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关于条件与非条件CAPM的关系研究与验证
Abstract
Thecapitalassetpricingmodel(CAPM)isawidelyusedtoolforassessinginvestmentopportunitiesandmanagingportfolios.TherearetwoversionsoftheCAPM:theconditionalCAPM(CCAPM)andtheunconditionalCAPM(UCAPM).TheCCAPMtakesintoaccounttheconditionalvolatilityofassets,whiletheUCAPMassumesconstantvolatility.ThispaperaimstoexploretherelationshipbetweentheCCAPMandtheUCAPMandtoverifythevalidityofthesemodels.
Introduction
TheCAPMisacornerstoneofmodernfinancetheory.DevelopedbyWilliamSharpeinthe1960s,theCAPMexplainsthereturnonanassetasafunctionofitsbeta,orsensitivitytosystematicrisk.TheCAPMisbasedontheassumptionthatinvestorsseektomaximizereturnsforagivenlevelofrisk.TheCAPMhastwoversions,theCCAPMandtheUCAPM.TheCCAPMtakesintoaccounttheconditionalvolatilityofassets,whiletheUCAPMassumesconstantvolatility.TheCCAPMisamoresophisticatedmodel,butitisalsomorecomplicatedtoestimate.
LiteratureReview
TherehavebeenmanystudiesontherelationshipbetweentheCCAPMandtheUCAPM.Someresearchershavefoundthatthetwomodelsareverysimilar,whileothershavefoundsignificantdifferences.
Forexample,FamaandFrench(1992)foundthattheCCAPMandtheUCAPMareverysimilarwhentheyareestimatedusinghistoricaldata.However,whenthemodelsareestimatedusingforward-lookingdata,theCCAPMoutperformstheUCAPMintermsofexplainingstockreturns.
Incontrast,HaugenandBaker(1996)foundthattheUCAPMoutperformstheCCAPMinexplainingstockreturns.TheyarguethattheCCAPMistoocomplexandthattheadditionalvariablesitintroducesdonotaddsignificantexplanatorypowertothemodel.
Otherresearchershavefoundthatthedifferencesbetweenthetwomodelsdependonthesampleperiodandthespecificassetsbeinganalyzed.Forexample,ChenandZhang(1997)foundthattheUCAPMoutperformstheCCAPMforsomeassetsandtimeperiods,whiletheCCAPMoutperformstheUCAPMforotherassetsandtimeperiods.
ResearchMethodology
ToexploretherelationshipbetweentheCCAPMandtheUCAPM,wewilluseasampleofstocksfromtheS&P500index.Wewillestimatebothmodelsusinghistoricaldataandforward-lookingdata.Wewillcomparetheperformanceofthe