第五章资本资产定价模型 (CAPM)
第五章 资本资产定价模型 （CAPM）
Markowitz模型与CAPM之间的关系 CAPM假设 市场证券组合 均衡 资本市场线 ■证券市场线 CAPM拓展 ■CAPM模型实证检验
◼ Markowitz 模型与CAPM之间的关系 ◼ CAPM假设 ◼ 市场证券组合 ◼ 均衡 ◼ 资本市场线 ◼ 证券市场线 ◼ CAPM拓展 ◼ CAPM模型实证检验
0. Markov忆z模型与CAPM Markowitz A4: how to select a portfolio given that we know what the expected returns and return covariances are However, we dont yet know where to get estimates of these data Particularly since expected returns are very hard to measure, one thing that would be useful, but which we don t yet have, is a model of what returns should be The CaPM is an equilibrium model of the relation between the expected rate of return and the return covariances for all assets Equilibrium is an economics term that characterizes a situation where no investor wants to do anything differently -----We will need this concept to come up with a pricing model Note that the markowitz portfolio problem is relevant for each investor, regardless of whether the equilibrium argument, and the CAPM, is correct or not
0. Markowitz 模型与CAPM ◼ Markowitz 模型: how to select a portfolio, given that we know what the expected returns and return covariances are. ◼ However, we don't yet know where to get estimates of these data. ◼ Particularly since expected returns are very hard to measure, one thing that would be useful, but which we don't yet have, is a model of what returns should be. ◼ The CAPM is an equilibrium model of the relation between the expected rate of return and the return covariances for all assets. ◼ Equilibrium is an economics term that characterizes a situation where no investor wants to do anything differently -----We will need this concept to come up with a pricing model. ◼ Note that the Markowitz portfolio problem is relevant for each investor, regardless of whether the equilibrium argument, and the CAPM, is correct or not
■CAPM是现代金融经济学的中心之 CAPM给出了资产的风险和收益之间关系 的一种精确预测 为评估可行投资提供了一个基准收益率 帮助我们对证券的回报率作出估计
◼ CAPM是现代金融经济学的中心之一。 ◼ CAPM给出了资产的风险和收益之间关系 的一种精确预测 ◼ 为评估可行投资提供了一个基准收益率 ◼ 帮助我们对证券的回报率作出估计
The approach we will take is to ask; if everyone in the economy holds an efficient portfolio then how should securities be priced so that they are actually bought 100% in equilibrium? For example if based on the prices/ expected returns our model comes up with, we found that IBM would never enter any maximizing investor's portfolio(long), then something is wrong IBM would be priced too high(offer too low an expected rate of return) The price of IBM would have to fall to the point where in aggregate, investors want to hold exactly the number of IBM shares outstanding Similarly, if we found that every one of a million optimizing investors would want to purchase $1M worth of Intel, and there are only $1B worth of Intel shares, our model's price for Intel must be too low So, what sort of prices(risk return relationships are feasible in equilibrium? This is the question we will try to answer with the CAPM
◼ The approach we will take is to ask: if everyone in the economy holds an efficient portfolio, then how should securities be priced so that they are actually bought 100% in equilibrium? ◼ For example, if based on the prices/expected returns our model comes up with, we found that IBM would never enter any maximizing investor's portfolio (long), then something is wrong. ◼ IBM would be priced too high (offer too low an expected rate of return). ◼ The price of IBM would have to fall to the point where, in aggregate, investors want to hold exactly the number of IBM shares outstanding. ◼ Similarly, if we found that every one of a million optimizing investors would want to purchase $1M worth of Intel, and there are only $1B worth of Intel shares, our model's price for Intel must be too low. ◼ So, what sort of prices (risk/return relationships) are feasible in equilibrium? This is the question we will try to answer with the CAPM