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Lecture Investments (6/e) - Chapter 9: The capital asset pricing model

The capital asset pricing model, almost always referred to as the CAPM, is a centerpiece of modern financial economics. The model gives us a precise prediction of the relationship that we should observe between the risk of an asset and its expected return. Chapter 9 provides knowledge of the capital asset pricing model. The Capital Asset Pricing Model Chapter 9 Capital Asset Pricing Model (CAPM) It is the equilibrium model that underlies all modern financial theory. Derived using principles of d

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The Capital Asset Pricing Model Chapter 9 Capital Asset Pricing Model (CAPM) It is the equilibrium model that underlies all modern financial theory. Derived using principles of diversification with simplified assumptions. Markowitz, Sharpe, Lintner and Mossin are researchers credited with its development. 19­2 Assumptions Individual investors are price takers Single-period investment horizon Investments are limited to traded financial assets No taxes and transaction costs. 19­3 Assumptions (cont’d) Information is costless and available to all investors. Investors are rational mean-variance optimizers. There are homogeneous expectations. 19­4 Resulting Equilibrium Conditions All investors will hold the same portfolio for risky assets – market portfolio. Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value. 19­5 ... - tailieumienphi.vn
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