哪些资产可以应用 CAPM 定价公式？(Which Assets Can Be Priced by CAPM Formula?)

Abstract

Chinese Abstract: 我们求解出 CAPM 公式中基本证券的价格通解。进一步地，考虑市场出清的总市值条件，我们找出 CAPM 市场的均衡解，揭示均衡定价中的整体思维。我们用数值例子说明 CAPM 均衡不排除套利机会。此外，CAPM 公式只能为可达的(市场支付空间内)资产定价，因为贝塔定价是资产组合律在CAPM市场的具体实现，即通过基本证券价格为市场中的证券组合进行线性定价。因此，CAPM 公式现有的各种应用，需要重新审视。

English Abstract: We find out the general solution for the prices of primitive securities in the pricing formula by capital asset pricing model (CAPM). Furthermore, considering the clearing condition of the total market value of risky assets, we find out the equilibrium solution of the CAPM market, which reveals the overall thinking in equilibrium pricing. We use a numerical example to illustrate that CAPM equilibrium does not exclude arbitrage opportunities. In addition, we show that the CAPM formula can only be used to price marketable (within the market payoff space) assets, because beta pricing is a realization of the law of asset portfolio in the CAPM market, that is, beta pricing is based on the prices of primitive securities to compute the linear pricing of the asset portfolio in the market. Therefore, the various existing applications of the CAPM formula need to be re-examined

Note: Downloadable document is in Chinese.

Keywords: CAPM, 市场组合, 半均衡价格, 准均衡价格, 贝塔定价

JEL Classification: G12