基于价值分解的CAPM“异常现象”理论解释

中国管理科学 ›› 2005, Vol. ›› Issue (1): 14-18.

基于价值分解的CAPM“异常现象”理论解释

郭磊, 吴冲锋

上海交通大学金融工程研究中心, 上海, 200052

收稿日期:2004-06-30 修回日期:2004-12-15 出版日期:2005-02-28 发布日期:2012-03-07

The Theoretical Explanation of CAPM Anomalies Based on Value Decomposition

GUO Lei, WU Chong-feng

Financial Engineering Research Center, Shanghai Jiao Tong University, Shanghai 200052, China

Received:2004-06-30 Revised:2004-12-15 Online:2005-02-28 Published:2012-03-07

摘要/Abstract

摘要： 通过将股票价值分解为基本价值和市场交易价值,利用资本资产定价模型(CAPM)β系数实证原理,严格的推导出导致CAPM实证β系数偏离实际β系数的规模偏差和公司特征偏差因素,其中公司特征偏差因素是导致CAPM“异常现象”的根本原因;并进一步论证了CAPM实证β偏差结构的动态特征。此外,结论还为Fama-French的三因素模型找到了令人信服的理论解释。

关键词: 价值分解, CAPM, 规模偏差, 公司特征偏差

Abstract: This paper firstly decomposes the market value of stocks into intrinsic value and market-trading value.Then it is strictly deduced that the biases of empirical β of CAPM deviates from the real one contains scale bias and firm-specific ones which fundamentally conduce CAPM anomalies.Furthermore, it demonstrates the dynamic characters of bias structure of CAPM’s empirical β. In addition,appropriate theoretic explanation is supplied for Fama and French’s three-factor model.

Key words: Value decomposition, CAPM, scale bias, firm-specific bias

中图分类号:

F831

郭磊, 吴冲锋. 基于价值分解的CAPM“异常现象”理论解释[J]. 中国管理科学, 2005, (1): 14-18.

GUO Lei, WU Chong-feng. The Theoretical Explanation of CAPM Anomalies Based on Value Decomposition[J]. Chinese Journal of Management Science, 2005, (1): 14-18.

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