摘要
通过理论推导证明了资产收益率由两部分构成:第1部分是基础价值因子,与净资产收益率成线性关系,是资产价值的根本来源,反映了资产的个性特征;第2部分为市场因子,是市净率P/B的相对变化率,与市场收益率相关,反映了市场的特征.文章提出的资本资产定价模型不仅是一个相当简洁的两因子模型,而且清晰地反映出公司个性因子和市场共性因子的经济含义.利用COMPUSTAT数据库中纽约证券交易所的历史数据对模型进行实证研究,并与CAPM模型和Fama-French三因素模型进行了比较分析.
This paper proposes a theoretical framework to incorporate a firm's intrinsic value and market-trading value into asset pricing model. The paper show that asset return can be decomposed into two components. The first component, called the firm factor, is related to the output of a firm and is proportional to return on equity. The second component, termed the market factor, is the relative change of P/B ratio and is related to market return. Then a new capital asset pricing model that integrates both the firm factor and the market factor is developed. In addition, when cash dividend is present, the two-factor model under industry equilibrium and market equilibrium is derived. This simple, two-factor model explicitly explains, in a symmetric fashion, the economic implication of individual firm and collective market on asset pricing. Empirical analysis on historical data from COMPUSTAT is provided.
出处
《管理科学学报》
CSSCI
2004年第6期13-23,共11页
Journal of Management Sciences in China
基金
国家杰出青年基金资助项目(70025303).
