CAJ | 학술논문

我们放松了CAPM模型的理论前提,舍去信息传递无成本和预期一致性的约束条件,对机构投资者基于不同目的使用金融衍生工具的投资结果分别进行了理论分析。结果表明,金融衍生工具的运用对机构投资者业绩的影响与其使用目的有关。本文提出了投资收益中性理论,从一个全新的角度探讨了金融衍生工具的使用对投资者绩效的影响机理。我们的一些发现为解释金融衍生工具领域内的一些普遍现象提供了新的视角。
아문방송료CAPM모형적이론전제,사거신식전체무성본화예기일치성적약속조건,대궤구투자자기우불동목적사용금융연생공구적투자결과분별진행료이론분석。결과표명,금융연생공구적운용대궤구투자자업적적영향여기사용목적유관。본문제출료투자수익중성이론,종일개전신적각도탐토료금융연생공구적사용대투자자적효적영향궤리。아문적일사발현위해석금융연생공구영역내적일사보편현상제공료신적시각。
We release some assumptions in the CAPM that there is no cost in the information transfer and the investor＇s expectation is consist.We analyze the performance of institutional investors based on different purposes when they use financial derivatives.The results show that the performance significantly relates to those purposes.The paper contributes to the creation of the investment income neutral theory,which is different from traditional theories.It provides the mechanism through which financial derivative instruments influence institutional investors＇ performances from a new perspective.The findings provide new evidence to explain some common phenomenon in finance from different views.