贝塔与系统风险 (Beta and Systematic Risk)
17 Pages Posted: 30 Jan 2021
Date Written: September 20, 2020
Chinese Abstract: CAPM 公式被解释为风险与期望收益率的关系，贝塔代表系统风险，决定基本证券的风险溢价。基于 CAPM 市场均衡的解析解，我们看到基本证券的期望收益率和贝塔都是内生的，都由基本证券的支付以及投资者的禀赋和偏好等市场基本设定共同决定。当 CAPM 均衡存在套利机会时，用贝塔进行定价是没有意义的。从均衡定价的角度，我们看到风险教条的错误有：把单个证券的定价从整体中割裂出来，把市场组合当成是外生的，以及逻辑上存在循环论证。
English Abstract: The CAPM formula is interpreted as the relationship between risk and expected rate of return, where beta measures systematic risk and determines the risk premium of given primitive security. Based on the analytical solution of the CAPM market equilibrium, we see that the expected rate of return and beta of any primitive security are both endogenous, and they are both determined by the basic market settings, such as the payoffs of primitive securities and the investors’ endowment and preference. When there are arbitrage opportunities in the CAPM equilibrium, it is meaningless to use beta for pricing. From the perspective of equilibrium pricing, we see that the mistakes of the pricing by risk dogma are: the pricing of an individual security is separated from the whole portfolio, the market portfolio is regarded as exogenous, and the logical circularity built into the risk dogma.
Note: Downloadable document is in Chinese.
Keywords: CAPM, 贝塔, 时序贝塔, 套利机会, 系统风险
JEL Classification: G12
Suggested Citation: Suggested Citation