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货币的时间价值、价值评估和风险管理是现代金融学的三大基石。价值评估,即主要是资产定价理论(CAPM)是研究风险资产市场中的均衡价格理论,夏普CAPM模型是理论发展的黄金时期的标志性成果。本文以时间为轴,对模型的起始、演变进行了介绍,形成了以CAPM为核心的价值评的总体框架,并分析其在实证中面对困境的分析,最后对资产定价模型未来发展方向做了展望。
The time value of money, value assessment and risk management are the three cornerstones of modern finance. The value assessment, that is, mainly the asset pricing theory (CAPM) is a study of the equilibrium price theory in the market of risk assets. The Sharp CAPM model is a landmark achievement of the golden age of theoretical development. This paper introduces the beginning and evolution of the model by taking the time as the axis, and forms the overall framework of the value evaluation with CAPM as the core. It also analyzes the analysis of its predicament in the empirical evidence, and finally analyzes the future development of asset pricing model Made a look.