐述了在中国证券市场不断进行改革的背景下,对资本资产定价(CAPM)模型在中国证券市场的适用性研究的意义,进而对资本资产定价(CAPM)模型的缺陷以及在中国证券市场的实际应用中所存在的问题进行了实证分析,探讨了资本资产定价(CAPM)模型在中国证券市场的适用性。 相似文献
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正资本资产定价模型是现代财务理论中的重要组成部分,它以简捷、完美的线性关系式揭示了资本市场中资产定价的影响因素。1972年时学者主要集中在证券市场线的研究上。在此之后,随着数据的不断完善,资本资产定价模型不断地被学者用各种方法来 相似文献
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作为现代金融理论的三大基石之一,资本资产定价模型经常被西方发达国家的投资者用来解决金融投资决策中的一般性问题,在诸如资产定价、投资组合业绩的测定、资本预算、投资风险分析及事件研究分析等方面得到了广泛的应用。一、资本资产定价理论简介(一)理论渊源资本资产定价理论是在马克维茨投资组合理论和资本市场理论基础上形成发展起来的一种证券投资理论,主要研究证券市场中资产的预期报酬率与风险资产之间的关系,以 相似文献
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CAPM模型在金融经济学中的应用 总被引:1,自引:0,他引:1
一、CAPM模型的简介
资本资产定价模型(CAPM)是通过寻求投资者为补偿某一给定风险水平的均衡收益率推导出来的.为了能够推导出只运用单一风险指数(被称为β)对必要收益定价的风险定价模型,资本资产定价模型的推导中做了一些严格的假设.CAPM模型包含三个组成部分: 相似文献
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资本资产定价模型是现代金融理论的重要基础,其处于金融理论研究的前沿.本文利用标准资本资产定价模型对个股和沪深300各指数进行实证分析,分析系统风险对我国资本市场各行业的影响程度. 相似文献
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袁国栋 《中国乡镇企业会计》2008,(2):F0003-F0003
一、新会计准则对上市公司资产计量的影响
1.新会计准则吸收了财务理论,注重计量计价的理性选择,符合市场经济的发展需要。尤其是受到资本资产定价理论的影响,该理论提供了一个决定未来预期报酬的实证模型,比如资本资产定价模型,从而可以用资产的未来预期报酬来确定今天的资产价值,实现了从实务升华到理论的进步。 相似文献
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围绕对有效市场假说的联合检验假设难题、资本资产定价模型的检验、"贝塔通缉令""因子动物园""多因素模型大战"等重点和核心话题,对现代资产定价理论文献的研究脉络进行梳理和评述,在此基础上对未来资产定价的研究重点和方向提出建议. 相似文献
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行为资产定价模型的适用性研究 总被引:1,自引:0,他引:1
作为行为金融学主干的行为资产定价理论近些年来发展迅速。行为资产定价模型能否指导现实中的投资行为,取决于对行为资产定价模型的实证检验结果。本文利用我国证券市场数据对行为资产定价模型的适用性进行了检验,发现行为资产定价模型适用于股价上涨时期,而非股价下跌时期。 相似文献
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Michele Costa Attilio Gardini Paolo Paruolo 《Oxford bulletin of economics and statistics》1997,59(1):163-181
Both the Arbitrage Pricing Theory (APT) and the Capital Asset Pricing Model (CAPM) place restrictions of the cross-sectional variation of conditional expectations of asset returns and of macro indicators. We show that these restrictions imposed on the reference statistical models lead to special cases of the reduced rank regression model. The maximum likelihood problem is solved by canonical correlation analysis. Likelihood ratio tests about the number of factors underlying stock returns are straightforward to calculate, thus allowing discrimination between competing financial theories. Moreover LR tests on the relevance of each macroeconomic indicator within a chosen model can be implemented. Some of the tests are illustrated by an application to Italian stock market data. 相似文献
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Roni Frish 《Economics of Governance》2007,8(2):153-177
According to the “Capital Asset Pricing Model”, an individual can increase his utility by diversifying his capital across countries. If that is the case, then why do governments impose restrictions on capital outflow? This paper argues that foreign owners of capital have less political power than domestic ones and therefore capital liberalization weakens the political power that protects capital, increases the taxation of capital and thus reduces total investment. Indeed, most of the empirical evidence suggests that capital liberalization is positively correlated with government expenditure, social security spending and corporate taxation. 相似文献
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C. R. Krishnaswamy R. S. Rathinasamy Krishna G. Mantripragada Inayat U. Mangla 《Journal of Economics and Finance》1994,18(1):81-88
In this paper, we examine the implications of agency costs on the discount rate for public sector enterprises (PSEs); we do
this in the framework of the Capital Asset Pricing Model. With the addition of agency costs, the discount rate for Public
Sector Enterprises (PSEs) under uncertainty becomes the risk-adjusted discount rate plus a premium for agency costs; under
certainty, the discount rate for PSEs is shown to be the risk-free rate plus a premium for agency costs. Use of a discount
rate by PSEs without adjusting for agency costs both under certainty and uncertainty, will lead to sub-optimal capital investment
decisions by PSEs. 相似文献
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This paper proposes a flexible technique for selecting portfolios in an environment which includes thinly traded shares. The proposal uses the Capital Asset Pricing Model with a thinly traded beta estimator to generate the expected return input. This technique has the advantage of being applicable when the opportunity set includes well-traded securities, as the beta estimator converges to the ordinary least squares beta for well traded shares. In addition, it allows portfolio estimation to be carried out under a range of expected market performance scenarios. An empirical study on the Johannesburg Stock Exchange over the period 1974–85 indicates that the proposed method is superior to traditional techniques. 相似文献
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Mohammad R. Jahan-Parvar Hassan Mohammadi 《The Quarterly Review of Economics and Finance》2013,53(3):238-256
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. 相似文献