Nontraded assets and the CAPM
Nontraded assets and the CAPM
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非交易资产和 CAPM
DOI：
10.1016/0014-2921(94)90127-9
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发表时间：
1994
期刊：
影响因子：
--
通讯作者：
P. Weil
中科院分区：
文献类型：
--
作者：
P. Weil
依赖不可交易资产（如人类财富）的存在来解决股权溢价之谜的资产定价模型必须面对绝对风险厌恶程度下降的影响：根据微观数据，富裕的投资者持有股票市场，其行为在边际上对确定均衡资产价格至关重要，在其他条件不变的情况下，他们比普通消费者更不厌恶风险。本文强调了一个渠道，通过该渠道可以克服绝对风险厌恶的影响：交易资产的回报率和边际投资者的人力资本之间存在正相关关系。
Asset pricing models that rely on the presence of non-tradable assets (such as human wealth) to solve the equity premium puzzle have to confront the effect of decreasing absolute risk aversion: rich investors, who according to micro data hold the stock market and whose behavior is the one that matters, at the margin, for the determination of equilibrium asset prices, are less risk averse, ceteris paribus, than the average consumer. This paper highlights a channel through which the effect of decreasing absolute risk aversion can be overcome: the existence of a positive correlation between the rates of return on traded assets and on the human capital of marginal investors.