去杠杆化CAPM:资产贝塔系数与股权贝塔系数

European Finance eJournal Pub Date : 2021-10-13 DOI:10.2139/ssrn.3941752

Emilio Barone, Gaia Barone

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引用次数: 0

摘要

众所周知，资本资产定价模型的经典估值是不稳定的。我们假设这主要是由于公司的杠杆率随时间的变化。为了考虑杠杆，我们提出了一种新的方法，其中公司之间的资产相关性是两两不变的，而股票相关性随着时间的推移而变化，作为公司资产价值随机演变的函数。论文以一个有助于展示该模型特征的模拟作为结束语。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Deleveraging CAPM: Asset Betas vs. Equity Betas

The classic estimates of CAPM equity betas are notoriously unstable. We assume that this is mainly due to changes of firm’s leverage over time. In order to take leverage into account, we propose a new approach where asset correlations among firms are pairwise constant, while equity correlations change over time as a function of the stochastic evolution of firms’ asset values. The paper closes with a simulation that helps to show the model’s features.

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European Finance eJournal

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