SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS
SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS
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DOI：
10.1111/j.1540-6261.1976.tb01961.x
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发表时间：
1976-09
影响因子：
8
通讯作者：
A. Kraus;R. Litzenberger
中科院分区：
文献类型：
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作者：
A. Kraus;R. Litzenberger
对投资组合分析的贡献是基于投资组合选择的两个参数（均值方差）模型。Markowitz的规范理论为Sharpe [38]和Lintner [27]开发的风险资产估值的实证理论提供了基础。双参数资本资产定价模型在业绩衡量、证券市场有效性检验和公司融资等方面有着广泛的应用。最近，Friend和Blume [15]，Black，詹森和斯科尔斯[5]，米勒和斯科尔斯[31]，法马和MacBeth [14]，以及Blume和Friend [8]发表了与SharpeLintner模型的传统形式不一致的经验结果。这些研究表明，资本资产定价模型的斜率比传统理论预测的要低，截距比传统理论预测的要高。使用Cass-Stiglitz [10]的观察，即整个均值方差边界可以由任何边界投资组合的线性组合产生，Vasicek [41]和Black [6]表明，这些实证结果与没有借贷的资本市场均衡一致。不幸的是，瓦西切克-布莱克修正导致了一个较弱的正理论，因为他们的资本市场模型的斜率大小和截距大小都没有被预测到。Brennan [9]表明，在借贷利率不同的情况下，修正的资本资产定价模型预测截距受借贷利率的限制，等价地，斜率受市场预期收益率与借贷利率之差以及市场预期收益率与借贷利率之差的限制。虽然Friend和Blume解释他们的经验结果与借贷利率不同的均值方差模型一致，但Black、詹森和Scholes的经验结果似乎与Brennan修正的预测不一致，因为截距超过了借贷利率。本文扩展了资本资产定价模型，
contributions to portfolio analysis have been based on the two parameter (meanvariance) model of portfolio selection. Markowitz's normative theory provides the basis for the positive theory of the valuation of risk assets developed by Sharpe [38] and Lintner [27]. The two parameter capital asset pricing model has been subject to numerous applications including performance measurement, tests of security market efficiency and corporation finance.' Recently, Friend and Blume [15], Black, Jensen and Scholes [5], Miller and Scholes [31], Fama and MacBeth [14], and Blume and Friend [8] have published empirical results which are inconsistent with the traditional form of the SharpeLintner model. These studies suggest that the slope of the capital asset pricing model is lower and the intercept higher than predicted by the traditional theory. Using the Cass-Stiglitz [10] observation that the entire mean variance frontier may be generated by linear combinations of any frontier portfolios, Vasicek [41] and Black [6] show that these empirical results are consistent with capital market equilibrium in the absence of borrowing. Unfortunately, the Vasicek-Black modification results in a weaker positive theory since neither the magnitude of the slope nor the magnitude of the intercept of their capital market model is predicted. Brennan [9] shows that under divergent borrowing and lending rates the modified capital asset pricing model predicts that the intercept is bounded by the borrowing and lending rates and, equivalently, that the slope is bounded by the difference between the market's expected rate of return and the lending rate, and the difference between the market's expected rate of return and the borrowing rate. Although Friend and Blume interpret their empirical results as consistent with a mean variance model under divergent borrowing and lending rates, the Black, Jensen and Scholes' empirical results appear to be inconsistent with the predictions of the Brennan modification since the intercept exceeds the borrowing rate. The present paper extends the capital asset pricing model to incorporate the