摘要
本文放松了CAPM中投资者能够充分分散投资的假设,在Merton"不完全信息假设下的资本市场均衡定价模型"基础上,从理论上正式引入衡量边际投资者分散投资能力的"机构投资者持股比例"这一代理变量,并借鉴Fama-French三因素模型的建模方法,构建了一个与经典CAPM理论框架相一致的,以"市场组合超额收益"、"特质风险因子"及"机构投资者持股比例因子"为影响因素的,具有更普遍意义的"未充分分散投资下的资本资产定价模型",并以中国A股市场2005年1月至2012年12月的交易数据为基础成功地验证了这一资产定价模型的有效性及相对于经典CAPM和Fama-French三因素模型的优越性,从而在经典CAPM拓展领域取得了重要的突破。
By relaxing the strict investor fully diversification assumption under the classic CAPM,this paper proposes an empirical model we coin as CAPM with Not-Fully-Diversified-Investors,or CAPM-NFDI,which,by borrowing the Fama-French three factor model methodology,introduces'institutional investor ownership factor'and'idiosyncratic risk factor'alongside the market risk premium to offer explanations for asset risk premium that is consistent with the basic thrust of the theory behind the classic CAPM,yet would be more general and one step closer to the capital market reality. For our theoretical propositions with the two newly introduced factors,we borrow directly from Levy's and Merton's theoretical work regarding idiosyncratic risks and established the linkage between institutional investor ownership and Merton's concept regarding investor base. Using Chinese A-share market data between 2005 and 2012,we successfully test the validity of CAPM-NFDI and find it superior to the classic CAPM and Fama-French Three Factor Model.
出处
《管理评论》
CSSCI
北大核心
2014年第10期24-37,共14页
Management Review
