基于下端风险度量下的CAPM研究

传统CAPM及β系数的优良性一直是学者们争论的热点问题,考虑到方差度量的诸多缺陷,本文在一种新的Downside Risk度量方法———Shortfall度量下导出了相应的Sh-CAPM,并与SV-CAPM及传统CAPM进行了比较,特别地,考虑一种非对称厚尾分布,得到了Sh-CAPM的β系数的表达式,并给出了相应的估计程序,最后对我国股票市场CAPM进行了实证研究,研究发现传统CAPM在我国股票市场的适用性已明显减弱,相反,Sh-CAPM具有更高的解释能力。

For many years academics and practitioners have been debating the merits of the CAPM focusing on whether beta is an appropriate measure of risk. The main purpose of this paper is to develop a downside risk asset - pricing model based on shortfall risk measure and to compare with the CAPM based on no variance or semi variance risk measure. Especially, the formula of beta and its estimation procedure is derived under asymmetric Laplace distribution. Finally, the evidence from China stock market indicates that the premiums may be better explained by shortfall beta than by traditional beta.