資本資產(chǎn)定價理論演進過程研究.pdf

1、東南大學碩士學位論文資本資產(chǎn)定價理論演進過程研究姓名：楊靜芳申請學位級別：碩士專業(yè)：企業(yè)管理指導教師：陳良華20040301AbstractAssetpricingtheoryisoneofthemostimportantbackbonesinfinanceAsathemeintilefrontedgeoffinancialresearchfieldsitgotwidelyattentioninthe20thcentury，Themos

2、tfamousassetpricingmodelsincludeCAPMAPTandOPMTheyconstructasolidfoundationforassetpricingtheory’sbrilliantstatusinfinancialtheoryHoweverlookingbackthedevelopmentofassetpricingtheoryinthelastnearlyhalfcentury，wewillfindma

3、nyothermodelswithgreattheoreticalvalueemergingsuchasConsumptionbasedCAPM，conditionalCAPMandsoonAlthoughthesemodelshaven’tgotwidelyusedinpracticetoday，theyplayallimportantroleinenrichingandimprovingtheassetpricingtheory’s

4、framework，theyseemedasaladderleadtoassetpricingtheorygoingforwardcontinuallyUnfortunatelytheacdemiccircleinourcountryhasknownlittleaboutthesemodels。muchlessthewholeknowledgeabout氆eevolutionofassetpricingmodelsThus，thisar

5、ticleattemptstodosomesummarizingandanalyzingworkfortheestablishmentanddevelopmentofassetpricingtheory；soastobringsomeinspirationforourcountry’sconductingresearchesonassetpricingtheoryandempiricaltestFirstlythisarticlepre

6、sentsahistoricalreviewofsomeclassicalassetpricingtheoriesdevelopedinthe1960s，970sandtheirempiricaltests。Thesemodelshavebecometheparadigmsofresearchintoassetpricingtheory，basedonwhichmanysubsequentnewmodelsarederivedDurin

7、2theprocessoftheoriesreviewing，somebasicmodelingideasandtheoreticallimitationsareanalyzedWhileintheempiricaltestspartwefirstintroducesomeempiricaltestmethodologiestoassetpricingmodels，thenpointoutthemainrestraintsinmodel

8、stestingSincel990sthediscussionaboutassetpricinganomaliesbecomesahotissueSothisarticlemainlyconsiderstwokindsofanomaliesOneisrefefredasCAPManomaly，whichincludessizeeffect，booktomarketequityeffectlong—termreturnreversalse

9、ffectshorttimemomentumeffectandetcTheresearchonthiskindofanomalyfoellsonthreeaspects：empiricaltestbias，modelrevisionandmarketinefncientTheotherisCCAPManomalyespeciallytheequitypremiumpuzzle。Preferencemodifications。imper受

10、etmarketandtractioncostareoftenusedtoexplainitFinally，inviewofbehavioralfinancehavingstrongpowertoexplaintheassetpricinganomalieswefurtherpaymuchattentiontothedevelopmentofbehavioralfinancialtheoryKeywords：CapitalAssetPr