竞争者因素递归下的CAPM实证检验

本文通过建立一种较为复杂的但依然反映单向因果关系属联立性质的模型——递归模型，对同业内竞争者因素作用下的CAPM进行了实证检验。结论是：业内竞争者因素的加入，一方面弥补了简单CAPM漏缺的一些信息使递归模型相对具有更强的解释力，另一方面分解了BETA系数，分摊了一些与之有关的系统风险。     

The impact of oil on equity returns of Canadian and U.S. Railways and airlines

The purpose of this paper is to investigate the relationship between oil price movements and equity returns of railways and airline in Canada and the U.S. Using a robust set of oil measures, which includes both West Texas Intermediate (WTI) and Western Canadian Select (WCS) data, this research finds that railways and airlines react uniquely to oil price movements. Specifically, equity returns of railways in Canada and airlines in the U.S. tend to be negatively impacted by positive movements in WTI. Equity returns of airlines in Canada and railways in the U.S show limited evidence of any impact. Additional estimations suggest that equity returns of airlines react asymmetrically and that information regarding oil price movements may gradually diffuse over time. With the changing North American energy landscape (e.g., oil sands and shale oil), the increased reliance on transporting crude oil via railways should lead academics and practitioners to further research in this area.     

CAPM模型对上证钢铁板块的实证研究

根据CAPM模型的原理,本文就上海股票市场钢铁板块的全部20只股票的系统性风险以及股权分置改革对其系统性风险的影响进行了实证分析。发现了许多我国股市发展中的存在的许多问题,说明近年来中国股市虽有较快发展,但仍然是一个不成熟的股市。     

Country and industry factors in tests of Capital Asset Pricing Models for partially integrated emerging markets

Existing literature has produced broadly inconclusive evidence about the asset pricing model which best fits partially integrated markets. This paper examines whether industry and country factors are independent factors helping to determine returns in emerging stock markets, or are derived from the stocks’ risk-return characteristics. We link the country-industry decomposition framework to the local and the Global CAPM in a new and more direct way. The results show that country factors are additional independent sources of cross-sectional variation in stock returns before 1996 particularly under the Global CAPM. After 1996, the results suggest partial integration: industry and country factors are both additional independent determinants of cross-sectional variations in stock returns. .     

Equilibrium relations in a capital asset market: A mean absolute deviation approach

We consider the equilibrium in a capital asset market where the risk is measured by the absolute deviation, instead of the standard deviation of the rate of return of the portfolio. It is shown that the equilibrium relations proved by Mossin for the mean variance (MV) model can also be proved for the mean absolute deviation (MAD) model under similar assumptions on the capital market. In particular, a sufficient condition is derived for the existence of a unique nonnegative equilibrium price vector and derive its explicit formula in terms of exogeneously determined variables. Also, we prove relations between the expected rate of return of individual assets and the market portfolio.     

资本资产定价理论与市场经济

资本资产定价模型(CAPM)是威廉·夏普于1964年在马克威茨的资产组合理论和托宾分离定理的基础上通过增加一些条件而建立起来的资本市场均衡定价模型。在CAPM的假设前提下,资本市场被带入一种所有的投资者持有相同风险资产市场组合的均衡状态,在这种状态下经济中所有的风险资产特别是企业资产都具有完全相同的所有权结构。从而将经济带入一种所有企业之间不存在利益冲突的"准公有制"状态,市场经济制度也将不复存在。如果我们认为这一结论是荒谬的,那问题一定出在CAPM的假设条件以及由此假设条件所推出的市场均衡,自然,建立在这种均衡状态下的资本资产定价模型的现实性也是成问题的。     

Attribution of hedge fund returns using a Kalman filter

Hedge funds offer attractive investment possibilities because they engage in investment styles and opportunity sets which – because they are different from traditional asset class funds – generate different risk exposures. Conventional wisdom holds that hedge funds add value and provide unique investment opportunities because of their ability to invest in disparate risk exposures, and via the manager’s skill in selecting stocks and timing the market. In this article, a Kalman filter is used to decompose the time series of hedge fund returns into market timing and stock selection factors to establish whether fund managers really do generate statistically significant abnormal profits. Compelling evidence supports an alternative interpretation for the market timing return constituent. This work represents the first time the Kalman filter has been used to extract a time series of the capital asset pricing model’s dynamic variables for determining return component magnitudes.     

CAPM在上海证券市场的实证研究

对上海股票市场的价格进行研究的目的是检验投资组合的平均收益和系统性风险β的关系是否符合传统的CAPM理论.横截面检验结论表明:上海股票市场股票的定价并不完全符合CAPM的预期,风险不是决定收益的惟一因素,而资产收益率和流通比例因素起着重要作用.     

Share Prices and Macroeconomic Factors

The APT with macroeconomic factors put forward by Chen, Roll and Ross (1986) was tested using monthly Australian sectoral share-price indexes for 1980–1994. The inflation rate was found to be consistently priced. The significance of other factors was found to depend on the choice of sample period and estimation method. The model was compared to both an APT with artificial factors and the CAPM. Both versions of the APT were found to clearly out-perform the CAPM but neither version of the APT was clearly superior to the other in terms of both within- and out-of-sample explanatory power.     

Time‐Varying Risk–Return Trade‐off in the Stock Market

We uncover a strong comovement of the stock market risk–return trade‐off with the consumption–wealth ratio (CAY). The finding reflects time‐varying investment opportunities rather than countercyclical aggregate relative risk aversion. Specifically, the partial risk–return trade‐off is positive and constant when we control for CAY as a proxy for investment opportunities. Moreover, conditional market variance scaled by CAY is negatively priced in the cross‐section of stock returns. Our results are consistent with a limited stock market participation model, in which shareholders require an illiquidity premium that increases with CAY, in addition to the risk premium that is proportional to conditional market variance.