Đang tải... (xem toàn văn)
Báo cáo đề tài Mô hình định giá tài sản vốn The Capital Asset Pricing Model: Theory and Evidence The attraction of the CAPM is that it offers powerful and intuitively pleasing predictions about how to measure risk and the relation between expected return and risk. Unfortunately, the empirical record of the model is poor—poor enough to invalidate the way it is used in applications.
L/O/G/O The Capital Asset Pricing Model: Theory and Evidence Eugene F. Fama and Kenneth R. French (summer 2004) The Capital Asset Pricing Model: Theory and Evidence Eugene F. Fama and Kenneth R. French (summer 2004) Members: 1. Trần Văn Hùng 2. Võ Trung Nhân 3. Hồ Thị Đoan Trang 4. Trương Ngọc Quỳnh Trang ABSTRACT ABSTRACT The attraction of the CAPM is that it offers powerful and intuitively pleasing predictions about how to measure risk and the relation between expected return and risk. Unfortunately, the empirical record of the model is poor—poor enough to invalidate the way it is used in applications. Contents Contents 1 2 3 The Logic of the CAPM Early Empirical Tests Alternative models 7 1 The Logic of the CAPM The Logic of the CAPM Investors choose “mean- variance-efficient” portfolios. minimize the variance of portfolio return, given expected return maximize expected return, given variance Markowitz’s model The model assumes investors are risk averse and, when choosing among portfolios, they care only about the mean and variance of their one- period investment return. • Investors agree on the joint distribution of asset returns from t – 1 to t. • And this distribution is the true one. complete agreement there is borrowing and lending at a risk-free rate, which is the same for all investors and does not depend on the amount borrowed or lent risk-free rate The Logic of the CAPM The Logic of the CAPM Sharpe (1964) and Lintner (1965) add two key assumptions The Logic of the CAPM The Logic of the CAPM E(Ri) = RF + [E(RM) – RF] βiM Market portfolio M must be on the minimum variance frontier The Logic of the CAPM The Logic of the CAPM Fischer Black (1972) Fischer Black (1972) Unrestricted risk-free borrowing and lending is an unrealistic assumption The market portfolio is efficient, which means that the minimum variance condition for M given above holds E(RZM) must be less than the expected market return, premium for beta is positive allowing unrestricted short sales of risky assets The assumption that short selling is unrestricted is unrealistic Jensen (1968) Blume (1970), Friend & Blume (1970) and Black, Jensen & Scholes (1972) Merton 1973 ) Basu (1977) Banz (1981) Early Empirical Tests Early Empirical Tests Gibbons, Ross & Shanken (1989) Fama and MacBeth (1973) Statman (1980), Rosenberg, Reid & Lanstein (1985) Friend & Blume (1970), Black, Jensen & Scholes (1972), Stambaugh (1982) Fama and French (1992, 1993)… Beta premium is positive Assets uncorrelated with the market have expected returns equal to the risk-free interest rate, and the beta premium is the expected market return minus the risk-free rate Expected returns on all assets are linearly related to their betas, and no other variable has marginal explanatory power Tests of the CAPM are based on three implications Early Empirical Tests Early Empirical Tests [...]... Tests on Risk Premiums The intercepts in time-series regressions of excess asset returns on the excess market return are positive for assets Friend and Blume (1970), Black, Jensen and with low betas and negative for assets with high betas Scholes (1972) and Stambaugh (1982) Douglas (1968), Black, Jensen and Scholes (1972), Miller and Scholes (1972), Blume and Friend (1973), Fama and MacBeth (1973) Blume... (1970) and Black, Jensen &Scholes (1972) The intercept is greater than the average risk-free rate and the coefficient on beta is less than the average excess market return The evidence show that the relation between beta and average return is too flat Fischer Black (1972) Fama-Macbeth 1973 Blume (1970), Friend &Blume (1970) Blume (1970), Friend &Blume (1970) and Black, Jensen &Scholes (1972) and Black,... unrealistic assumptions The Market Proxy Problem Fama and French (1998) Stambaugh (1982) When proxies are used in tests of the model show up as If international capital Tests of the CAPM are not sensitive to expanding the market proxy beyond common stocks markets are open and asset prices conform to an international version of the CAPM, the market portfolio should include international assets betas for a... Arbitrage pricing theory TSSL có thể được mô tả bằng một mô hình nhân tố cơ hội kinh doanh chênh lêch Không có Bốn giả định số lượng chứng khoán Thị trường tài chính không có các bất hoàn hảo đủ lớn để xây dựng một danh mục đầu tư có khả năng đa dạng hóa rủi ro đặc thù của công ty Arbitrage pricing theory Arbitrage pricing theory Sự thay đổi trong GNP được chỉ Sự thay đổi trong lạm phát 1 2 ra bởi chỉ số sản. .. Premiums Estimates of beta for individual assets are imprecise The regression residuals French and Blume (1970) and Black, Jensen and Scholes (1972) work with portfolios, rather than individual securities to reduces the critical errors in variables problem Fama and MacBeth (1973) propose a method for addressing the inference problem caused by correlation of the residuals in cross-section regressions... 1986 Three-factor model Fama and French (1993, 1996) HMLt is the difference between the returns on diversified portfolios of high and low B/M stocks SMBt is the difference between the returns on diversified portfolios of small and big stocks Carhart 1997 Early Empirical Tests Explanations: Irrational Pricing or Risk Their view is based on evidence that stocks with high ratios of book value to market... Shleifer and Vishny, 1994; Fama and French, 1995) The behavioralists argue that sortingfirms on book-to-market ratios exposes investor overreaction to good and bad times Investors overextrapolate past performance, resulting in stock prices that are too high for growth (low B/M) firms and too low for distressed (high B/M, so-called value)firms The need for a more complicated asset pricing model The CAPM... portfolio cannot explain the high average returns observed around the world on stocks with high BE/ME or high E/P ratios bad estimates of expected returns in applications: estimates of the cost of equity capital that are too low for small stocks and for stocks with high BE/ME ratios Conclusions The CAPM, like Markowitz’s (1952, 1959) portfolio model on which it is built, is nevertheless a theoretical tour... theoretical tour de force We continue to teach the CAPM as an introduction to the fundamental concepts of portfolio theory and asset pricing, to be built on by more complicated models like Merton’s (1973) ICAPM But we also warn students that despite its seductive simplicity, the CAPM’s empirical problems probably invalidate its use in applications PHẦN MỞ RỘNG Các giả định của CAPM Với trường hợp có thuế Với... (1972) Fama and French size, E/P, D/E and B/M ratios add to the explanation of expected (1992) stock returns provided by market beta Statman (1980) and Rosenberg, Reid and Lanstein (1985) Bhandari (1988) stocks with high book-to-market equity ratios have high average returns that are not captured by their betas high debt-equity ratios are associated with returns that are too high relative to their market . L/O/G/O The Capital Asset Pricing Model: Theory and Evidence Eugene F. Fama and Kenneth R. French (summer 2004) The Capital Asset Pricing Model: Theory and Evidence Eugene F. Fama and Kenneth. return maximize expected return, given variance Markowitz’s model The model assumes investors are risk averse and, when choosing among portfolios, they care only about the mean and variance. empirical record of the model is poor—poor enough to invalidate the way it is used in applications. Contents Contents 1 2 3 The Logic of the CAPM Early Empirical Tests Alternative models 7 1 The Logic