第六章CAPM和APT.pptVIP

CAPM和APT CAPM和APT的用途 For Profitability: To discover Undervalued Investment For Risk Management: To find Where Internal Risks lie To make Comparisons within the Industry CAPM含义 风险资产的收益由两部分组成，一部分是无风险资产的收益，另一部分是市场风险补偿。 并非风险资产承担的风险都需要补偿，需要补偿的只是系统风险。由于系统风险不能由分散化而消除，必须伴随有相应的收益来吸引投资者投资。 资本资产定价模型还指出最佳的组合是市场组合，市场组合的非系统风险最小，所有的风险投资者都会持有市场组合。 作为资本市场上的一般均衡模型，资本资产定价模型对证券的价格行为、风险——收益关系和证券风险的合适度量提供了一个简明的描述。它是第一个可以进行计量检验的金融资产定价模型。由于CAPM的简单性和可操作性，它在实际的金融资产定价、股票收益预测以及证券投资组合的建立中都发挥着重要的作用。 CAPM的主要假设 The CAPM is a theory that has only one hypothesis and only one implication. CAPM Hypothesis: The CAPM hypothesis is that each and every investor chooses an MVE portfolio. CAPM Implication: If the CAPM hypothesis is correct, then the mathematical implication is that the aggregate value-weighted market portfolio is also MVE. Listing All the CAPM Assumptions Market Assumptions: The market is perfectly competitive There are no transaction costs. There are no taxes. The investment opportunity choices are identical for each investor. Therefore, the value-weighted market portfolio is identical for all investors. It consists of all assets that can be invested in. It includes such assets as real estate, bonds, international markets, etc. The previous assumption means that are no untraded assets that only some, but not other investors can hold. That is, you cannot have your own house, or your own children, or your own education, or your own labor income, or your own executive stock options. Informational Assumptions: Financial markets are efficient There is no actual inside information that allows some investors to pick stocks better than the market can. There is no perceived inside information. That is, investors do not believe that they are able to pick stocks better than the market can. All investors share the same “opinion” about security expected rates of return and security variance/covariances. All model parameters are perfectly known: The expected rate of return on each and eve