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ACCA FM CAPM假设：Perfect capital market

文章来源：ACCA全球官网

发布时间：2021-11-15 14:28

阅读：586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 assumptions，本文我们继续介绍Perfect capital market。

Perfect capital market

This assumption means that all securities are valued correctly and that their returns will plot on to the SML.A perfect capital market requires the following:that there are no taxes or transaction costs;that perfect information is freely available to all investors who,as a result,have the same expectations;that all investors are risk averse,rational and desire to maximise their own utility;and that there are a large number of buyers and sellers in the market.

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While the assumptions made by the CAPM allow it to focus on the relationship between return and systematic risk,the idealised world created by the assumptions is not the same as the real world in which investment decisions are made by companies and individuals.

Real-world capital markets are clearly not perfect,for example.Even though it can be argued that well-developed stock markets do,in practice,exhibit a high degree of efficiency,there is scope for stock market securities to be priced incorrectly and so for their returns not to plot onto the SML.

The assumption of a single-period transaction horizon appears reasonable from a real-world perspective,because even though many investors hold securities for much longer than one year,returns on securities are usually quoted on an annual basis.

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The assumption that investors hold diversified portfolios means that all investors want to hold a portfolio that reflects the stock market as a whole.Although it is not possible to own the market portfolio itself,it is quite easy and inexpensive for investors to diversify away specific or unsystematic risk and to construct portfolios that‘track’the stock market.Assuming that investors are concerned only with receiving financial compensation for systematic risk seems therefore to be quite reasonable.

A more serious problem is that investors cannot in the real world borrow at the risk-free rate(for which the yield on short-dated government debt is taken as a proxy).The reason for this is that the risk associated with individual investors is much higher than that associated with the government.This inability to borrow at the risk-free rate means that in practice the slope of the SML is shallower than in theory.

Overall,it seems reasonable to conclude that while the assumptions of the CAPM represent an idealised world rather than the real-world,there is a strong possibility,in the real world,of a linear relationship between required return and systematic risk.

相关阅读：【ACCA FM资本资产定价模型：CAPM formula】

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