THE CAPITAL ASSET PRICING MODEL(CAPM)

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Chapter 9

• THE CAPITAL ASSET PRICING MODEL(CAPM)

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• CHAPTER OVERVIEW
• This chapter presents the capital asset pricing
  model, which is an equilibrium model for the
  pricing of assets based upon risk. This model
  rules out the possibility of arbitrage profits,
  that is, the exploitation of mispriced
  securities. The chapter begins with a simplified
  two-security example that develops the concept of
  demand for shares and how prices of securities
  would change with changes in demand. The
  presentation includes the assumptions that
  underlie the CAPM, major implications of model
  and development of the Security Market Line.
  Extensions covered in the chapter include the
  zero beta model and incorporation of liquidity
  costs.

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• LEARNING OBJECTIVES
• After studying this chapter, the student should
  have a thorough understanding of the development
  and the theory of the capital asset pricing model
  (CAPM), to be able to construct and use the
  security market line. The student should also
  have a thorough understanding of the zero beta
  formulization and the impact that differential
  liquidity costs may have on expected return.

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Capital Asset Pricing Model (CAPM)

• It is the equilibrium model that underlies all
  modern financial theory.
• Derived using principles of diversification with
  simplified assumptions.
• Markowitz, Sharpe, Lintner and Mossin are
  researchers credited with its development.

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Capital Asset Pricing Model (CAPM)

• ???????????????????????????????
• ??.?????1952?????????????,12??,??.??(william
  sharp)???.???(John Lintner)??.??(Jan
  Mossin)???????????????

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?????CAPM???????

• (1)????????,??????????????????????????????Individu
  al investors are price takers.
• (2)?????????????????????????????????????
• (3)???????????????????????????????????????????????
  ???????????

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• (4)?????????????
• (5)??????????,???????????????
• (6)???????????????????????(????homogeneous
  expectations)

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• ???????????????????????????????????????,??????????
  
• (1)????????????????????(market porfolio,??M)
• Market portfolio contains all securities and the
  proportion of each security is its market value
  as a percentage of total market value.

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• (2)???????????????????????????????????????????
• ?? ?????????? ??????????????
• ??????????????,???????????????????,
  ??????????????

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• (3)????????????????M??????????,?????????????ß?????
  ??ß ????????????????????????????? ß???????

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• ???????????

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??????????????????

• ???????????????????????????,??????????????????,???
  ??????????????????????
• ??CAPM???,????????????????????????????????????????
  ?????????????????????????

????
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Capital Market Line
E(r)
CML
M
E(rM)
rf
?
?m
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??????????????????

• ???????????????????????,???Delta Airlines????
• ???????????0?,??????????,??????????,???????????
  ??????????????????????????????,??????, Delta
  Airlines????????????????????

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??????????????????

• ????????????????????????????,????????????????????,
  ?????,????????????????????????????????
• ??????????????????????,??????????????????(M)?

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• ??1926-1999?????500?????????9.5,????20.1?
• (1)?????????????????????????????
• (2)????????????3.5,????????????????????

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• ?? ??????????,???1926-1999?????500??????????(M)?
• ? (1)
• (2)

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• ???????(market price of risk)
• ?????????????????????????

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• CAPM????????????-????(expected return-beta
  relationship)
• ?????-?????

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• ?????????CAPM?????,????????????????,??,??????????
  

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• ????????CAPM?????
• ??

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• ??????????(M)??????????8,????22,????????25????
  ???(??1.1)?75???????(??1.25)??,????????????????
  ?

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• ??
• ????????????
• ?

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• CAPM??????????????,?

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?????(security market line,SML)

• ????-?????????????
• (security market line,SML)
• ???????????
• -?????????????????????(??????????????????????????
  ??)????????????
• -?????????????????????????????????????????????????
  ??,????????????????,?ß????????
• -???????????????????????

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Security Market Line
E(r)
SML
E(rM)
rf
b
bM 1.0
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??????

• SML?????????????????????????
• ???????????SML?
• ????????????SML??????
• ???????????????????????????a??
• ??a???????,??????????????????????
• agt 0,??????,????????
• alt 0,??????,????????
• a??????,?????????

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??????

• ??
• ?????????????14,??A?ß?1.2,????????6???CAPM??????
  ????61.2(14-6)15.6?
• ?????????A?????17,????a1.4?
• ?????????????agt 0??????????alt 0??????????

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15.6
14
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???

• XYZ????????12,????ß1,ABC????????13,
  ß1.5,????????11, 5?
• ?a,????????????

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• axyz12-51(11-5)1
• aabc13-51.5(11-5)-1
• ??xyz???????

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• ????????8,?????????????16,????????????1.3.
• (1)??CAPM???????????
• (2)????????IRR19,??????????

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• ??????????????????????????????????,??CAPM????????
  ??
• ?
• ??????????,???????????19,?????????????????18.4??
  ??????

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??????

• ????
• ????????????????
• ??????????????????????????????SML?????????????????
  ???????????????????
• ?????????????????????????????????????????????,????
  ???????????,?????
• ??????????????????????????,???????????????,???????
  ?????????????

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CAPM???????

• ?ß??????????
• ??????????,????M?????????????????????,????????????
  ??????????????????????
• ??????????
• ???????????????????,??????????????
• ???????????????????ß???????????,????????ß?????????

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CAPM???????

• ?ß??????????
• Black?1972????CAPM???
• ??????
• (1)????????????????????
• (2)??????????Q,??????????????????????Z(Q)??,??Z(
  Q)?Q???,???????????????Q???????????ß?,?????????ß
  ?????????????

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CAPM???

• ?ß??????????

E(R)
Q
P
E(RZ(Q))
Z(Q)
Z(P)
E(RZ(P))
s
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CAPM???

• ?ß??????????(?????)
• ???????????????????????????,????????????,?????????
  ??????????????????,
• ???1?,??????M????????
• ???2?,??????M????????ß???Z(M),????????M?????????ß?
  ,????????????ß??????????

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CAPM???

• ?ß????????????

CAL(N1)
CAL(N2)
P2
M
P1
Z(M)
F
0
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CAPM???(??)

• ?????CAPM???
• ???????CAPM???

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????

• ????CAPM????????????????????????????????????????
  ?????????????a????????????????CAPM??????