实物期权视角的CAPM有效性检验

Empirical test of CAPM validity from the perspective of real options

实物期权对资产定价的非线性影响会导致本质为线性定价的CAPM模型失效.本文以沪深A股2000-2014年间1503家上市公司为样本,利用市值规模、账面市值比、资本支出和总资产回报四个企业特征变量作为实物期权的代理变量,分别对个股贝塔和预期超额收益率进行实物期权调整,给出了经实物期权调整后CAPM有效的证据;而且,较之市值规模和账面市值比,资本支出和总资产回报更加能够反映实物期权对CAPM有效性的影响.此外,实物期权调整对CAPM有效性的影响对处于生命周期早期阶段的企业、高科技行业以及对股权分置改革和次贷危机后的子样本更为明显.

The nonlinear impact of real options on asset pricing leads to the failure of CAPM which is essentially a linear pricing model. Based on a sample of 1503 A-share listed firms in Shanghai and Shenzhen Exchanges during 2000 to 2014, the paper uses four variables including market size, book- to-market ratio, capital investment and ROA to adjust the effects of real options on stock＇s beta and risk premium simultaneously, and then provides the evidence that CAPM would be valid again after the adjustment of real options. Compared to market size and book-to-market ratio, capital investment and ROA are better proxies to capture the roles of real options in affecting the validity of CAPM. Moreover, the paper finds the effect of real options on the validity of CAPM is more pronounced for the firms in early stage of life cycle, in high-teeh industry, and for subsamples after the reform of split-share structure and after the subprime crisis in 2008.