CAPM 滥用时的套利机会 |
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引用本文: | 方曙红.CAPM 滥用时的套利机会[J].复旦学报(自然科学版),2003,42(5):793-795. |
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作者姓名: | 方曙红 |
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作者单位: | 复旦大学,管理学院,财务金融系,上海,200433 |
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摘 要: | 在CAPM的世界里导出根据资产的期未价值评估资产当前价值的估价公式,然后证明市场引入的某些新资产如果用CAPM估价其价值将会为负,从而说明CAPM滥用将会出现套利机会.
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关 键 词: | CAPM 套利机会 资产定价 |
文章编号: | 0427-7104(2003)05-0793-03 |
Arbitrage Opportunities under CAPM |
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Abstract: | A valuation formula is introduced based on the future cash flow and CAPM. Then it is shown that the value of some new assets by use of the formula may be negative in some market cases, which implies that there may exist arbitrage opportunities when CAPM is abused. |
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Keywords: | CAPM arbitrage opportunity asset valuation |
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