资本资产定价模型(CAPM)的一个简单证明及对该模型理论基础的思考

A BRIEF PROOF TO THE CAPITAL ASSETS PRICING MODEL(CAPM) AND RETHINK OF ITS THEORETICAL FOUNDATION

资本资产定价模型(CAPM)以市场均衡为出发点,证明在均衡状态下证券的期望收益率与其系统风险因子的线性关系,而不是在给定预期状态和投资者风险偏好状态下计算证券的价格,市场均衡的存在性和唯一性并未得到充分的说明.鉴于此,有必要从计算证券价格这一更直接的角度给出这一模型的一个较简单的证明,并探讨为了得到均衡的唯一存在性所需要的条件,从而可以重新审视CAPM的理论基础.

CAPM is one of the fundamental models of modern financial economics. This model proved the linear relation between the expectation earning ratio of the securities and its systematic risk factors under the market equihbrium, but not calculated the price of the securities according to the giving expectation and investors＇ risk partiality definitely, therefore the existence and uniqueness of market equilibrium have not been explained sufficiently. Thus, it is necessary to provide a direct identification through calculating the security prices and studying the conditions of the existence and uniqueness of market equilibrium, which enable us to examine the theoretical foundation of CAPM closely again.