1楼 NaNa1123
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|  发帖时间 - 2008/4/21 13:25:00
| 哪位帅哥,MM帮忙翻译下这几段 英文@！ 万分感激~！~急~
We begin by outlining the logic of the CAPM,focusing on its predictions about risk and expected *域名隐藏* then review the history of empirical work and what it says about shortcomings of the CAPM that pose challenges to be explained by alternative models.
Conclusions
The version of the CAPM developed by Sharpe(1964)and Lintner(1965)has never been an empirical *域名隐藏* the early empirical work,the Black(1972)version of the model,which can accommodate a flatter tradeoff of average return for market beta,has some *域名隐藏* in the late 1970s,research begins to uncover variables like size,various price ratios,and momentum that add to the explanation of average returns provided by *域名隐藏* problems are serious enough to invalidate most applications of the CAPM.
For example,finance textbooks often recommend using the Sharpe–Lintner CAPM risk-return relation to estimate the cost of equity *域名隐藏* prescription is to estimate a stock’s market beta and combine it with the riskfree interest rate and the average market risk premium to produce an estimate of the cost of *域名隐藏* typical market portfolio in these exercises includes just U.S(dot)common *域名隐藏* empirical work,old and new,tells us that the relation between beta and average return is flatter than predicted by the Sharpe–Lintner version of the CAPM .As a result,CAPM estimates of the cost of equity for high-beta stocks are too high (relative to historical average returns)and estimates for low-beta stocks are too low(Friend and Blume,1970).Similarly,if the high average returns on value stocks(with high book-to-market ratios)imply high expected returns,CAPM cost of equity estimates for such stocks are too low.7
The CAPM is also often used to measure the performance of mutual funds and other managed *域名隐藏* approach,dating to Jensen(1968),is to estimate the CAPM time-series regression for a portfolio and use the intercept(Jensen’s alpha)to measure abnormal *域名隐藏* problem is that,because of the empirical failings of the CAPM,even passively managed stock portfolios produce abnormal returns if their investment strategies involve tilts toward CAPM problems(Elton,Gruber,Das and Hlavka,1993).For example, funds that concentrate on low beta stocks,small stocks,or value stocks will tend to produce positive abnormal returns relative to the predictions of the Sharpe–Lintner CAPM,even when the fund managers have no special talent for picking winners.
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