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ACCA FM资本资产定价模型：CAPM assumptions
文章来源：ACCA全球官网
发布时间：2021-11-15 14:21
阅读：578次
财务管理学习指南的E部分包含对资本资产定价模型(CAPM)的若干参考，上一篇我们探讨了CAPM的理论，本文我们继续介绍CAPM assumptions。
CAPM assumptions
The CAPM is often criticised as unrealistic because of the assumptions on which the model is based,so it is important to be aware of these assumptions and the reasons why they are criticised.The assumptions are as follows(Watson,D.and Head,A.(2016)Corporate Finance:Principles and Practice,7th edition,Pearson Education Limited,Harlow pp.258-9).
Investors hold diversified portfolios
This assumption means that investors will only require a return for the systematic risk of their portfolios,since unsystematic risk has been diversified and can be ignored.
Single-period transaction horizon
A standardised holding period is assumed by the CAPM to make the returns on different securities comparable.A return over six months,for example,cannot be compared to a return over 12 months.A holding period of one year is usually used.
Investors can borrow and lend at the risk-free rate of return
This is an assumption made by portfolio theory,from which the CAPM was developed,and provides a minimum level of return required by investors.The risk-free rate of return corresponds to the intersection of the security market line(SML)and the y-axis(see Figure 1).The SML is a graphical representation of the CAPM formula.
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