資本資産價格決定模型의 適用可能性에 관한 硏究

Abstract

本 硏究는 최근 美國을 중심으로 한 先進國의 現代財務管理理論에서 中心的 役割을 하고 있는 基本資産價格決定模型의 理論的 發展過程, 理論體系의 問題點 및 非現實性, 實證的 檢證結果, 그리고 이 模型의 適用可能性과 展開方向에 硏究目的을 두고 있다.

The purpose of this paper is to review the evolutionary progress of the Capital Asset Pricing Model, a general equilibrium model of the determination of the prices of capital assets under conditions of uncertainty, which has become a critical element of the paradigm of financial theory in recent years.

The organization of this paper is designed as follows :

1. To review the theoretical foundations of the CAPM

2. To point out some unreasonableness of the basic structure and argue the assumptions on choice and the homogenuity of belief underlying the Model.

3. To reexamine the emipirical evidence bearing on the theory, and discuss the testability and validity of the CAPM and the Roll's critique of them.

4. To present soma innovative extensions of the CAPM, considering inflation, international finance, differential tax rates on personal income, multiperiod, no riskless assets, and non-marketable assets.

The purpose of this paper is to review the evolutionary progress of the Capital Asset Pricing Model, a general equilibrium model of the determination of the prices of capital assets under conditions of uncertainty, which has become a critical element of the paradigm of financial theory in recent years.

The organization of this paper is designed as follows :

1. To review the theoretical foundations of the CAPM

2. To point out some unreasonableness of the basic structure and argue the assumptions on choice and the homogenuity of belief underlying the Model.

3. To reexamine the emipirical evidence bearing on the theory, and discuss the testability and validity of the CAPM and the Roll's critique of them.

4. To present soma innovative extensions of the CAPM, considering inflation, international finance, differential tax rates on personal income, multiperiod, no riskless assets, and non-marketable assets.