现代资产定价理论的研究和发展——基于有效市场假说和资产定价模型的视角

Research and Development of Modern Asset Pricing Theory:Perspectives from Efficient Market Hypothesis and Asset Pricing Model

围绕对有效市场假说的联合检验假设难题、资本资产定价模型的检验、“贝塔通缉令”“因子动物园”“多因素模型大战”等重点和核心话题,对现代资产定价理论文献的研究脉络进行梳理和评述,在此基础上对未来资产定价的研究重点和方向提出建议。

This paper summarizes modern asset pricing theory from efficient market hypothesis and asset pricing model perspective.It covers five key subjects in asset pricing theory,including joint hypothesis problem,capital asset pricing model test,“wanted beta”“factor zoo”“multi-factor model war”.Research focus and future direction in Asset Pricing Theory are outlined after these subjects.