資本資産價格決定模型과 裁定價格決定理論에 관한 比較硏究

Abstract

資本資産價格模型과 裁定價格決定理論은 資産價格決定의 條件인 收益生成過程을 비교하므로서 가장 잘 이해될 수 있다. 이 두 資産價格決定模型의 類似性은 危險資産에 대한 期待收益率과 現實收益率과의 偏差를 발생시키는 危險의 源泉을 均衡價格에 반영되는 위험과 반영되지 않는 위험으로 구분하는 데에서 찾을 수 있다. 또한 相異性은 두 模型이 均衡價格에 반영되지 않는 收益의 變動性(??體系的 危險)을 확인하는 方式의 差異에서 찾을 수 있다. 資本資産價格決定模型에서는 非體系的 危險을 나타내는 關係式의 殘差項을 期待收益率의 多變量正規性과 選好에 대한 假定으로 均衡價格에 반영되지 않는다고 보고 있는 반면, 裁定價格決定理論과 관련된 要因模型은 裁定포트폴리오의 條件에서 分散可能한 危險으로 간주하고 있다.

The Capital Asset Pricing Model and the Arbitrage Pricing Theory are two distinct pricing models. Neither one is a special case of the other. The similiarities and the differences between the CAPM and the APT are understood best by olling at the return generating processes they identify as informative. The CAPM and the APT are similiar because they classify the sources which produce the deviation of the acutal return on an asset from its expected reutrn into two categores-those which are priced in the market and those which are not. In our discussion of these two models we shall focus on how each identifies the variations in assets returns which these two models we shall focus on how each identifies the variations in assets returns which are not priced. It is the manner in which these two models identify the sources of variability which are unpriced that distinguishes the two distinct pricing models.

The CAPM is usually developed under the assumption that the distribution of asset returns is multivariate normal or that investor preferences can be represented by quadratic utility functions. These assumptions gurarntee that the covariance between the so-called nonsystematic risk tem, ??, and the marginal utility of wealth is equal to zero. The APT and utility-based factor models, by contrast, call for us to use the informative representations as those which produce ?? that contribute little to the variability of a well-diversifiable portfolio and are treated as diversifiable risk. To find such representations we need to identify the risks in the economy which are pervasive. The two asset pricing models thus lead us to ask very different questions.

The Capital Asset Pricing Model and the Arbitrage Pricing Theory are two distinct pricing models. Neither one is a special case of the other. The similiarities and the differences between the CAPM and the APT are understood best by olling at the return generating processes they identify as informative. The CAPM and the APT are similiar because they classify the sources which produce the deviation of the acutal return on an asset from its expected reutrn into two categores-those which are priced in the market and those which are not. In our discussion of these two models we shall focus on how each identifies the variations in assets returns which these two models we shall focus on how each identifies the variations in assets returns which are not priced. It is the manner in which these two models identify the sources of variability which are unpriced that distinguishes the two distinct pricing models.

The CAPM is usually developed under the assumption that the distribution of asset returns is multivariate normal or that investor preferences can be represented by quadratic utility functions. These assumptions gurarntee that the covariance between the so-called nonsystematic risk tem, ??, and the marginal utility of wealth is equal to zero. The APT and utility-based factor models, by contrast, call for us to use the informative representations as those which produce ?? that contribute little to the variability of a well-diversifiable portfolio and are treated as diversifiable risk. To find such representations we need to identify the risks in the economy which are pervasive. The two asset pricing models thus lead us to ask very different questions.