KLI

資本資産價格決定模型의 適用可能性에 관한 硏究

Metadata Downloads
Alternative Title
A Note on the Foundations and Current Status of the Capital Asset Pricing Model
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.
Author(s)
兪凡濬
Issued Date
1985
Type
Research Laboratory
URI
https://oak.ulsan.ac.kr/handle/2021.oak/4733
http://ulsan.dcollection.net/jsp/common/DcLoOrgPer.jsp?sItemId=000002024677
Alternative Author(s)
Yu,Beom-Joon
Publisher
연구논문집
Language
kor
Rights
울산대학교 저작물은 저작권에 의해 보호받습니다.
Citation Volume
16
Citation Number
2
Citation Start Page
499
Citation End Page
512
Appears in Collections:
Research Laboratory > University of Ulsan Report
Authorize & License
  • Authorize공개
Files in This Item:

Items in Repository are protected by copyright, with all rights reserved, unless otherwise indicated.