摘要
近30多年来,CAPM在广泛应用的同时也备受学者和实践者的争议,主要是方差作为计量风险的指标越来越受到质疑。文章以半方差作为计量风险的指标,得到建立在均值—半方差理论上的一个均衡定价模型———下方资本资产定价模型(D-CAPM),并以上海股票市场为例实证研究D-CAPM的优越性。
For over 30 years academic scholars and practitioners have been debating the merits of the CAPM. In that framework, risk is assessed by the variance of a questionable and restrictive measure of risk. Based on semivariance, this article proposes an alternative pricing model （the downside CAPM, or D - CAPM for short）. In the last, an empirical study of D- CAPM is made.
出处
《统计与信息论坛》
2006年第3期101-106,共6页
Journal of Statistics and Information
