Tauira CAPM: tātaitanga tātai

No mea pehea whänuitanga haumi, e kore e taea ki te whakakore tūponotanga katoa. tika pūtea i te tere o te hoki e e kua utua hoki ratou whakatamarikitanga. Capital rawa tauira utu (CAPM) tauturu tātai i te mōrea haumi me te hoki e tūmanakohia ana i runga i haumi.

whakaaro Sharp

I whakawhanakehia CAPM tauira aromatawai hei ohanga, me te muri whakawhiwhia te Nobel i te ohaoha , William Sharpe me whakaturia atu i roto i tona 1970 pukapuka "ariā kōpaki me te hokohoko whakapaipai." tīmata te whakaaro ki te meka e etahi haumi ngā rua ngā momo o mōreatanga:

1. Nahanaha. Tenei tūponotanga mākete, e kore e taea te whänuitanga. Tauira he moni reiti, recessions me pakanga.
2. Mea afaro roa. mohiotia hoki rite motuhake. He motuhake ki te rakau takitahi ratou, a taea te whänuitanga hua i roto i te maha o peeke i roto i te kōpaki haumi. Tū korero, tohu ratou tae he rakau wae, e kore e nei i fakafekau'aki ki te nekehanga mākete whānui.

fokotu'u mai Modern ariā kōpaki e taea te to'o tūpono motuhake i roto i whänui. Ko te raruraru ko te e reira tonu e kore e whakaoti te raruraru o te tūpono pūnahanaha. Ahakoa he kōpaki tënei o nga hea katoa i roto i te mākete kararehe, e kore e taea te whakakore i te reira. Na reira, ka tātai i te moni mōrearea pūnahanaha ataahua o nga pūtea tino fifi. Tenei tikanga ko te tikanga ki te ine i te reira.

Tauira CAPM: tātai

kitea Sharpe kia rite hua i kararehe takitahi kōpaki ranei te utu o te whakapaipai. He tauira tātai CAPM paerewa whakaahua ana te hononga i waenganui i te mōrea me te hoki tūmanakohia:

_{r he = r f + β te} (r m - r f), i reira r _f - mōrearea auau free, β _he - uara beta o nga peeke (te ōwehenga o tona mōrea ki te mōrea i roto i te mākete rite te katoa), r _m - hoki tūmanakohia ( r _m - r _f) - utu taonga.

Ko te tīmatanga ko te auau CAPM mōrearea-free. Ko reira, rite ki te tikanga, te tukua i runga i-tau 10 here kāwanatanga. Ki reira te tāpiri bonus ki pūtea ki te utu mo te tūpono atu ki e haere ratou. Kei a ia ko te hua e tūmanakohia ana i te mākete rite he te auau mōrearea-free o hoki katoa tango. Ko te moni mōrea whakanuia e te whakarea i huaina Sharpe "peta."

mehua mōrearea

Ko te mehua mōrea anake i roto i te CAPM ko te β-taupū. ine te reira i te pähekeheke whanaunga, e ko, whakaatu ana pēhea te ngā i te utu kararehe fluctuates ake me ki raro whanaunga ki te mākete kararehe rite te katoa. Ki te neke te reira ïa i roto i runga i te mākete, ki te β _he = 1. CB ki β _he = 1,5 tupu i te 15%, ki te ka whakatika i te mākete i te 10%, ka pata ki te 15% ki te makaka reira ki te 10%.

"Beta" tātai e te tātaritanga tauanga o rakau takitahi ōwehenga moni rā whakaritea ki te tukua mākete ia mo te wā kotahi. I roto i tona ako matarohia i roto i te 1972 i huaina "tauira utu CAPM rawa pūtea: etahi whakamātautau hōhonu" economists Fischer Black, Maykl Yensen ko Mayron Shoulz whakapumautia he pānga rārangi i waenganui i te tukua o te peeke, ngā pūkete , me ratou β-kuputohu. ako ratou i te kaupapa o te utu o hea i runga i te New York Stock Exchange i 1931-1965, aua.

Ko te tikanga o "peta"

"Beta" whakaatu te nui o te utu e kia whiwhi pūtea mō te tango i runga i te tūpono atu. Ki te β = 2, te auau mōrearea-free ko 3%, me te auau e hāngai ana mākete-o hoki - he rite ki te 4% (7% - 3%) 7%, mākete hoki te taikaha. Fakatatau ki ai, hoki kararehe nui 8% (2 x 4%, hua tukua mākete me te β-taupū), me te tukua e hiahiatia katoa he 11% (8% + 3% hoki te taikaha me te auau mōrearea-free).

kōrero ana tēnei e kia whakarato haumi meá he moni i runga i te auau mōrearea-free - tatau tenei moni e whakanuia te moni mākete tika i runga i tona β-taupū. I roto i te mau parau te tahi atu, ko reira tino taea, te mohio ki nga wahi takitahi o te tauira, ki te aromatawai mehemea te utu hea o nāianei o tona moni pea, e ko, ahakoa te haumi whakapaipai pai ranei utu rawa.

He aha e te CAPM?

Ko te tino māmā tenei tauira, me te whakarato i te hua ohie. E ai ki reira, anake te take e whiwhi nui atu i te hoko i tetahi wahi i te investor, kahore te tahi atu, ko reira atu meá. Ehara i Koinei, timata tenei tauira ki te nuinga i roto i te ariā pūtea hou. Ko e tino mahi i te reira?

Ehara i te mea katoa mārama. Ko te tutukitanga waewae nui ko te "peta". A, no te uiui, Ahorangi Yudzhin pūrongo me Kenneth French moni kararehe i runga i te New York Stock Exchange, me te Nasdaq American me i 1963-1990 tau, kua kitea e ratou e kore te rerekētanga i roto i te β-kuputohu mo te taua wā roa e whakamārama i te whanonga o peeke, rerekē. E kore te te fakafalala rārangi i waenganui i te tau whakarea "peta" me hoki kararehe takitahi mō wā poto o te wā kitea. Ēnei raraunga whakaaro e taea e hē te tauira CAPM.

taputapu rongonui

Ahakoa tenei, Kei te tonu whānui e whakamahia ana te tikanga i roto i te hapori haumi. Ahakoa he uaua β-taupū ki te matapae pehea rakau takitahi ka tauhohe ki etahi nekehanga mākete, he pea ki te kia haumaru ki te utu i te mutunga e te kōpaki ki te "peta" tiketike e neke atu atu i te mākete, i roto i tetahi aronga, me iti pūtea ka kapewhiti iti.

He tino nui mō te kaiwhakahaere pūtea tenei no te mea e kore ai ratou e hiahia ana ki te (e kore e taea ratou ranei) ki te pupuri i te moni, ki te ite ratou e he pea ki hinga te mākete. I roto i te take i taua, ka taea e ratou te pupuri rakau ki iti β-taupū. Ka taea e pūtea te waihanga i tētahi kōpaki i roto i runga i o ratou whakaritenga motuhake mō te mōrea me te moni, e whai ana ki te hoko i te pepa ki te β _he> 1, ina kei te tipu te mākete, me ki β _he <1 ina makaka reira.

Ehara i Koinei, kua putanga te CAPM te whakamahi o indexation mo te hanganga o te kōpaki hea, whaihanga he mākete motuhake, te hunga e rapu ana ki te whakaiti tūponotanga. Ko te nuinga e tika ana ki te meka e, kia rite ki te tauira, ki te tiki i te hoki ki runga ake i te mākete rite te katoa tenei, he taea reira, haere ana ki te mōrearea teitei.

Tia ore, engari tika

tauira Wāriu loto o hua pümau pütea e kore ko te ariā tino (CAPM) i roto i tetahi take. Ko tona wairua pono. E tauturu te reira pūtea whakatau he aha pai tika ratou mo te mea aituä ratou moni.

MURI ariā mākete whakapaipai

ngā whakapae ki te ariā taketake:

• pūtea katoa e ratou natura ahu ki te karo i tūpono.
• E ratou te nui ano o te wa ki te arotake i te mōhiohio.
• He he whakapaipai mutunga e taea e koe tarewa i te auau mōrearea-free o hoki.
• Ka taea te wehea haumi ki te here i te maha o ngā waeine rahi mutunga o.
• No takoha, pikinga me te whakahaere utu.

No te mea o enei preconditions pūtea tīpakohia ngā kōpaki ki mōrea whakamōkito me tukua mōrahi.

Mai i te tīmatanga, tukinotia enei whakapae i rite mariko. Pehea i taea e te whakatau o tenei ariā i te iti rawa i te tahi uara i roto i enei whare? Ahakoa ratou ratou e taea e ngāwari hei te take o ngā hua hē, kua whakamatauria ano uaua te whakataki o te tauira.

faaino o te CAPM

I roto i te 1977, whakahaere he ako Imbarinom Budzhangom ko Annuarom Nassir, weropepahia he kohao i roto i te ariā. Kua kōmaka economists te mahi i te ōwehenga o te pai kupenga ki te utu. E ai ki nga hua, peeke ki te tukua ōwehenga teitei, rite ki te tikanga, e hoatu atu te pai atu i tohu e te CAPM. e kore he taunakitanga atu i roto i te manakohia o puta te ariā i roto i te tau torutoru (tae atu i te mahi o Rolf Banz 1981), ka i kitea ai te pānga rahi pera-ka karanga. Kua whakaatu ngā rangahau e mea ai rakau mākete pūmatuatanga iti pai atu i tohu e te CAPM.

a ka kawea te reira i roto i te tahi atu tātaitanga, te kaupapa whānui o e ko te meka e nga hua pūtea, na āta aroturukitia e kaitätari, i roto i te meka, i roto etahi mōhiohio whakamua-titiro, e kore e nei i tino kitea i roto i te β-taupū. I roto i te mutunga, ko anake te utu hea te uara hakari o kapewhiti heke mai i roto i te puka o te pai.

whakamārama taea

Heoi he aha ki te taua maha nui o rangahau, whawhai te mana o te CAPM, Kei te tonu whakamahia whānuitia te tikanga, ako, ka whakaae katoa i runga i te ao? kia roto Kotahi whakamārama taea i roto i te mahi o te Kaituhitanga i roto i 2004 e Pita Chang, Herb Johnson me Michael Scilla i tātarihia te whakamahi i te tauira CAPM pūrongo me French 1995. kitea ratou e ki rakau ki ōwehenga iti o te utu te tāpui uara, te nuinga o puritia e kamupene tata kua e i te hua kore rawa tino, a pea, poto e kaingäkautia, me te cheap. I te tahi atu te ringa, kamupene ki runga ake i te mākete, kia poto piriponotanga te ōwehenga, mai i te hunga ratou i roto i te wā tupu.

umanga Kōmaka i runga i taua tohu rite te ōwehenga o te utu ki te uara pukapuka moni ranei, whakakitea te tauhohenga tuakiri o pūtea, e whangai ana ki te kia tino pai i te wa o te tupu, me te rawa kino i roto i te hekenga.

ahu hoki pūtea ki te pe si◊aki mahi mua, e tika ana ki te utu nui mo nga hea o te kamupene ki te ōwehenga nui o te utu ki moni (whakatipu) me iti rawa i roto i te kamupene ki iti (cheap). I muri i te otinga o nga hua huringa maha whakaatu he auau teitei o hoki mo nga peeke, cheap me raro mō te tipu.

whakamātau ki te whakakapi

i hanga whakamātau ki te waihanga i te tikanga pai o te aro mātai. tauira Intertemporal mō te whakatau i te uara o ngā rawa pūtea Merton (ICAPM) 1973, mo te tauira, ko te toronga o te CAPM. Kei te kitea te reira e te whakamahi o ētahi atu čnei, mo te hanganga o te haumi ūnga whakapaipai. Ko te pūtea CAPM tiaki anake e pā ana ki te taonga e hua ratou o ratou kōpaki i te mutunga o te wā o nāianei. I roto i te ICAPM He āwangawanga moni wā e kore anake, engari ano hoki te whai wāhi ki te pau haumi hua ranei ratou.

A, no te kōwhiri i te kōpaki i te wa (T1) ICAPM-pūtea ako pehea ai ratou taonga i te wā t whakawhirinaki i runga i ngā taurangi pērā i moni mahi, nga utu o taonga kiritaki me te āhua o te kōpaki o ngā whai wāhitanga. Ahakoa ko ICAPM he whakamātau pai ki te whakaoti i te mau hapa o CAPM, reira hoki i ona whāititanga.

mariko rawa

Ahakoa ko tetahi o te tino whānui ako, ka whakaaetia ano te tauira CAPM, kua ona whare kua whakahē i te tīmatanga rite ainei rawa hoki pūtea i roto i te ao tūturu. Mai i te wā ki te wa whakahaere tikanga rangahau hōhonu.

Āhuatanga pērā i te rahi, ōwehenga, me te rerekē whakauka utu, mārama tohu tauira tia ore. waihotia tenei maha rawa atu akomanga rawa, kia kia e taea whakaaro reira he kōwhiringa taea.

Te maere, e whakahaere kia nui rangahau ki te turaki i te tauira CAPM rite te ariā paerewa o te utu mākete, me te mea kahore tetahi i tenei ra ki te kia kore tautoko te tauira mo te mea i whakawhiwhia te Nobel.