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CAPM R r R r r 3 DY DY I r 3 DY M..Brennen 3 D.Mayers 97 R H CAPM R R [V Cov R, R Cov R,R H ] λ V ( R R Cov( R, R H V R H D.Mayers I 4 Hageran, K 976 CAPM N N N N N w SR B R R R S B α N N w α w S R B R R αr ax u w ( S, B [ ( ] L S B [ u *( R ] L [ u *( R ] L
[ u *( R ] [ u *( R ] cov[ u,( R R ] ( u [ ( R ( R ] u ( w w a w ( R ( R R S S R S ( u a cov [ R, ( R R ] λ S ( u a ( R ( R cov cov cov ( R ( R [ R, ( R R ] [ R, ( R R ] ( ( [ ( ] [ R ] R R, R R SLB SLB ( R R cov var [ R, R ] [ ] [ ( R R ] R SLB N ( R, R R cov( R, α cov N R α R he nereporal CAPM he ulperod CAPM B
R.C.Meron 973 K CAPM a k, K K K K K K K ( x ( a (, x ( β k a (, x ( a (, x ( β ( a (, x ( a (, x ( β K k k kk k K β k k kk kk K k k k K K k k k k k k a a k k a a K K K a k a x K K x K orrow and Roseneld 984 up Meron up up ds S ( λk d π dy α d dψ g dη,..,n, S up
dm M n n n α d dψ n M S ( g dη λ K d π dy dm H αd dψ M dm H α d dψ dq M CAPM 3 Chaberlan 988 arngale represenaon and arngale proecon scalar Brownan oon sucen sasc dz β α dw dv k k W Z k k Vk 4 Kaze 99 k Consanndes 98 98 CAPM s Ds Ds T D T D T T P R { [ φ ] [ U ( CT φ ] cov[ V (, T, U ( CT φ ]} (, T V (, T T ( T R( s, T Ds V s R, (, T 3 CAPM
( R( x R( x C I C Cov Var ( R( C, R( x ( R( C x x k ( ( R( C R( x CAPM ( α α ( dc / c α var( dc / c ( dx / x, dc c d d cov / 4 CAPM Mcdonald 983 Lee CAPM SLB: ( R ( β R β ( R H H H H H H N λ ( R [ ( R ], λ H N H k H k / ( ( ( ( H H λ λ λ R β R β R µ CAPM ( ( ln R λ k Rk λ ( R, λ [ ] / λ, λ k????.46.7 CS 5 CAPM Mahur,Peengll,Sundara 995 SLB CAPM a posve relaon durng posve arke excess reurn perods and a negave relaon durng negave arke excess reurn perods
Faa Macbeh 973 R ˆ γˆ δ β γˆ ( δ β ε γ ( R R >, δ ( R R <, δ? H? H? > H? H? <?? Renganu 98 Tnc Wes 984 agannahan,wang 996 CAPM Mayers97 CAPM.5.5.875.5.75.5.5.5 5.5.75 5 CAPM CAPM [ R I ] γ γ β β Cov( R R I Var( R I, /
γ γ [ R ] γ γ β Cov( γ β, γ [ γ ] γ [ γ ] β [ β ] Cov( β γ Var( γ β ϑ 3, / ( γ γ η β ϑ [ η ], [ η γ ], 3 [ R ] γ γ β Var( γ ϑ 4 β ϑ ( R, R Var( R β Cov / 5 β γ ( R γ Var( γ Cov, / [ ] γ α α β α β 6 R pre γ β BAA pre k kr pre R pre R AAA pre pre ( R R Var( R Cov, / 6 pre [ R ] c c β c β 7 pre R φ φ R
β ( R, R Var( R Cov / 5 [ R ] c β 8 c R β labor φ φ R φ R 9 labor labor labor labor ( R, R Var( R Cov / 9 5 β b β b β labor labor pre labor [ R ] c c β c β c β LP pre labor pre labor [ R ] c c log( M c β c β c β sze H [ A R R ] [ w ( δ ] A[ w ( δ ] τ τ ( pre labor Hansen agannahan dsance CAPM 7 H dsance.684 Chen Roll Ross 986 I I 3 I 3 4 I 4 Faa French 3 Bodurha Mark 99 ARCH CAPM β ( r I β ( r I, I, I cov var ( r, r I ( r I
I β I CAPM ( r β ( r,, I cov var ( r, r ( r ( r u r β, ( r u r cov( r, r ( u u var ( r ( u ( u u ( u ( r u r s ( u γ γ u k ( uu α αu u ARCH 3 3 h ( r π r π h 3 p p 3 BM NYS 3 CAPM CAPM 3
( uu ( u r ( r u an 4 Ng 99 CAPM ARCH M s r ψ u ψ γ γ u Ng GARCH BM ARCH Ng BM 5 Fsher, Kan 985 ( φ ( / x y x / φ x φ x y / x β φ φ x x X X, X R R y Y Y, Y R R β C φ x y / C x φ C φ φ C GLS φ φ KChφhxh h ( x C / s CAPM CAPM BS 97 BS 96 965 NYS
96 93 NYS 93 97 93 BS 93 965 CAPM FM 974 Faa MacBeh FM BS BS NYS 96 99 NYS BS 93 934 934 935 938 FM α α β α β ε rp 9., 35 P P P, 35 CAPM FM a CAPM FM FM RV P M ε M ( ( ε M
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Tnc Wes 984 3 Lakonshok Shapro 984 986 4 Faa French 99 sze eec: CAPM value eec: Reverse and oenu eec: egadeesh99 anuary eec Weekend eec daa snoopng CAPM sake Faa French 99 4 NYS NYS CAPM CAPM Kohar Shanken Sloan 995 Chan agadeesh Lakonshok 995 996 3 CAPM BS FM
CAPM BS FM BS CAPM! CAPM BS FM CAPM BS FM NYS BS FM CAPM CAPM NYS NYS
CAPM CAPM Shanken 984 CAPM CAPM CAPM Macknlay,Rchardson 99 r α α [ ε ] [ ε r ] β r p p ε r Wald φ α Tα [ R[ D T S T D T ] R ] α χ ~ N ( R I N R δˆ αˆ
α ( δ ε ε : ε ε : ε ε φ Tg β S g β χ ( ( T T T ~ N ( α, β ( α, β ( α, β ( α, β ( α N, β N ( α, β N N r r p p r CRSP Wald GMM p. 7.6 Wald GMM Wald GMM Wald GMM Wald Roll Ross 994 B 4 Cr Dr F Gr H B k a R V ( ac b, C dkc, D gc, F dkb g ( ac b cd, G gb, H ag d R, b R V, c V, d R, g µ R V µ R k R k
k cov ( R, k {[ ( c ( ac b ] [( c ( ac b cd / g ] } / / / c M r r r r* ( k k k cov R,β k k
k ( k cov R,β ( k cov R,β Faa French GLS OLS ( k cov R,β cov( R,β k Shanken 987 Kandel sabaugh 987 989 Shanken 987 CAPM ( k cov R,β k M M
M M M M M M M M M M M M CAPM Shanken.8 CAPM 95.8 arrow, Madan 997 Dybvg and Ingersoll (98 CAPM Dana (994 CAPM [ ] [ ] φ z πz z Z Resz represenaon heore Z π a bε a b c [( a bε ( ε ] < k e c k ( [ ( ( x ] x U x, var u z xy y U [ ( z, var( z ] < U[ ( x, var( x ] z x h>
BS CAPM T e BS r ( µ r( h τ ( a e b Ke w V, K, µ,, τ, h, r r h τ a e KN d b e µτ ( V e N( d ( ( µ r( h τ µτ τ ( V e N ( d w V, K, µ,, τ, h, r ae r h τ µ r a e KN d b e w w V r( h τ ( µ r( h τ ( b Ke Ke µτ ( V e N ( d ( ( ( h τ µτ τ ( V e N( d rt V ( r µ ( h τ µ h ( r µ ( h τ ( h τ ( e bv e e e 3 3 ( h τ τ s, h T s T BS 5 5 4 BS.8 BS CAPM CAPM 4.5 BS 3.74 CAPM Capbell,.Y,, Asse Prcng a he Mllennu, The ournal o Fnance, Vol.4,55-568. Black,F.,97, Capal arke equlbru wh resrced borrowng, ournal o Busness, Vol.45,444-455. Hageran,R.L.,.H.K,976, Capal asse prcng wh prce level changes, ournal o Fnancal and Quanave Analyss, vol., 38-39 Meron,R.C.,973, An nereporal capal asse prcng odel,conorca,vol.4,867-887 orrow,r.a.,.r.roseneld,984, up rsks and he nereporal capal asse prcng odel, ournal o Busness, vol.57,337-35 Chaberlan,G.,988, Asse prcng n Mulperod secures arkes,conoerca, Vol.56,83-3 Kaze,H.B.,99, The ul perod CAPM and he valuaon o Mul-perod sochasc cash lows, ournal o Fnancal and Quanave Analyss, vol.6,3-3 Mcdonald,B.,983, Funconal ors and he capal asse prcng odel, ournal o Fnancal and Quanave Analyss, vol.8,39-39
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