Model CAPM: ukubala ifomula

Kungakhathaliseki ukuthi ukutshalwa kwezimali okuhlukahlukene, akunakwenzeka ukuba aqede zonke izingozi. Abatshalizimali bafanelwe isilinganiso sokubuyisela ukuthi ngabe kwavuzwa ukwamukelwa kwabo. Capital kwempahla zamanani imodeli (CAPM) isiza ukubala ingozi utshalomali futhi ukubuya kulindeleke ku utshalomali.

imibono Cijela

CAPM imodeli ukuhlolwa yaba Economist futhi kamuva uMklomelo KaNobel kwezomnotho , uWilliam Sharpe futhi wachaza encwadini yakhe 1970 "iphothifoliyo theory kanye izimakethe capital." Umqondo iqala neqiniso lokuthi ukutshalwa ezithile zihlanganisa izinhlobo ezimbili izingozi:

1. Ehlelekile. Lokhu izingozi emakethe, esingenakubalwa isabalalise. Izibonelo zenzalo, recessions nezimpi.
2. Unsystematic. Yaziwa nangokuthi ethize. Ziyakwazi ethize amasheya ngabanye kanye nokwanda kwenani lamasheya kuphothifoliyo utshalomali kungenziwa isabalalise. ukukhuluma Ngokomthetho, bamele isitokwe ingxenye efika, okungasekelwe kuhlobene nezinga jikelele kwemakethe.

Modern iphothifoliyo mbono ingozi ethize luqedwe ngokusebenzisa diversification. Inkinga wukuthi namanje akusho ukuxazulula inkinga ingozi letindzala. Ngisho iphothifoliyo ehlanganisa zonke ukwabelana ezimakethe zamasheya, ngeke ayiqede inkinga yokuntuleka ke. Ngakho-ke, lapho kubalwa ukujabulisa engenayo ingozi esihleliwe zimali wayekhathazeka kakhulu. Le ndlela kuyinto indlela ukukala.

Model CAPM: ifomula

Sharpe wathola ukuthi inzuzo ngentengo yamasheya ngabanye noma iphothifoliyo kufanele zilingane izindleko zemali yokuqhuba ibhizinisi. Indinganiso ukubala CAPM imodeli uchaza ubudlelwane phakathi ingozi futhi ukubuya olulindelekile:

_{r a = r f + β a} (m - r f), lapho r _f - ngesilinganiso engozini-free, β _a - beta ukubaluleka ukuphepha (isilinganiso ingozi yayo ingozi emakethe iyonke), _m - isivuno kulindeleke ( _m - r _f) - umklomelo exchange.

Esizoqala kunengozi-free izinga CAPM. Kuyinto, njengoba umthetho, ukuvuma engu-10 kumasheya ezindawo zikahulumeni. Ukuze yengezwe ibhonasi abatshali bezimali ukuze sivale lapho sisilela khona ingozi ezengeziwe lapho uya khona. It siqukethe le inzuzo kulindeleke kusukela emakethe sisonke lokususa izinga engozini-free ukubuya. I-premium ingozi iphindwe Coefficient ukuthi Sharpe ngokuthi "beta."

ingozi isilinganiso

Okuwukuphela ingozi ngesilinganiso ku CAPM kuyinto β-index. Kukala simo esishubile isihlobo, okungukuthi, kubonisa ukuthi intengo ethile isitokwe liyashintshashintsha phezulu naphansi isihlobo ezindabeni zokuhweba ngamasheya iyonke. Uma ihamba ngokunembile ngokuhambisana emakethe, β _a = 1. CB ne β _a = 1,5 sikhule ngo-15%, uma emakethe bayovuka ngo-10%, eyehlela 15% uma lehla ngo-10%.

"Beta" ibalwa ngumuntu ukuhlaziya ngokwezibalo kwemininingwane amasheya ngabanye nsuku zonke inzuzo okungu kuqhathaniswa nsuku zonke emakethe isivuno for sikhathi. Ekutadisheni kwakhe Classic 1972 ngokuthi "imodeli zamanani CAPM imali: ezinye izivivinyo enokwehla" zezomnotho Fischer Black, Maykl Yensen futhi Mayron Shoulz waqinisekisa ubuhlobo komugqa phakathi isivuno izibambiso amaphothifoliyo futhi yabo β-indices. Babetadisha ukuhamba intengo akwabelanayo New York Stock Exchange 1931-1965, ngokulandelana.

Okwakushiwo "beta"

"Beta" kubonisa inani isinxephezelo ukuthi kufanele uthole zimali ngokuthatha ubungozi ezengeziwe. Uma β = 2, izinga ingozi-free-3%, futhi ulinganisele emakethe ezisekelwe ukubuya - 7%, emakethe ukubuya ngokweqile ilingana 4% (7% - 3%). Ngakho, isitokwe ngokweqile ibuyisela 8% (2 x 4%, umkhiqizo isivuno emakethe futhi β-index), futhi isivuno Imininingwane efiswayo ingumuthi 11% (8% + 3% ukubuya ngokweqile plus izinga engozini-free).

Lokhu kusikisela ukuthi ukutshalwa kwezimali okuyingozi kufanele uhlinzeke premium phezu kwesilinganiso engozini-free - leli nani libalwa ngokuvele azalane ngokulingana emakethe premium zayo β-index. Ngamanye amazwi, ingabe kungenzeka, ukwazi izingxenye ngazinye imodeli, ukuze kubhekwe ukuthi share amanani wamanje we nenzuzo yayo kungenzeka, okungukuthi, ukuthi utshalomali dolobha inzuzo noma zibiza kakhulu.

Lisho ukuthini CAPM?

Le modeli silula futhi ihlinzeka yi elula. Ngokusho ke, isizathu kuphela zimali uhola ngaphezulu kuka ukuthenga isabelo esisodwa, hhayi omunye, kuba kuyingozi ngaphezulu. Akumangazi-ke ukuthi imodeli waqala ukubusa imfundiso yesimanje zezimali. Kodwa ingabe iyasebenza ngempela?

Akucaci ngokuphelele. Big isikhubekiso iyona "beta". Lapho UProfesa Yudzhin Fama noKenneth French uphenyo inzuzo isitokwe ku-New York Stock Exchange, kanye American futhi NASDAQ eminyakeni 1963-1990, baye bathole ukuthi umehluko β-indices isikhathi eside kangaka musa ukuchaza ukuziphatha izibambiso ezahlukene. Ukwencika komugqa phakathi Coefficient "beta" futhi ngabanye isitokwe ukubuyiselwa isikhathi esifushane is hhayi waphawula. Lezi idatha zisikisela ukuthi imodeli CAPM kungaba alilungile.

ithuluzi ethandwa

Naphezu kwakho konke lokhu, indlela namanje kabanzi emphakathini utshalomali. Nakuba β-Inkomba Kunzima ukuqagela ukuthi amasheya ngabanye bayosabela kanjani lapho iminyakazo ethile emakethe, zimali kungenzeka kuphephile baphethe ngokuthi yi-portfolio nge "beta" okusezingeni eliphezulu izoya ezingaphezu kuka emakethe, kunoma yisiphi isiqondiso, futhi ongaphakeme izokhuphuka kancane.

Lokhu kubalulekile ikakhulukazi abaphathi Isikhwama ngoba kungenzeka angafuni (noma abakwazi azinikeze) ukubamba imali uma benomuzwa wokuthi emakethe kungenzeka iwe. Esimweni esinjalo, bakwazi ukubamba izitokwe ongaphakeme β-index. Abatshalizimali ungakha iphothifoliyo ngokuhambisana nezidingo zabo ethize ingozi kanye nokwenza inzuzo, abafuna ukuthenga iphepha β _a> 1, lapho emakethe ukhula, futhi β _a <1 lapho lehla.

Akumangalisi ukuthi CAPM uye waqhubeka ngomfutho ukusetshenziswa indexation ngoba ukwakheka iphothifoliyo yamasheya, simulating emakethe othize, labo abafuna ukunciphisa izingozi. Lokhu kungenxa yokungabikho yokuthi, ngokusho imodeli, ukuthola ukubuya ephakeme kunaleyo emakethe iyonke, kungenzeka, uya nengozi.

Ukungapheleli, kodwa lesifanele

imodeli Valuation ezithela kwempahla zezimali (CAPM) kunoma isiphi isimo akusona theory ephelele. Kodwa umoya wakhe kweqiniso. Kuyasiza zimali unqume ukuthi yini inzuzo ebafanele yini engozini imali yabo.

INGEMUVA theory capital emakethe

zihlanganisa ezizathwini tiyori eziyisisekelo:

• Zonke zimali ngokwemvelo yabo bavame ukuzigwema ingozi.
• Sinenkosi esilinganayo ukuhlola ulwazi.
• Kukhona inhloko-dolobha angenamkhawulo ukuthi ungakwazi ukuboleka ngesilinganiso engozini-free ukubuya.
• Investments zingahlukaniswa zibe esingenamkhawulo ukuthi amayunithi usayizi angenamkhawulo.
• Ayikho intela wenzuzo, kunciphise nezindleko.

Ngenxa yalezi preconditions zimali akhethiwe amaphothifoliyo nge ingozi incishisiwe kanye isivuno esiphezulu.

Zisuka nje, la ezizathwini babephathwa njengoba ngiyaphupha. iziphetho lo mbono angaba kanjani okungenani inani elithile kulezi izakhiwo? Nakuba bona ngokwabo kalula kube imbangela Imiphumela ayilungile, ukwethulwa kwe-imodeli futhi kuye kwaba yinto okunzima.

ukugxekwa CAPM

Ngo-1977, ucwaningo olwenziwa Imbarinom Budzhangom futhi Annuarom Nassir, wangishaya imbobo le mfundiso. Zezomnotho ziye ihlelwa isenzo ratio inzuzo inetha intengo. Ngokusho imiphumela, izibambiso nge isivuno isilinganiso ephakeme, njengoba umthetho, ukunikeza inzuzo engaphezu kuka-wabikezela yi CAPM. Ubufakazi obengeziwe alikho umusa kwemfundiso yokuziphendukela uvele eminyakeni embalwa (kuhlanganise umsebenzi uRolf eBanz 1981), lapho kutholakala okubizwa ngokuthi usayizi umphumela. Ucwaningo luye lwabonisa ukuthi encane amasheya emakethe ofeleba baziphathe ungcono wabikezela yi CAPM.

futhi kwenziwa ezinye izibalo, i-jikelele isihloko owawungumnyaka yokuthi imiphumela yezezimali, ngakho elibukhali ngokucophelela abahlaziyi, eqinisweni, aqukethe ulwazi oluthile phambili, okuyinto hhayi kubonakala ngokugcwele β-index. Ekugcineni, intengo yamasheya kuphela inani lamanje nokuphuma kwemali esikhathini esizayo ngesimo inzuzo.

izincazelo kungenzeka

Ngakho kungani ngenombolo enkulu okunjalo izifundo, ehlasela yiqiniso kwalesi CAPM, indlela yokubala isasetshenziswa kabanzi, wafunda futhi wamukela emhlabeni wonke? Enye yezimbangela kungenzeka eziqukethwe Umsebenzi wombhali ngo-2004 ngu-Peter Chang, Herb Johnson noMichael Scilla okwakubekelwa ukuhlaziywa kusetshenziswa i-imodeli CAPM Fama nesiFulentshi 1995. Bathola ukuthi izitokwe isilinganiso eliphansi intengo ukubhuka value, ngokuvamile okungewakho izinkampani ukuthi usanda waba Imiphumela hhayi ezivelele kakhulu, futhi mhlawumbe engathandwa okwesikhashana futhi ezishibhile. Ngakolunye uhlangothi, izinkampani ephakeme kunaleyo emakethe, isilinganiso kungenzeka okwesikhashana overestimated, ngoba zisekela esigabeni sokukhula.

Hlunga amafemu izinkomba ezifana isilinganiso intengo encwadini Inani noma inzuzo, wembula yokusabela subjective zimali, okuyinto ivame ukuba okuhle kakhulu ngesikhathi ukukhula abantu abanemizwa engemihle e lezikhali lawa.

Abatshalizimali futhi bathambekele overestimate ukusebenza esikhathini esidlule, okuholela amanani aphezulu ukuze ukwabelana izinkampani ephethe isilinganiso eliphezulu intengo oyizuzayo (zikhula) kanti futhi incane kakhulu ezinkampanini ne ongaphakeme (ezishibhile). Ngemva kokuphothulwa Imiphumela umjikelezo zivame ukubonisa inani eliphakeme senzuzo izibambiso ezishibhile futhi aphansi yokutshala.

ezama esikhundleni

Kwenziwa imizamo ukwakha indlela engcono kakhulu nokuhlola. imodeli Intertemporal sokunquma ukubaluleka imali Merton (ICAPM) 1973, isibonelo, kuyinto ezinwetshiwe CAPM. It is zihlukaniswa ukusetshenziswa nezinye izimfanelo for kumiswa investimenti target dolobha. I CAPM zimali letha yodwa kusukela ngomnotho ukuthi kuzala amaphothifoliyo abo ekupheleni kwesikhathi lwamanje. Ngo ICAPM bakhatsatekile engenayo gqwa hhayi kuphela, kodwa kusho nethuba lokuthola ukudla noma ukutshala inzuzo.

Uma ukhetha i-portfolio ngesikhathi (T1) ICAPM-zimali ufunde indlela ingcebo yabo ngesikhathi t ingase ixhomeke endleleni eziguquguqukayo ezifana omsebenzi engenayo, amanani entengo ezidayiswayo kanye nesimo kuphothifoliyo amathuba. Nakuba ICAPM kwaba umzamo ukuxazulula amaphutha CAPM, futhi kwadingeka ulinganiselwe.

ngiyaphupha kakhulu

Nakuba imodeli CAPM namanje omunye kabanzi kunazo wafunda futhi wamukela, zako baye bagxekwa kusukela ekuqaleni njengoba yayenza ngokungacabangi kakhulu zimali emhlabeni wangempela. Ngezikhathi ezithile olwenziwa enokwehla indlela ucwaningo.

Izici ezinjengokudla, ubukhulu, okungu kanye ezahlukene zamanani umfutho, zibonisa ngokucacile imodeli abangaphelele. Lokhu engazinaki ezinye amakilasi amaningi kakhulu yefa, ukuze kubhekwe siyindlela elula.

Okudidayo ukuthi, ukuthi kwenziwa ucwaningo kakhulu ekuphikiseni imodeli CAPM-mbono evamile ye emakethe zamanani, futhi akukho namuhla umuntu ibonakala ayisayisekeli imodeli uMklomelo KaNobel waklonyeliswa okuyiwona.