基于价值分解的CAPM“异常现象”理论解释

Abstract

Abstract: This paper firstly decomposes the market value of stocks into intrinsic value and market-trading value.Then it is strictly deduced that the biases of empirical β of CAPM deviates from the real one contains scale bias and firm-specific ones which fundamentally conduce CAPM anomalies.Furthermore, it demonstrates the dynamic characters of bias structure of CAPM’s empirical β. In addition,appropriate theoretic explanation is supplied for Fama and French’s three-factor model.

Key words: Value decomposition, CAPM, scale bias, firm-specific bias

CLC Number:

F831

GUO Lei, WU Chong-feng. The Theoretical Explanation of CAPM Anomalies Based on Value Decomposition[J]. Chinese Journal of Management Science, 2005, (1): 14-18.

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The Theoretical Explanation of CAPM Anomalies Based on Value Decomposition

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