資本資產(chǎn)定價(jià)模型
:portion of funds in asset i
Assume:
stock A +1%,=75%, stock B - 2%,
=-25%
=1%75% + (-2%)(-25%)=1.25%
the market portfolio
Cap weighted
The CAPM equation:
particular stock return = market + residual
CAPM says:
CAPM vs Active managment
passive: buy index and hold
active: pick stocks, buy underweight, sell overweight
for :
- CAPM says
is random, and
- however, active managers believe they can predict
CAPM for portfolios
[CAPM]
[Active]
Implications of CAPM
- Expected value of
- Only way to beat market is choose
- Choose high
in up markets
- choose low
in down markets
- Efficent Market Hypothesis(EMH)
says you can't predict the market, so CAPM says you can't beat market.
Arbitrage Pricing Theory (APT, 套利定價(jià)理論)
- Stephen Rors, 1976
CAPM = Ocean
