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Research On The Theory Of Capital Asset Pricing Model

Posted on:2006-03-24Degree:MasterType:Thesis
Country:ChinaCandidate:L GuoFull Text:PDF
GTID:2156360152997900Subject:National Economics
Abstract/Summary:PDF Full Text Request
Markowitz, founder of modern portfolio theories, put forward the mean-variationmodel at first in 1952, which became the classical research method in the correspondingfields and symbolized the beginning of modern portfolio theories. Its core contentsminimize the investment risk under the condition of fixed return, but complicate thecomputing procedure extremely. Based on the portfolio theory of Markowitz, WilliamSharp,Jan Lintner and Jan Mossin brought forward CAPM which has been applied inthe whole economics realm after being consummated. The model has been extensivelyapplied in the fields of portfolio performance,securities pricing,capital budgets andstock management of public enterprise and receives good results. Our country's security market being started later, it's only in the past few years thatCAPM has been introduced into and applied in the whole realms of investmentdecisions and theoretical research. Furthermore, China security market is so imperfectthat it's hard to satisfy the strict assumption conditions on CAPM, so the effect ofCAPM theories deserves further study. Because our country's security market began to operate not long ago,CAPM was introduced into just several years ago and began to be used, andalso isn't mature at present, so the validity of CAPM in our country'smarket deserves further discuss. Without question, China security market is playing more and more important rolewith the increase of China economic strength. Besides, capital asset pricing is one of thekey problems of security market. As an emerging security market, China securitymarket needs being theoretically guided and practically examined in many aspects.Although many academicians have made all kinds of discussion on CAPM, bothsystematic and thorough papers on CAPM have come out a few only, What's more,some of which go on the bias and even tend to cut both ways. Therefore, based onmodern research performance, the writer tries to examine CAPM with the help ofmathematical method﹑logical deduction﹑comparison analyses﹑induction and so onin order to put right those vague understanding and distortion of CAPM and puts CAPMtheory in order to lay solid foundation for CAPM application in China security market. The thesis is divided into preface﹑text and postscript totally: Preface is organized first to provide the development procedure of asset pricingtheories and the environment of China security market and then emphasize the serioussituation and challenges which CAPM meet in China security market. Organization of the text is as follows: Part one introduces the consummating process of CAPM and its basic thoughts; Part two reasons those seven basic problems investors meet when investing basedon CAPM; Part three makes a comparison between CAPM and APT to deepen theunderstanding of CAPM; Part four discusses CAPM respectively in risk investment﹑portfolio decision thecost computation of common stock in financing; Part five examines the different viewpoints on the relationship between risk andreturn; Part six mainly introduces the basic contents of the CAPM substantial evidenceresearch, and make a comparison of the standpoints between western scholars andChinese scholars; The seventh part mainly introduced the important meaning﹑main functions anddefects of CAPM; Part eight mainly discusses the practicability and the existent problems of CAPMcombining China security market and point out the direction that China security marketdevelop from now on; postscript concludes the challenges for many years and points out the developmentdirection of CAPM later.
Keywords/Search Tags:Capital Asset Pricing Model, Portfolio, Risk, Returns
PDF Full Text Request
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