资本资产定价模型(CAPM)遗留问题的探讨

Discussion on the remained issues on CAPM

资本资产定价模型(CAPM)是现代金融学最重要的理论基石之一,但是这个模型有两个重大的遗留问题。第一,该模型直接假设市场是出清的即均衡的,从而回避了在市场没有出清下如何根据CAPM进行市场调整;第二,该模型没有考虑不同资产的规模的影响,仅仅考虑了收益率,而规模的差异可能会影响人们对于风险和收益的关系的认识。本文通过一个数值举例分析了这两个遗留问题,发现在市场出清前后,CAPM是存在着差异的,而不同资产的规模对CAPM的结果也有较大的影响。

Capital Asset Pricing Model （CAPM） is one of the most important theoretical cornerstones of modern finance studies, but it has two great issues remained. First, the model assumes that market clearing means equilibrium directly, avoiding the question how to conduct market adjustment without market clearing according to CAPM. Second, the model does not consider the influence of different asset scales. It only takes into account the rate of returns. However, difference in scales may have impact on people＇ s understanding of the relationship between risks and returns. This article analyzes the two issues through an example of numerical values, finding that CAPM differs before and after market clearing, and that different asset scales have much influence on the results of CAPM.