资本资产定价模型课堂
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1、2023-1-2812023-1-2822023-1-2832023-1-2842023-1-2852023-1-2862023-1-2872023-1-2882023-1-2892023-1-28102023-1-28112023-1-28122012uaa Va V120,0aa()iViu Ve 2023-1-2813212ioiiuaa va v2121121211121222122()()()()()()()NNiiioiiiiNNNoiiiiiiiiooE upup aaVa Va pa pVa pVaa E Va E Vaa E Va E VaV2023-1-28142023-1
2、-28152023-1-28162023-1-28172023-1-2818frMrM2023-1-28192023-1-2820fr(1)fMrr()()MfpfpME rrE rrfr N2023-1-2821fr N2023-1-28222023-1-2823Mr11nijyMcov(,)jkjkr rfr2023-1-28242()()cov(,)MfjfjMME rrE rrrr2023-1-2825MfrP()(1)()pfMpME rrE r()()()ppMppMfddddE rddE rE rr2023-1-2826jMj1jj pE rjMj()(1)()()pjME rE
3、 rE r2023-1-28271jMjM1()()pccpdddE rdE r2222(1)2(1)cov(,)cjjjMMr r 222(1)2(1 2)cov(,)2cjjjMMdr rd 2023-1-282822cccdddd2(1)(12)cov(,)jjjmMccr rdd 1()()()cMjddE rE rE r2023-1-28292(1)(1 2)cov(,)/()()()()jjjmMcccccMjr rddddErddErErEr 21cov(,)()()()jMMcccMjr rddE rE rE r1|cM2cov(,)()()()()jMMpMMMjpMfr r
4、dE rE rdE rE rr2023-1-28302()()()cov(,)()MfjMjMMfME rrE rE rr rE rr2()()cov(,)MfjfjMME rrE rrr r2()()cov(,)MfjfjMME rrE rrr r2023-1-2831,1,1,iiyhin 11niiy11()()nMiiiErh Er111111cov(,)cov(,)cov(,)nnnjMik kjkkjkkikkr rrh rr r hh121()()nMfjfjkkkME rrE rrh(5.3)2023-1-2832121cov(,)nMjjMkhr rjMMjj2023-1-2
5、8332jM2jMjMj()()jfjMfE rrE rr(5.4)2023-1-283411()()()()jMjMnjkkMfkjfMMMfpMphE rrE rrE rrdE rd(5.5)dd（收益）风险补偿（证券风险）（风险）121()()nMfjfjkkkME rrE rrh2023-1-2835()(),;jkjkjkErEror()(),;jkjkjkE rE ror()(),jkjkjkE rE ror2023-1-2836111mThm121(,)Tnhhhh121(),(),()TffnfmE rr E rrE rr1(1,1)T12023-1-28372()MfkkME
6、 rruh11211()()nnMfjjfjk kjkkkkME rrmE rrhu1muum 121()()nMfjfjkkkME rrE rrh2023-1-2838111nkkhkh11kknkkuhu1111TTmuhum2023-1-2839Wfr11,nyy()maxpfpE rr11njjstyW：2023-1-28401121,1()();()nnpjjpijijki jE ry E ry y(),pfpE rrmaxP2023-1-2841fr()(1)()MfpMpE rrE r()()()()MMfpffpfppffmfMpE rrE rrrE rrE rrrr()()m
7、axmaxpfMfpME rrE rr2023-1-2842()()(),1,1MfjfMMMjE rrE rrdE rcons jnd()(),1,1jfkfjkE rrE rrj knpjjdd y2023-1-2843max2()()0,jfMMfjpjjMjp mE rrE rrdddydy()()0jfMMfjE rrE rr()()jfMfjME rrE rr2023-1-28441()(),nMjjjE rE r y111,0,nnjjjjydy1111()()()()()()nnMjjjfjjjnMfMjjMjnMfMfMjMjMjMdE rE r dyE rr dyE rrd
8、dydyE rrE rrddyddy2023-1-2845()()MfMMME rrdE rd()MfME rrcons2023-1-2846()()()ppfjfpppjdE rE rrE rrconsdddhijyhW2023-1-284711()njfjjpE rr h2()()(/)0jfppfpjjpE rrE rrddhddh()()pfpjfpjE rrdE rrdh1,1jn2023-1-284811111111()()()()()()nnpjjjfjjjnpfpjjpjnpfppfjpjpjpdE rE r dhE rr dhE rrddhdhE rrdE rrdhddh()
9、()ppfjfpppjdrE rrE rrdddh2023-1-2849()ppfppdrE rrd()/pfpE rr（）2023-1-2850221221()()()2()()cov(,)()pfppfpifpjpjnpfpfjjppppfjE rrdE rrdE rrdhdhE rrE rrhr rE rr2023-1-2851111Tmhm2023-1-2852pprMfrfrAfCr2023-1-2853PrMrfrMP2023-1-285422221/2(1)(1)(1)2(1)(2)piMpiMiMrara raaaa 2023-1-285522222221/222224;2(1
10、)2(1)ppiMMiMiMiMiMiMraaarraaaaaa200,.,ppiMMiMMaarrraa2023-1-285620/()/ppiMppiMMMarrarra2()/MfiMiMMMMrrrr()/MfMrr2023-1-28572023-1-28582023-1-28592023-1-28602023-1-28612023-1-28622023-1-28632023-1-28642023-1-2865MMrM1MPrPMfpfpMrrrrpMM 2023-1-2866()MfME rr2023-1-2867MfpfpMrrrrpprMfrMrM2023-1-28682023-
11、1-28692023-1-28702023-1-28712023-1-28722023-1-28732023-1-2874001IimiWW2023-1-2875(,)ijfr r(,)ijDfNr r0(,)(,)ijDjfijfiP NrrrrW1(,)(,)jijIDDffiNr rNr r2023-1-2876 (,)DjfjNr rN0011(,)INiijfmijr r WW2023-1-2877(,)Djjfjjp Nr rp N111111(,)(,)(,)NNNIDDjjjjfjijfjjjiNIDjijfjip Np Nr rpNr rp Nr r2023-1-287800
12、111(,)NINijjijfmjijp Nr r WW0101100(,)(,)DjjjjfmjNmjjjIIDijijfijiimmp Np Nr rWp NpNr rWWW2023-1-2879 0011001iiIImjijiimmWWWW且 2023-1-28802023-1-28812023-1-28822023-1-28832023-1-28842023-1-28852023-1-28862023-1-28872023-1-28882023-1-2889i()2()iMFrFiMME rrEr2()(),imiFMFiimE rrE rr2023-1-28902023-1-289
13、12023-1-2892()()pfpmfE rrE rr1nPiii 2023-1-2893()()ifiMMfE rrE rr2iMiMMi 2023-1-2894SML()iE r()ME rfr()ifE rr2023-1-28952()()ifmfimmE rrE rr2023-1-28961nMiMiMi。iMiiMi2023-1-2897()mE r()E rMfr2023-1-28982023-1-28992023-1-28100fr2023-1-281012023-1-281022023-1-281032023-1-281042023-1-281052023-1-281061
14、j1j1j2023-1-28107()()pfpMfE rrE rr1npjjj 2023-1-281082023-1-281092023-1-28110Rx=13%E(r)SMLb1.0Rm=11%Ry=7.8%3%1.25bx0.6By .082023-1-281112023-1-281122023-1-281132023-1-28114jfr()mfErr2023-1-281152023-1-28116 2023-1-28117(1)JtfJJ MtJtrrr2023-1-28118JA(1)fJr(,)ffrrJtrJ2023-1-28119iii mirr()()iiimE rE r
15、2023-1-281202023-1-28121 i()()iiieE rE rii()()iefimfE rrE rr()()iifimfE rrE rr()()ifiimfE rrE rr2023-1-281222023-1-28123i2023-1-28124()()ifimfE rrE rr()(1)()ifiimE rrE r(1)ifir(1)ifii mrrr(1)fir(1)ifir2023-1-281252023-1-28126(,)ffr r2023-1-281272023-1-281282023-1-281292023-1-28130()()E rrJ2222()()()
16、JJMJrr 2()0J()()JJMrr()()()()JJfMfMrE rrE rrr2023-1-281312()0J()()JJMrr()()()()jJMfMrE rE rrrJ2023-1-28132()()E rr()()JfMfJE rrE rr2cov(,)/()jjMMr rrcov(,)()()jMJMJMr rrr()()()()mfjfJMJME rrE rrrr2023-1-28133JM 2023-1-281342023-1-281352023-1-28136()E rZZ()rZ2023-1-28137ZBZZM()zE r2023-1-2813822222()
17、()(1)()()()(1)()2(1)()()PMMMZPMMMZMmMZMZE rE rE rrrrrr PM P2023-1-28139(),()ZZE rE r2023-1-28140002cov(,)()iMiMiMMMr rrrrrr2023-1-28141()()(1)()()qqpzc pqppE rE rE r2023-1-28142()()()Mzc ME rE r()()()()()()qzc MqMMzc ME rE rE rE r()()zc MEr 2023-1-281432023-1-28144L1T2TbR1R()E R02023-1-281452023-1-2
18、814611()KkkfkifikKkkrrrrikk 2023-1-281472023-1-281482023-1-281492023-1-28150 2023-1-281512023-1-281522023-1-281532023-1-28154 2023-1-28155 2023-1-28156 0.05 1.30.100.0511.5%Ar 0.050.70.100.058.5%Br 2023-1-28157 ir i2023-1-28158()()jfMfE rrE rr2jjmm()jE rj2023-1-28159pQQPrP()()fmfE QPrE rrP()1()fmfE
19、QPrE rr2023-1-281601QrP22cov(/1),cov(,)mmmmQ PrQ rP2cov(,)()1()1mmffmQ rE rrPE Qr2023-1-28161 110002218002pVpcov(,)0.045;0.30;0.10;()0.20MfMx rrE r2023-1-281622)(0.20 0.10()cov(,)0.100.045 0.150.09MME rrfE rrx rf11100080090022(2)E V2023-1-28163cov(,)7BrxMcov(,)0.045;0.30;0.10;0.20Mx rrE rMf）（()1080.
20、7500.390.67E B 2023-1-281642()(/)cov(,)190.60(0.200.10/0.09)775.291.10E BErrB xMMMfPr)90.6075.29(20.33%75.29E rB2023-1-281652023-1-28166()()PfPPMfPrrrr0P0P0P2023-1-28167。2023-1-28168 frMfrr2023-1-281692023-1-281702023-1-28171()1()fmffmfqprrrrpqprrr随机条件下的贴现率（风险调整下的利率）随机条件下的贴现率（风险调整下的利率）2023-1-281721000876(1.10.6(0.170.10)p 万美元）2023-1-28173 123 fr期望收益率市场风险收益与规模相关的风险收益账面市值比风险收益2023-1-281742023-1-281752023-1-281762023-1-281772023-1-281782023-1-281792023-1-281802023-1-281812023-1-281822023-1-281832023-1-281842023-1-281852023-1-28186
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