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

14 Pages Posted: 30 Jan 2021

See all articles by Deng-Ta Chen

Deng-Ta Chen

City College, Xi'an Jiaotong University

Date Written: September 2, 2020

Abstract

Chinese Abstract: CAPM 公式等价于投资者持有的风险证券最优组合是市场组合。CAPM 公式是半均衡定价,我们求解出 CAPM 公式中基本证券的价格通解。给定投资者的禀赋和均值方差偏好,我们找到 CAPM 市场的均衡解,揭示均衡定价中的整体思维。通过理论分析,以及普通欧式期权负价格的例子表明,CAPM 公式只能为可达的(市场支付空间内)资产定价,因为贝塔定价是基于基本证券价格为市场中的证券组合进行线性定价,是资产组合律的直接应用。因此,CAPM 公式的各种应用,需要重新审视。

English Abstract: The CAPM formula is equivalent to the optimal portfolio of risky securities held by any investor is the market portfolio. The CAPM formula is a semi-equilibrium pricing formula, and we discover the general solution for the prices of primitive securities in the CAPM formula. Given the investors’ endowments and mean-variance preferences, we find the equilibrium solution of the CAPM market, which reveals the overall thinking in equilibrium pricing. Through theoretical analysis and the example of the negative price of ordinary European options, we show that the CAPM formula can only price the assets that are reachable (within the market payoff space), because beta pricing is based on the prices of primitive securities to compute the linear pricing of the asset portfolio in the market. Which follows directly from the law of asset portfolio. Therefore, the various applications of the CAPM formula need to be reexamined.

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

Suggested Citation

Chen, Deng-Ta, 哪些资产可以应用 CAPM 定价公式?(Which Assets Can Be Priced by CAPM Formula?) (September 2, 2020). Available at SSRN: https://ssrn.com/abstract=3734094 or http://dx.doi.org/10.2139/ssrn.3734094

Deng-Ta Chen (Contact Author)

City College, Xi'an Jiaotong University ( email )

China

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