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ACCA FM知识点：资本资产定价模型

文章来源：ACCA全球官网

发布时间：2021-11-10 15:17

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资本资产定价模型（Capital Asset Pricing Model简称CAPM）是由美国学者威廉·夏普（William Sharpe）、林特尔（John Lintner）、特里诺（Jack Treynor）和莫辛（Jan Mossin）等人于1964年在资产组合理论和资本市场理论的基础上发展起来的，主要研究证券市场中资产的预期收益率与风险资产之间的关系，以及均衡价格是如何形成的，是现代金融市场价格理论的支柱，广泛应用于投资决策和公司理财领域。

资本资产定价模型假设所有投资者都按马克维茨的资产选择理论进行投资，对期望收益、方差和协方差等的估计完全相同，投资人可以自由借贷。基于这样的假设，资本资产定价模型研究的重点在于探求风险资产收益与风险的数量关系，即为了补偿某一特定程度的风险，投资者应该获得多少的报酬率。

The capital and asset pricing model

The CAPM assumes that investors hold fully diversified portfolios.This means that investors are assumed by the CAPM to want a return on an investment based on its systematic risk alone,rather than on its total risk.The measure of risk used in the CAPM,which is called‘beta’,is therefore a measure of systematic risk.

The minimum level of return required by investors occurs when the actual return is the same as the expected return,so that there is no risk of the investment's return being different from the expected return.This minimum level of return is called the‘risk-free rate of return’.

The formula for the CAPM,which is included in the formulae sheet,is as follows:

E(ri)=Rf+βi(E(rm)–Rf)

E(ri)=return required on financial asset

Rf=risk-free rate of return

βi=beta value for financial asset

E(rm)=average return on the capital market

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This formula expresses the required return on a financial asset as the sum of the risk-free rate of return and a risk premium–βi(E(rm)–Rf)–which compensates the investor for the systematic risk of the financial asset.If shares are being considered,E(rm)is the required return of equity investors,usually referred to as the‘cost of equity’.

The formula is that of a straight line,y=a+bx,withβi as the independent variable,Rf as the intercept with the y axis,(E(r m)–Rf)as the slope of the line,and E(ri)as the values being plotted on the straight line.The line itself is called the security market line(or SML),as shown in Figure 1.

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