Abstract: Capital Market Equilibrium in a Mean-Lower Partial Moment Framework
Abstract: Capital Market Equilibrium in a Mean-Lower Partial Moment Framework
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DOI：
10.1017/s0022109000023346
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发表时间：
1977-11
影响因子：
3.9
通讯作者：
V. Bawa;E. Lindenberg
中科院分区：
文献类型：
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作者：
V. Bawa;E. Lindenberg
在本文中，我们建立了一个资本资产定价模型（CAPM）使用的均值下偏矩框架。我们明确地推导了风险资产均衡价值的估值公式，并为新的CAPM的实证验证提供了一个无分布的可检验假设。我们证明了我们的结果对估计风险问题的不变性。当证券风险收益率的概率分布为正态分布、稳定Paretian分布（特征指数在1和2之间，偏度参数不一定为零）或多元t分布时，本文的CAPM退化为传统的两参数CAPM。
In this paper, we develop a Capital Asset Pricing Model (CAPM) using a mean-lower partial moment framework. We explicitly derive the valuation formulas for the equilibrium value of risky assets and provide a distribution-free testable hypothesis for empirical validation of the new CAPM. We show the invariance of our results to the problem of estimation risk. We also show that when the probability distribution of security rer turns is the normal distribution, the stable Paretian distribution (with the same characteristic exponent between 1 and 2 and the same skewness parameter (not necessarily zero)), or the multivariate t-distribution, our CAPM reduces to the traditional two-parameter CAPM.