金融研究
金融研究
금융연구
Journal of Financial Research
2006年
1期
86~93
,共null页
杨雪莱 梁四安 李善民
楊雪萊 樑四安 李善民
양설래 량사안 리선민
系统风险因子 Shortfall风险 D—CAPM 非对称Laplace分布
繫統風險因子 Shortfall風險 D—CAPM 非對稱Laplace分佈
계통풍험인자 Shortfall풍험 D—CAPM 비대칭Laplace분포
system risk factor, shortfall risk, D - CAPM, asymmetric Laplace distribution.
传统CAPM及β系数的优良性一直是学者们争论的热点问题，考虑到方差度量的诸多缺陷，本文在一种新的Downside Risk度量方法——Shortfall度量下导出了相应的Sh—CAPM，并与SV—CAPM及传统CAPM进行了比较，特别地，考虑一种非对称厚尾分布，得到了Sh—CAPM的β系数的表达式，并给出了相应的估计程序，最后对我国股票市场CAPM进行了实证研究，研究发现传统CAPM在我国股票市场的适用性已明显减弱，相反，Sh—CAPM具有更高的解释能力．．
傳統CAPM及β繫數的優良性一直是學者們爭論的熱點問題，攷慮到方差度量的諸多缺陷，本文在一種新的Downside Risk度量方法——Shortfall度量下導齣瞭相應的Sh—CAPM，併與SV—CAPM及傳統CAPM進行瞭比較，特彆地，攷慮一種非對稱厚尾分佈，得到瞭Sh—CAPM的β繫數的錶達式，併給齣瞭相應的估計程序，最後對我國股票市場CAPM進行瞭實證研究，研究髮現傳統CAPM在我國股票市場的適用性已明顯減弱，相反，Sh—CAPM具有更高的解釋能力．．
전통CAPM급β계수적우량성일직시학자문쟁론적열점문제，고필도방차도량적제다결함，본문재일충신적Downside Risk도량방법——Shortfall도량하도출료상응적Sh—CAPM，병여SV—CAPM급전통CAPM진행료비교，특별지，고필일충비대칭후미분포，득도료Sh—CAPM적β계수적표체식，병급출료상응적고계정서，최후대아국고표시장CAPM진행료실증연구，연구발현전통CAPM재아국고표시장적괄용성이명현감약，상반，Sh—CAPM구유경고적해석능력．．
For many years academics and practitioners have been debating the merits of the CAPM focusing on whether beta is an appropriate measure of risk. The main purpose of this paper is to develop a downside risk asset - pricing model based on shortfall risk measure and to compare with the CAPM based on no variance or semi variance risk measure. Especially, the formula of beta and its estimation procedure is derived under asymmetric Laplace distribution. Finally, the evidence from China stock market indicates that the premiums may be better explained by shortfall beta than by traditional beta.
