【正文】 nstruction Cov(r M， r Z(M) )＝ 0 , the expression simplifies to ? ? 2)()( ),()()()()(MMiMZMMZirrC o vrErErErE????960 零貝塔市場(chǎng)模型 Zero Beta Market Model ? ? 2)()( ),()()()()(MMiMZMMZirrC o vrErErErE????式中的資產(chǎn)組合 P與資產(chǎn)組合 Q分別由市場(chǎng)資產(chǎn)組合 M及 Z(M)代替。上式可視為一個(gè)簡(jiǎn)化了的 CAPM模型，在其中， E(r z (m)) 取代了 rf 。 where P has been replaced by M and Q has been replaced by Z(M). Equation may be interpreted as a variant of the simple CAPM, in which r f has been replaced with E(r z (m)) 961 資本資產(chǎn)定價(jià)模型和流動(dòng)性 CAPM amp。 Liquidity 流動(dòng)性 流動(dòng)性是指資產(chǎn)轉(zhuǎn)化為現(xiàn)金時(shí)所需的費(fèi)用與便捷程度。交易者非常注重流動(dòng)性，一些研究證實(shí)缺乏流動(dòng)性將大大降低資產(chǎn)的市場(chǎng)出售價(jià)格水平。 Liquidity Liquidity refers to the cost and ease with which an asset can be converted into cash, that is, sold. Traders have long recognized the importance of liquidity, and some evidence suggests that illiquidity can reduce market prices substantially. 962 資本資產(chǎn)定價(jià)模型和流動(dòng)性 CAPM amp。 Liquidity 非流動(dòng)溢價(jià) Illiquidity Premium 流動(dòng)性差的資產(chǎn)低價(jià)交易，流動(dòng)性高的資產(chǎn)期望收益也高，流動(dòng)性效用的大小同資產(chǎn)的交易費(fèi)用分布狀況以及投資者投資內(nèi)容的分布有關(guān)。 illiquid assets trade at lower prices or, equivalently, that the expected return on illiquid assets must be higher. 研究支持非流動(dòng)溢價(jià) Research supports a premium for illiquidity. – Amihud and Mendelson 963 流動(dòng) 溢價(jià) 的資本資產(chǎn)定價(jià)模型CAPM with a Liquidity Premium E (ri ) – rf = βi [ E(rM ) r f ] + f(ci) f (ci) = 證券 i 的流動(dòng)溢價(jià)， f (ci) 是關(guān)于 ci的一階單調(diào)遞增函數(shù)。 liquidity premium for security i 964 非流動(dòng)性與平均收益關(guān)系 Illiquidity and Average Returns 平均月收益率 Average monthly return(%) 買(mǎi)賣(mài)差價(jià) Bidask spread (%) 965 Summary CAPM 模型假定所有投資者均為單期投資，并且遵循相同的投資構(gòu)，并力求獲得具有最小方差的最優(yōu)資產(chǎn)組合。 The CAPM assumes that investors are singleperiod planners who agree on a mon input list from security analysis and seek meanvariance optimal portfolios. 966 Summary CAPM模型假定理想狀態(tài)下的股票市場(chǎng)具有以下特征： a. 股票市場(chǎng)容量足夠大，并且其中所有的投資者為價(jià)格接受者。 b. 不存在稅收與交易費(fèi)用。 c. 所有風(fēng)險(xiǎn)資產(chǎn)均可公開(kāi)交易。 d. 投資者可以以無(wú)風(fēng)險(xiǎn)利率借入或貸出任意額度資產(chǎn)。 The CAPM assumes that security markets are ideal in the sense that: a. They are large, and investors are pricetakers. b. There are no taxes or transaction costs. c. All risky assets are publicly traded. d. Investors can borrow and lend any amount at a fixed riskfree rate. 967 SUMMARY 根據(jù)以上假定，投資者持有無(wú)差異的風(fēng)險(xiǎn)資產(chǎn)組合。 CAPM模型認(rèn)為市場(chǎng)資產(chǎn)組合是唯一的具有最小方差的有相切的資產(chǎn)組合，所以消極的投資策略是有效的。 With these assumptions, all investors hold identical risky portfolios. The CAPM holds that in equilibrium the market portfolio is the unique meanvariance efficient tangency portfolio. Thus a passive strategy is efficient. 968 SUMMARY CAPM 模型中的市場(chǎng)資產(chǎn)組合是市值加權(quán)資產(chǎn)組合，其意義為所有股票在資產(chǎn)組合中的權(quán)重等于該股票的流通市值占總市值的比重。 The CAPM market portfolio is a valueweighted portfolio. Each security is held in a proportion equal to its market value divided by the total market value of all securities. 969 SUMMARY 如果市場(chǎng)資產(chǎn)組合有效且投資者平均無(wú)借入或貸出行為，則市場(chǎng)資產(chǎn)組合的風(fēng)險(xiǎn)溢價(jià)正比于其方差 σM2，投資者風(fēng)險(xiǎn)厭惡的平均相關(guān)系數(shù) A： If the market portfolio is efficient and the average investor neither borrows nor lends, then the risk premium on the market portfolio is proportional to its variance, σM2 , and to the average coefficient of risk aversion across investors, A: E (r M ) – r f = A σM2 970 SUMMARY CAPM 模型認(rèn)為任意單個(gè)資產(chǎn)或資產(chǎn)組合的風(fēng)險(xiǎn)溢價(jià)為市場(chǎng)資產(chǎn)組合的風(fēng)險(xiǎn)溢 價(jià)與貝塔系數(shù)的乘積： The CAPM implies that the risk premium on any individual asset or portfolio is the product of the risk premium on the market portfolio and the beta coefficient: E (r i ) – r f = βi [ E(r M ) r f ] 這里，貝塔系數(shù)等于作為市場(chǎng)資產(chǎn)組合方差一部分的單個(gè)資產(chǎn)同市場(chǎng)資產(chǎn)組合的協(xié)方差： where the beta coefficient is the covariance of the asset with the market portfolio as a fraction of the variance of the market portfolio βi=Cov( ri , rM )/σM2 971 SUMMARY 在 CAPM模型其他假定不變的條件下，當(dāng)無(wú)風(fēng)險(xiǎn)資產(chǎn)借入或貸出受限制時(shí)， CAPM模型的簡(jiǎn)單形式修正為零貝塔 CAPM模型。零貝塔資產(chǎn)組合期望收益率取代期 望收益 貝塔關(guān)系中的無(wú)風(fēng)險(xiǎn)利率： When riskfree investments are restricted but all other CAPM assumptions hold, then the simple version of the CAPM is replaced by its zerobeta version. Accordingly, the riskfree rate in the expected return–beta relationship is replaced by the zerobeta port folio’s expected rate of return: E (r i ) = E[ r Z( M) ] + βi E[ r M r Z( M) ] 972 SUMMARY CAPM 模型的簡(jiǎn)單形式假定投資者均是短視的行為人。當(dāng)投資者根據(jù)生命期及保留遺產(chǎn)來(lái)制定個(gè)人投資計(jì)劃時(shí)，只要投資人的偏好及股票收益率分布不變，市場(chǎng)資產(chǎn)組合就仍舊有效，并且 CAPM模型的簡(jiǎn)單形式及期望收益 貝塔關(guān)系仍然適用。 The simple version of the CAPM assumes that investors are myopic. When investors are assumed to be concerned with lifetime consumption and bequest plans, but investors’ tastes and security return distributions are stable over time, the market portfolio remains efficient and the simple version of the expected return–beta relationship holds. 973 SUMMARY 流動(dòng)費(fèi)用可以被吸收進(jìn) CAPM模型。在存在大量具有貝塔與流動(dòng)費(fèi)用 c i 任意組 合的資產(chǎn)的情況下，期望收益根據(jù)下式會(huì)哄抬以反映這一非意愿的性質(zhì)： Liquidity costs can be incorporated into the CAPM relationship. When there is a large number of assets with any bination of beta and liquidity cost c i, the expected return is bid up to reflect this undesired property according to E (r i ) – r f = βi [ E(rM ) r f ] + f ( c i )