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1、FinalPDFtoprinterCHAPTERNINETheCapitalAssetPricingModel99THECAPITALASSET?pricingmodel,almost“fair”returngivenitsrisk.Second,themodelalwaysreferredtoastheCAPM,isacenter-helpsustomakeaneducatedguessastothepieceofmodernfinancialeconomics.Theexpectedreturnonassetsthathaven
2、otyetmodelgivesusaprecisepredictionoftherela-beentradedinthemarketplace.Forexample,tionshipthatweshouldobservebetweenthehowdowepriceaninitialpublicofferingofriskofanassetanditsexpectedreturn.Thisstock?Howwillamajornewinvestmentproj-relationshipservestwovitalfunctions.F
3、irst,ectaffectthereturninvestorsrequireonaitprovidesabenchmarkrateofreturnforcompany’sstock?AlthoughtheCAPMdoesevaluatingpossibleinvestments.Forexam-notfullywithstandempiricaltests,itiswidelyple,ifweareanalyzingsecurities,wemightusedbecauseoftheinsightitoffersandbeinte
4、restedinwhethertheexpectedreturnbecauseitsaccuracyisdeemedacceptableforweforecastforastockismoreorlessthanitsimportantapplications.9.1TheCapitalAssetPricingModelThecapitalassetpricingmodelisasetofpredictionsconcerningequilibriumexpectedreturnsonriskyassets.HarryMarkowi
5、tzlaiddownthefoundationofmodernportfoliomanagementin1952.TheCAPMwaspublished12yearslaterinarticlesbyWilliamSharpe,1JohnLintner,2andJanMossin.3ThetimeforthisgestationindicatesthattheleapfromMarkowitz’sportfolioselectionmodeltotheCAPMisnottrivial.Shootingstraighttothehea
6、rtoftheCAPM,supposeallinvestorsoptimizedtheirport-foliosálaMarkowitz.Thatis,eachinvestorusesaninputlist(expectedreturnsandcovari-PARTIIIancematrix)todrawanefficientfrontieremployingallavailableriskyassetsandidentifiesanefficientriskyportfolio,P,bydrawingthetangentCAL(c
7、apitalallocationline)tothefrontierasinFigure?9.1,panelA(whichisjustareproductionofFigure7.11).Asaresult,eachinvestorholdssecuritiesintheinvestableuniversewithweightsarrivedatbytheMarkowitzoptimizationprocess.1WilliamSharpe,“CapitalAssetPrices:ATheoryofMarketEquilibrium
8、,”JournalofFinance,September1964.2JohnLintner,“TheValuationofRiskAssetsandtheSelectionofRiskyInvestmentsinStockPortfo
