资本资产定价理论与市场经济

Capital and Assets Pricing Theory and Market Economy

资本资产定价模型(CAPM)是威廉·夏普于1964年在马克威茨的资产组合理论和托宾分离定理的基础上通过增加一些条件而建立起来的资本市场均衡定价模型。在CAPM的假设前提下,资本市场被带入一种所有的投资者持有相同风险资产市场组合的均衡状态,在这种状态下经济中所有的风险资产特别是企业资产都具有完全相同的所有权结构。从而将经济带入一种所有企业之间不存在利益冲突的"准公有制"状态,市场经济制度也将不复存在。如果我们认为这一结论是荒谬的,那问题一定出在CAPM的假设条件以及由此假设条件所推出的市场均衡,自然,建立在这种均衡状态下的资本资产定价模型的现实性也是成问题的。

Based on the Portfolio Theory and Tobin's Separation Theorem, William?Sharp Established the CAPM, a model on balancing price in capital market. Under the pre-condition of CAPM, the capital market was brought into equilibrium, all speculators having the same risk portfolio and all risk assets featuring same ownership structure. Furthermore, the market mechanism even cannot find its necessity of existence. Such an absurdity is the result of the pre-condition of CAPM. The author attempts to give an analysis on such an absurd conclusion.