Model CAPM: kukarukureta fomura

Pasinei hwakasiyana-siyana Investments, hazvibviri kubvisa njodzi dzose. Vanoita vakakodzerwa mwero kudzokera kuti zvingadai ndanyarara hangu nokuda kwavo nevamwe. Capital twa Pricing womuenzaniso (CAPM) inobatsira kuverenga kuti mubhizimisi pangozi uye kutarisirwa kudzoka musi inivhesitimendi.

pfungwa Sharp

CAPM womuenzaniso kupima yakazokudziridzwa ive Economist uye gare gare paakavapa Nobel Prize muna dzezvoupfumi , William Sharpe uye iri rake 1970 rinonzi "Portfolio yokuti uye misika guru." Pfungwa rinotanga yokuti zvimwe upfumi inosanganisira mhando mbiri njodzi:

1. Enderana. Izvi musika nengozi, risingagoni dzakasiyana-siyana. Miyenzaniso mubereko rates, recessions uye hondo.
2. Unsystematic. Aizivikanwawo dzakananga. Ndivo dzakananga neimwe mumatanda uye kunogona dzakasiyana-siyana yakawedzera nhamba kuchengetedzeka vari mubhizimisi Portfolio. Zvazviri kutaura, ivo vanomiririra chinoumba kudanda yakasvika, iyo isina correlated pamwe zvinonyatsorehwa pamusika kufamba.

Modern Portfolio inoti chaiyo ngozi anogona kubviswa kuburikidza diversification. Chinetso ndechokuti ichiri haupedzi dambudziko systemic ngozi. Kunyange Portfolio zvinosanganisira zvose migove vari pamusika wemari, haagoni kuhupedza. Naizvozvo, kana pakuverenga yakaenzanirana mari enderana mukana zvikuru vexing makambani. Nzira iyi ndiyo nzira yokuti usaruyera.

Model CAPM: fomura

Sharpe vakawana kuti purofiti kubva munhu wemari kana Portfolio anofanira kuenzana mutengo guru. A mureza kukarukureta CAPM womuenzaniso rinotsanangura ukama pakati pangozi uye zvinotarisirwa kudzoka:

_{R ane = R f + β munhu} (R M - R f), sezvamakaropafadzwa R _add - mukana isina zvazvingava, β _munhu - beta kukosha kuchengeteka (nhamba panjodzi kwayo mikana pamisika rose), R _M - akatarisirwa goho ( R _M - R _f) - mubayiro exchange.

Pokutangira ane mukana-isina zvazvingava CAPM. Zvinoita, sezvo mutemo, zvibereko pamusoro-gore 10 hurumende zvisungo. To zviri wakawedzera bhonasi kune makambani kuripa kuti mamwe ngozi kwavakange vachienda. Inoitwa akatarisirwa mari kubva kumusika rose kubvisa ngozi-isina mwero yokudzoka. The ngozi shoma kane ane coefficient kuti Sharpe akadana "Beta."

ngozi chiyero

The chete ngozi chiyero muna CAPM ari β-indekisi. It anoyera hama volatility, kureva, inoratidza sei chimwe wemari mutengo fluctuates uye pasi hama kuti pamusika wemari yose. Kana chinofamba kunyatsoreva maererano pamusika, ari β _ane = 1. CB pamwe β _ane = 1,5 kukura nokuda 15%, kana musika achasimuka nokuda 10%, uye anosiya kusvika 15% kana anosiya 10%.

"Beta" rinowanikwa neboka Statistical kuongorora nomumwe mumatanda nezuva profitability ratios zvichienzaniswa nezuva kumusika zvibereko nokuda iyoyo. In ake chaiwo kudzidza muna 1972 rinonzi "Pricing womuenzaniso CAPM mari yesangano: vamwe miedzo empirical" nezvoupfumi Fischer Black, Maykl Yensen uye Mayron Shoulz akasimbiswa Linear ukama pakati zvibereko pakati kuchengetedzeka nemigove mumabhizimisi dzavo β-indices. Vadzidza kwebasa mutengo migove pamusoro New York Stock Exchange muna 1931-1965, ukuwo.

Zvinoreva "Beta"

"Beta" rinoratidza chitsama muripo kuti vanofanira kuwana vanoita kuti kuita mamwe ngozi. Kana β = 2, ngozi-akasununguka mwero ndiko 3%, uye musika anotsanangura mwero yokudzoka - 7%, pamusika zvakawandisa kudzoka akaenzana 4% (7% - 3%). Saizvozvowo, kunyanya hunde anodzoka 8% (2 X 4%, chigadzirwa goho pamusika uye β-indekisi), uye yose vaida goho riri 11% (8% + 3% zvakawandisa kudzoka ndinoiitawo ngozi-akasununguka zvazvingava).

Izvi zvinoratidza kuti ngozi upfumi vanofanira kupa shoma pamusoro ngozi-isina zvazvingava - mari iyi rinowanikwa nevanhu vachiwedzera kuti zvakarurama musika dzinonyanya kukoshesa ayo β-indekisi. Mune mamwe manzwi, ingangodaro, achiziva munhu zvikamu wokuenzanisira, kuongorora kana kuitika mugove mutengo wayo kunge profitability, kureva, kana guta guru mari kunobatsira kana kuti zvinodhura.

Ko CAPM?

womuenzaniso Izvi nyore chaizvo uye inopa nyore mugumisiro. Sezvazvakanyorwamo, chikonzero chete kuti investor anowana zvinopfuura kutenga chimwe mugove, kwete mumwe, zvinonyanya ngozi. Hazvishamisi, muenzaniso uyu akatanga kudzora ari ano mari dzidziso. Asi Anombonyatsonzwa zvifambe?

Hazvina pachena zvachose. The guru chinogumbura ndiye "Beta". Apo Professor Yudzhin Fama uye Kenneth French nezvokumwe profitability ndiri pamusoro New York Stock Exchange, uye American uye NASDAQ mumakore 1963-1990, vakaona kuti musiyano iri β-indices chakadaro yakareba regai tsanangura maitiro kuchengetedzeka siyana. The Linear kutsamira pakati coefficient "Beta" uye munhu Nehunde anodzoka kuti pfupi nguva haina kuchengetwa. Data izvi zvinoratidza kuti CAPM womuenzaniso kunogona kuva kururama.

mukurumbira turusi

Pasinei neizvi, nzira richiri kushandiswa nevakawanda vari mubhizimisi munharaunda. Kunyange β-indekisi zvakaoma kufungidzira kuti mumatanda nomumwe achaita sei vamwe kumusika kufamba, vanoita ungangokuvara ngozi kuwana mhedziso kuti Portfolio aine "Beta" mukuru kuchaita kupfuura kumusika, chero mirayiridzo, uye vakaderera achaita-chinja zvishoma.

Izvi zvinokosha kunyanya mari mamaneja nekuti varege kuda (kana havazvikwanisi) kubata mari kana vanofunga kuti kumusika chinowanzoitika kuwa. Pakadaro, vanogona kuchengeta mumatanda pamwe yakaderera β-indekisi. Vanoita kungakonzera Portfolio maererano yavo chaiyo zvinodiwa kuti pangozi uye profitability, achida kutenga bepa pamwe β _ane> 1, kana musika ari kukura, uye pamwe β _ane <1 kana anosiya.

Hazvishamisi CAPM akaita huvandudzike kushandiswa indexation kuti paumbwe mugove Portfolio, simulating kumusika chaiwo, avo vanotsvaka kuderedza ngozi. Izvi kunonyanya kukonzerwa chokwadi kuti, maererano wokuenzanisira, kuti awane yepamusoro kudzoka pane kumusika seboka, zvinokwanisika, kuenda kunopa ngozi huru.

Kukwana, asi zvechokwadi

Uchimutarira womuenzaniso Goho mari yesangano (CAPM) chero zvazvingava hakusi akakwana dzidziso. Asi mweya wake zvechokwadi. Zvinobatsira vanoita kuziva chii kunobatsira zvakavakodzera chii pangozi mari yavo.

MARARAMIRO musika guta dzidziso

zvinosanganisira zvekungofungira inokosha pfungwa:

• vanoita zvose pachisikirwo dzavo vanowanzotevedzera kudzivisa ngozi.
• Vane zvakafanana nguva kuongorora mashoko.
• Pane guta parinogumira kuti unogona kukwereta pangozi isina mwero yokudzoka.
• Investments inogona kupatsanurwa kuva risina parinogumira uwandu vamapoka risina parinogumira saizi.
• No nemitero, mitengo uye uchishandisa mari.

Nokuda preconditions izvi vanoita vakasarudzwa nemigove mumabhizimisi pamwe kushoma pangozi uye kunonyanyisa goho.

Kubva pakutanga chaipo, zvekungofungira aya kubatwa shamisa. kugumisa kuti dzidziso iyi vaigona sei kuva pane vamwe kukosha mune nzvimbo idzi? Kunyange zvazvo ivo pachavo vanogona nyore kuva chikonzero kururama zvabuda, kutanga muenzaniso kwakaratidza zvakaoma.

kutsoropodzwa CAPM

Muna 1977, mumwe ongororo Imbarinom Budzhangom uye Annuarom Nassir, chibhakera buri dzidziso. Nezvoupfumi kunge arongwe Zvakaitwa nokuda nhamba mambure purofiti kuti mutengo. Maererano zvabuda, kuchengetedzeka ane yepamusoro goho reshiyo, sezvinoita ushe, kupa zvakawanda haibatsiri pane kwazvakaitwa CAPM. Humwe uchapupu hakusi muchifarira dzidziso wakaonekwa makore mashoma (kusanganisira basa Rolf Banz 1981), apo yakawanikwa vanonzi kukura kwepasi. Kutsvakurudza kwakaratidza kuti diki musika capitalization mumatanda makaita kupfuura kwazvakaitwa CAPM.

uye rakanga rakataku- vamwe Masvomhu, mukuru dingindira iyo ndechokuti mari zvabuda, saka nokungwarira kuongororwa kubudikidza vaongorori Chokwadi, ane zvimwe ramangwana ruzivo, iyo isingataurwi zvinoratidzwa zvizere β-indekisi. Pakupedzisira, mugove mutengo chete nechipo kukosha ramangwana mari Rwako muchimiro zvisingabatsiri.

zvinogoneka tsanangudzo

Saka nei rakakura kudaro nhamba yezvidzidzo, kurwisa kururama kwemashoko CAPM, nzira richiri kushandiswa nevakawanda, vakadzidza uye akagamuchira rose? Mumwe zvichibvira tsananguro anogona huri basa rakanyorwa muna 2004 na Peter Chang, Herb Johnson uye Michael Scilla rakanga vakaongorora kushandisa muenzaniso CAPM Fama uye French 1995. Vakawana kuti mumatanda vane pasi reshiyo mutengo kuti bhuku rinokosha, kazhinji anazvo nemakambani kuti vachangobva aiva asina chaizvo kunoshamisa zvabuda, uye zvimwe, chakamboti vasingadzikurudzire uye zvakachipa. Ukuwo, makambani kupfuura musika, nhamba anogona kwenguva duku dzakanaka, sezvo ivo vari kukura rwakazara.

Sort yemakambani ari zviratidzo zvakadai reshiyo mutengo kuti bhuku kukosha kana profitability kuti, akaratidza kuzviitira maitiro makambani, izvo zvinowanzoita kuti panguva kukura kwazvo zvakanaka uye kunyanya kunaka ari paanochinja.

Vanoita uyewo vanowanzoda kuona kare chaitwa, iyo inotungamirira kuupenyu yakakwirira mitengo nokuda anogoverana makambani rurefu reshiyo mutengo kuti zvakaoma (kukura) uye zvakare pasi mumapoka ane pasi (chisingakoshi). Mushure kuvakwa kutenderera zvabuda kazhinji dzinoratidza pangozi yokudzoka nokuda zvakachipa kuchengetedzeka uye ezasi yaikura.

kuedza kutsiva

Vakaedza kusika nzira wayo zvakanakisisa. Intertemporal muenzaniso Pakusarudza kukosha mari yesangano Merton (ICAPM) 1973, somuenzaniso, ndiko kuwedzera CAPM. Zvinonzi kuzivikanwa nokushandisa dzimwe prerequisites kuti paumbwe kubaya guru inivhesitimendi. The CAPM vanoita hanya chete pamusoro upfumi kuti inongomutsa nemigove mumabhizimisi zvavo pakupera magetsi kumwedzi. In ICAPM vane hanya kwete chete nguva nenguva mari, asiwo mukana uparadze kana mari purofiti.

Kana kusarudza Portfolio panguva (T1) ICAPM-vanoita kudzidza sei pfuma yavo panguva T kungaenderana variables akadai basa mari, mutengo mutengi zvinhu yezvakaita Portfolio mikana. Kunyange zvazvo ICAPM aiva akanaka kuedza kugadzirisa zvinokanganiswa CAPM, uyewo yakanga painogumira.

wo shamisa

Kunyange zvazvo CAPM womuenzaniso ichiri imwe inonyanya vadzidza uye kugamuchirwa, isina kuvakirwa kunge vakatsoropodza kubva pakutanga sezvo zvakare musoro kuti makambani munyika chaiyo. Kubva nguva nenguva kuitiswa empirical tsvakurudzo nzira.

Zvinhu zvakadai size, ratios uye zvakasiyana Pricing tichimhanya, anoratidza pachena muenzaniso kukwana. Izvi hanya twa akawandisa mamwe makirasi, kuitira kuti kunzi chine musoro chokuti.

Zvinoshamisa, kuti tsvakurudzo kudai kuramba CAPM muenzaniso sezvo mureza dzidziso musika Pricing, uye hapana mumwe nhasi sokuti kuva haachatyi inotsigira muenzaniso iyo Nobel Prize akanga paakavapa.