基于价格错定的HCAPM的研究

Research on HCAPM Based on Mispricing

CAPM忽略了均值-方差的异质性,从而剔除了证券的价格错定。针对这一缺陷,假定证券的价格遵循预期收益率为变量、方差为常数的马尔可夫随机过程,然后在CAPM的基础上推导一个异质资本资产定价模型(HCAPM)。HCAPM认为,市场组合不存在价格错定,但是证券存在不同程度的价格错定。当证券纠正价格错定之后,就能够实现一个由内在价值和价格共同决定的价值收益率,从而改变β系数所确定的预期收益率。通过价值收益率的转换,HCAPM能够扩展为多因素模型,并且能够全面地解释各种市场异象。

CAPM neglected the heterogeneous of mean - variance, so as to reject the mispricing of the securities. According to this flaw, this paper assumed that the price of the securities follow Markov stochastic process which expected return was vari- able and variance was a constant, and then derived a Heterogeneous Capital Asset Pricing Model （HCAPM） on the ba- sis of CAPM. HCAPM thinks that the market portfolio don＇ t exist mispricing, but the securities exist mispricing at dif- ferent degree. The securities will realize a value earning rate determined by the intrinsic value and price when they cor- rect mispricing, thus change the expected return determined by the 13. Through the conversion of value earning rate, HCAPM can be extended to multifactor model, and it can explain market anomalies comprehensively.