异质投资视野下的市场均衡与资本成本

IF 2 Q2 BUSINESS, FINANCE
Risks Pub Date : 2024-02-29 DOI:10.3390/risks12030044
Moshe Levy, Haim Levy
{"title":"异质投资视野下的市场均衡与资本成本","authors":"Moshe Levy, Haim Levy","doi":"10.3390/risks12030044","DOIUrl":null,"url":null,"abstract":"Expected returns, variances, betas, and alphas are all non-linear functions of the investment horizon. This seems to be a fatal conceptual problem for the capital asset pricing model (CAPM), which assumes a unique common horizon for all investors. We show that under the standard assumptions, the theoretical CAPM equilibrium surprisingly holds with the 1-period parameters, even when investors have heterogeneous and possibly much longer horizons. This is true not only for risk-averse investors, but for any investors with non-decreasing preferences, including prospect theory investors. Thus, the widespread practice of using monthly betas to estimate the cost of capital is theoretically justified.","PeriodicalId":21282,"journal":{"name":"Risks","volume":"80 1","pages":""},"PeriodicalIF":2.0000,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Market Equilibrium and the Cost of Capital with Heterogeneous Investment Horizons\",\"authors\":\"Moshe Levy, Haim Levy\",\"doi\":\"10.3390/risks12030044\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Expected returns, variances, betas, and alphas are all non-linear functions of the investment horizon. This seems to be a fatal conceptual problem for the capital asset pricing model (CAPM), which assumes a unique common horizon for all investors. We show that under the standard assumptions, the theoretical CAPM equilibrium surprisingly holds with the 1-period parameters, even when investors have heterogeneous and possibly much longer horizons. This is true not only for risk-averse investors, but for any investors with non-decreasing preferences, including prospect theory investors. Thus, the widespread practice of using monthly betas to estimate the cost of capital is theoretically justified.\",\"PeriodicalId\":21282,\"journal\":{\"name\":\"Risks\",\"volume\":\"80 1\",\"pages\":\"\"},\"PeriodicalIF\":2.0000,\"publicationDate\":\"2024-02-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Risks\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3390/risks12030044\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Risks","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3390/risks12030044","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

摘要

预期收益、方差、贝塔和阿尔法都是投资期限的非线性函数。这似乎是资本资产定价模型(CAPM)的一个致命概念问题,因为该模型假定所有投资者都有一个唯一的共同期限。我们的研究表明,在标准假设条件下,理论上的 CAPM 平衡在 1 期参数下出人意料地成立,即使投资者的投资期限是异质的,甚至可能更长。这不仅适用于风险规避型投资者,也适用于任何具有非递减偏好的投资者,包括前景理论投资者。因此,使用月度赌注估计资本成本的普遍做法在理论上是合理的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Market Equilibrium and the Cost of Capital with Heterogeneous Investment Horizons
Expected returns, variances, betas, and alphas are all non-linear functions of the investment horizon. This seems to be a fatal conceptual problem for the capital asset pricing model (CAPM), which assumes a unique common horizon for all investors. We show that under the standard assumptions, the theoretical CAPM equilibrium surprisingly holds with the 1-period parameters, even when investors have heterogeneous and possibly much longer horizons. This is true not only for risk-averse investors, but for any investors with non-decreasing preferences, including prospect theory investors. Thus, the widespread practice of using monthly betas to estimate the cost of capital is theoretically justified.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Risks
Risks Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)
CiteScore
3.80
自引率
22.70%
发文量
205
审稿时长
11 weeks
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信