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CAPM滥用时的套利机会 被引量：3

Arbitrage Opportunities under CAPM
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摘要 在CAPM的世界里导出根据资产的期未价值评估资产当前价值的估价公式,然后证明市场引入的某些新资产如果用CAPM估价其价值将会为负,从而说明CAPM滥用将会出现套利机会. A valuation formula is introduced based on the future cash flow and CAPM. Then it is shown that the value of some new assets by use of the formula may be negative in some market cases, which implies that there may exist arbitrage opportunities when CAPM is abused.
作者 方曙红
机构地区 复旦大学管理学院财务金融系
出处 《复旦学报（自然科学版）》 CAS CSCD 北大核心 2003年第5期793-795,共3页 Journal of Fudan University：Natural Science
关键词 CAPM 套利机会 资产定价 CAPM arbitrage opportunity asset valuation
分类号 F275 [经济管理—企业管理]
  • 相关文献

参考文献3

  • 1Myers A C, Brealey R S. Principles of corporate finance [M]. 7th edition. New York: Irwin McGraw-Hill,2002.
  • 2Bodie Z, Kane A, Marcus A. Investments [M]. 4th edition. New York: Irwin McGraw-Hill,1999.
  • 3Huang C, Litzenberger R H. Foundations for financial economics [M]. New Jersey: Prentice Hall, 1988.

同被引文献25

  • 1[1]Huang,C.and Litzenberger,R.H.Foundations for Financial Economics[M].Englewood Cliffs:Prentic Hall,1988.
  • 2[2]Rigobon,R.and Sack,B.P.The Impact of Monetary Policy on Asset Prices[M].NBER Working Paper,2002,No.8794,February.
  • 3Adler., M., and Dumas, Bernald , 1983, International portfolio selection and corporation finance: A analysis, Journal of Finance 46.
  • 4Fama, E.F., and French, K.R., 1992, The cross-section of Expected Stock Return, Journal of Finance X LVII,No.2.
  • 5Fama,E.F., and Macbeth.J.D.,1973, Risk, return, and equilibrium: empirical tests,Journal of Political Economy 81.
  • 6Kothari, S.P., Shanken, J. and Sloan, R. G. (1995), "Another Look at the Cross-Section of Expected Stock returns,Journal of Finance", 50(Marcn):185-224.
  • 7Barber, Brad M., and John D.Lyon, 1997, detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics 43, pp:341-372.
  • 8Kothari, S.P., Shanken, J. and Sloan, R. G. (1995), "Another Look at the Cross-Section of Expected Stock returns,Journal of Finance", 50(March).
  • 9Barber. Brad M. and Lyon. John D., 1997, "Firm Size, book-to-market ratio and security returns: a holdout sample of financial firms", Journal of finance 52.
  • 10Hamburger,M.and Kochin,L.Money and Stock Prices:The Channels of Influences[J].Journal of Finance,1972,27:231-249.

引证文献3

二级引证文献6

复旦学报（自然科学版）
2003年 第5期

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