考虑交易成本和优良资产的资本性资产定价模型

Study of the Capital Asset Pricing Model with a Superior Asset and Transaction Cost

Sharpe的CAPM理论是现代金融理论的核心内容 ,已被广泛应用于金融资产定价分析及投资决策等领域 ,但该模型过于严格的基础假设 ,尤其是忽略交易成本和优良资产的存在 ,使模型的应用范围和使用效果受到了限制 .通过引入交易成本和优良资产 ,讨论在资本市场中单个风险资产的风险与回报的关系 ,从而得到一种新的更为适用的资本性资产定价模型修正模型SCAPM .改进后的CAPM 。

Sharpe's CAPM theory is the core of modem financial theories, and has been widely applied to the fields such as pricing analysis of financial assets and investment decision-making, etc. However, the rigid basic hypothesis of the mode make the applied scope and usage effect of CAPM to be bounded,especially in ignoring the existence of transaction, costs and superior assets. By means of considering transaction, cost and superior assets, the relation between the expected rate of an individual asset and its individual risk in a capital market is studied, and a kind of the adaptable revised model of capital asset pricing model(SCAPM) is given. The improved CAPM mode will be more appropriate for the real situation of the capital security market.