《投资学第五章》课件.ppt

CAPM估计 在实际操作中，为了应用这个定价公式，我们应该估计三个量：无风险利率，市场证券组合的期望收益率，被定价证券的beta值。我们可以用中、长期国债的利率来近似地代替无风险利率，用某种市场指标或者证券市场指数（例如，上证指数，深证指数等）的收益率来代替市场证券组合的期望收益率。至于证券的Beta值，我们可以利用历史数据，通过统计方法来得到。 Testing CAPM Estimating beta of each stock Regress actual excess returns against beta (cross-sectional) Compute average across all months (time-series) If CAPM holds, and  Roll批判 The only legitimate of the CAPM is whether or not the market portfolio (which includes all assets) is mean-variance efficient. If performance is measured relative to an index that is ex post efficient, then from the mathematics of the efficient set no security will have abnormal performance when measured as a departure from the security market line.  Roll批判 If performance is measured relative to an index that is ex post inefficient, then any ranking of portfolio performance is possible, depending on which inefficient index has been chosen. The only way to test the CAPM directly is to see whether or not the true market portfolio is ex post efficient. Unfortunately, because the market portfolio contains all assets(marketable and nonmarketable), it is impossible to observe. 文献 Fama E. and MacBeth J., Risk, Return and Equilibrium: Empirical Tests, Journal of Political Economy 81, 1973. Roll R., A critique of the asset pricing theory’s tests: On past and potential testability of the theory, Journal of Financial Economics 4, 1977. Testing CAPM Problems with testing CAPM: market portfolio not observable expected return not observable beta changes overtime, yet estimated beta from regressions tends to be mean reverting Implications of CAPM Passive investment Index funds Fund performance Example Example * CML的直线方程为 这里， 和 表示有效证券组合的期望收益率和标准差。 方程 解释 均衡证券市场的特征可以由两个关键的数字来刻画。 第一个是CML直线方程的截距，称为时间价值； 第二个是CML直线方程的斜率，称为风险的价值。它告诉我们，当有效证券组合收益率的标准差增加一个单位时，期望收益率应该增加的数量。 从本质来看，证券市场为时间和风险的交易提供场所，使得它们的价格由市场的供求关系决定。 资本市场线 风险的市场价格（market price of risk）: 引入效用函数 We have: So: 最优化 First