| 考虑交易成本和优良资产的资本性资产定价模型 |
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| 引用本文： | 罗秋兰,陈有禄.考虑交易成本和优良资产的资本性资产定价模型[J].昆明理工大学学报(理工版),2004,29(3):128-131. |
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| 作者姓名： | 罗秋兰 陈有禄 |
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| 作者单位： | 广西工学院,管理系,广西,柳州,545006 |
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| 基金项目： | 广西自然科学基金资助 (项目编号 :桂科自 0 385 0 0 8)，广西工学院科研基金资助项目 (项目编号 :0 30 111) |
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| 摘 要： | Sharpe的CAPM理论是现代金融理论的核心内容，已被广泛应用于金融资产定价分析及投资决策等领域，但该模型过于严格的基础假设，尤其是忽略交易成本和优良资产的存在，使模型的应用范围和使用效果受到了限制．通过引入交易成本和优良资产，讨论在资本市场中单个风险资产的风险与回报的关系，从而得到一种新的更为适用的资本性资产定价模型修正模型SCAPM．改进后的CAPM，更加贴近资本证券市场的实际．
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| 关 键 词： | 优良资产 交易成本 CAPM |
| 文章编号： | 1007-855X(2004)03-0128-04 |
| 修稿时间： | 2004年3月8日 |
Study of the Capital Asset Pricing Model with a Superior Asset and Transaction Cost |
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| LUO Qiu-lan,CHEN You-lu.Study of the Capital Asset Pricing Model with a Superior Asset and Transaction Cost[J].Journal of Kunming University of Science and Technology(Natural Science Edition),2004,29(3):128-131. |
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| Authors: | LUO Qiu-lan CHEN You-lu |
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| Abstract: | Sharpe's CAPM theory is the core of modem financial theories, and has been widely applied to the fields such as pricing analysis of financial assets and investment decision-making, etc. However, the rigid basic hypothesis of the mode make the applied scope and usage effect of CAPM to be bounded,especially in ignoring the existence of transaction, costs and superior assets. By means of considering transaction, cost and superior assets, the relation between the expected rate of an individual asset and its individual risk in a capital market is studied, and a kind of the adaptable revised model of capital asset pricing model(SCAPM) is given. The improved CAPM mode will be more appropriate for the real situation of the capital security market. |
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| Keywords: | superior assets transaction costs CAPM |
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