资本资产定价模型的适用条件分析

The Applicable Condition Analysis for Capital Asset Pricing Model

对资本资产定价模型的检验具有非常重要的实践意义.但是,自从1965年资本资产定价模型提出后,不断有学者对其有效性提出质疑.通过研究资本市场线的几何特性发现,在资本资产定价模型的现有假设条件下,不仅是其有效性难以保证,甚至资本市场线的存在性亦无法保证.因此,为了保证资本市场线的存在,必须对资本资产定价模型的假设进行修改.研究表明,在资本资产定价模型的现有假设基础上,应该增加一个假设条件,即无风险利率低于有效边界上的最小方差点的预期收益率.

It has a very important practical significance of the inspection of the Capital Asset Pricing Model. The CAPM can be better for us to use the capital asset pricing model of investment behavior and asset pricing reference and guidance. However, there are many scholars who questioned its effectiveness since the CAPM proposed 1965. It is found that through the study of the capital market line geometric characteristics, existing under the assumptions of the capital asset pricing model, not only difficult to guarantee its effectiveness, but also the existence of the capital market line can not be guaranteed. Therefore, in order to ensure the existence of the capital market line, it is necessary to modify the assumptions of the Capital Asset Pricing Model. There should be an additional condition on the base of the assumption of the existing capital asset pricing model is shown in this study. This condition is the risk-free interest rate lower than the minimum square on the efficient frontier almost expected rate of return.