(CAPM)

Milton Friedman, 1976 :


rP

P

rP
CML

rM M

rf

P
M


( )




 (CML)

CML


rM rf
rp rf P
M
( )
rM rf
M
 CML

rM 15% M 21% rf 7%

rp 16.6% ( ),
p ?

0.15 0.07
0.166 0.07 P
0.21
 CAPM (1)
rP
CML

rM M I

I
rf

P
M
 CAPM (2)

a%
i (1-a%)

rp ari (1 a)rM
(1)
p [a (1 a ) 2a(1 a ) iM ]
2
i
2 2 2
M
1/ 2
( 2)

a
 CAPM (3)
rp
ri rM (3)
a
p 2a i2 2 M2 2a M2 2 iM 4a iM

( 4)
a 2[ a i (1 a ) M 2a (1 a ) iM ]
2 2 2 2 1/ 2

(3) (4) a=0

rp
ri rM
a a 0
p iM M2

a a 0
M
 CAPM (4)
M

rp rp / a ri rM

p p / a ( iM M 2
) / M
a 0
( rM r f ) / M
M CML
IM
ri rM rM r f

( iM M ) / M
2
M
 (SML)

iM
ri r f 2 (rM r f )
M
2
M i 1 i iM
N





 (SML)

Beta
iM iM i
i 2
M M

SML
ri rf i rM rf
 (SML)
ri SML

rM M

rf
i

1.0
 Beta

1
;
aggressive security
1

defensive security
 CAPM

ri i i RM i
i2 i2 M2 2

beta
beta
n
P wi i
i 1
 SML
Beta
A 12.0% 20% 1.3
B 8.0% 15% 0.7
10.0% 12% 1.0
5.0%
:
rA 0.05 1.3 0.10 0.05 11.5%
rB 0.05 0.7 0.10 0.05 8.5%
 ri
A SML

0.10 M

B
0.05

0.7 1.0 1.3

i

CAPM
CAPM

75



(rP r f ) P P (rM r f ) P

P 0

P 0

P 0


1


2

50

1.0

1.5
rM r f =0.08
r f 0.05





Operating Leverage

 NPV

NPV

risk-adjusted equilibrium
return


 CAPM
Fama-French

r f 1
2
3
 2

(APT)


 (1)

A 70 50 100

B 60 30 120

C 80 38 112
 (2)

A B
c
50 A 30 B 38

100 A 120 B 112

A 0.4 B 0.6
0.4 70 0.6 60 64
 (3)

1000 C

+20,00 +40,00
A -28,000
0 0
+18,00 +72,00
B -36,000
0 0
-
+80,00
C -38.000 112,00
0
 APT

 APT( ) (1)

APT
ri E(ri ) bi 1F~1 biK F~K i

ri : i

E(ri ) : i
bik : ik(k 1,2, K )
F~k : k
i :
 APT (2)

N
N N N N
~ ~
rp E (r )
i 1
i i
i 1
i bi1 F1
i 1
i biK FK
i 1
i i
 APT (3)


N
i 1
i 0

i
N
ibik 0k N
1
w i i 0
k 1wii 1
wi0
0

N
i 1
i E (ri ) 0
 APT (4)
Ross(1976) K+1
0 , 1 ,K

E ( ri ) 0 1bi1 K biK
rf

0 rf
K
1 0
k

k
k r f k
 APT (5)

k k r f
k
k

E (ri ) r f bi1 ( 1 r f ) biK ( K r f )
 APT

~ ~
ri E ( ri ) bi1 F1 bi 2 F2 i
GDP


4%
10%
12%
 APT

bA1 0.5bA 2 0.75

E (rA ) rf bA1 (1 rf ) bA 2 ( 2 rf )
4% 0.5 6% 0.75 8%

4% 3% 6%

13%


APT
Chen, Roll and Ross(1986, JOB)

Baa AAA