Model CAPM: mawerengedwe chilinganizo

Ziribe kanthu momwe osiyanasiyana ndalama, sikutheka kuthetsa mavuto onse. Makampani akuyenera mlingo wa kubwerera izo zikanakhala kulipidwa kukhazikitsidwa awo. Capital kakatundu mitengo chitsanzo (CAPM) amathandiza kuwerengetsa chiopsezo ndalama ndi kuyembekezera kubwerera pa ndalama.

malingaliro lakuthwa

CAPM chitsanzo ziyenera anayamba kupanga zachuma ndipo kenako kupereka Mphoto Nobel mu zachuma , William Sharpe ndi kuzikwaniritsa wake 1970 buku "chiphunzitso mbiri ndi misika likulu." lingaliro ili likuyamba ndi chakuti ena ndalama monga mitundu iwiri ya mavuto:

1. Mwadongosolo. Izi msika ngozi, amene sakhoza chapachokha. Zitsanzo ndi chidwi mitengo, recessions ndi nkhondo.
2. Unsystematic. Amatchedwanso yeniyeni. Iwo yeniyeni m'matangadza munthu akhoza chapachokha kuchuluka kwa masheya mu mbiri ndalama. Mwaukadaulo kulankhula, iwo akuimilira ndi katundu chigawo anafika, amene si chilamulira chikhalidwe ndi kayendedwe chonse msika.

Modern mbiri chiphunzitso zikusonyeza kuti chiopsezo yeniyeni angathe kuthetsedwa mwa osiyana. vuto ndi kuti komabe si vuto la chiopsezo zokhudza zonse. Ngakhale mbiri wopangidwa mwa mafuko onse msika katundu, sangakwanitse kuthetsa izo. Choncho, pamene kuwerengetsa chilungamo ndalama chiopsezo mwadongosolo ndalama zambiri vexing. Njira imeneyi ndi njira kuyeza izo.

Model CAPM: chilinganizo

Sharpe anapeza kuti phindu kwa katundu munthu kapena mbiri ayenera zofanana mtengo wa likulu. A muyezo mawerengedwe CAPM chitsanzo Pofotokoza pakati pa chiopsezo ndi sikhala kubwerera:

_{r Mukhoza kukhala = r Mukhoza f + β ndi} (r Mukhoza mamita - r Mukhoza f), mmene r Mukhoza _F - chiopsezo wopanda ndalama, β _ndi - beta mtengo wa chitetezo (chiŵerengero cha chiopsezo ake kuti chiopsezo ku msika lonse), r Mukhoza _mamita - kuyembekezera zokolola ( r Mukhoza _mamita - r Mukhoza _f) - mphoto kuwombola.

Poyambira chiopsezo wopanda ndalama CAPM. Ndi, monga ulamuliro, zokolola pa 10 wazaka nsinga boma. Kuti izo anawonjezera bonasi kwa ndalama zoperewerazo chiopsezo zina zimene iwo kupita. Amakhala ndi phindu kuyembekezera ku msika lonse opanda mlingo chiopsezo wopanda adzabweranso. Umafunika chiopsezo kuchulukitsa ndi koyefishienti kuti Sharpe amatchedwa "beta."

muyeso chiopsezo

Yekha chiopsezo muyeso mu CAPM ndi β-index. Iwo amaona osakhalitsa wachibale, ndiye chimasonyeza mmene makamaka mtengo katundu fluctuates mmwamba ndi pansi wachibale msika wogulitsa wonse. Ngati limayenda ndendende mogwirizana ndi msika, ndi β _ndi = 1. CB ndi β _ndi = 1,5 kukula ndi 15%, ngati msika adzauka ndi 10%, ndipo akutsikira 15% ngati akutsikira 10%.

"Yoyeserera" kuchita masamu ndi kusanthula zowerengera munthu m'matangadza tsiku magawanidwe profitability poyerekeza ndi msika zokolola tsiku ndi tsiku nthawi yomweyo. Mu phunziro tingachipeze powerenga mu 1972 wotchedwa "mitengo chitsanzo CAPM chuma chuma: ena mayesero wazotsatira" chuma Fischer Black, Maykl Yensen ndi Mayron Shoulz anatsimikizira ubale liniya pakati pa zokolola za sheya m'chuma ndi awo β-akalozera. Anaphunzira kayendedwe ka mtengo wa magawo pa New York Stock Kusinthanitsa mu 1931-1965, motero.

Tanthauzo la "beta"

"Yoyeserera" akusonyeza malipilo kuti ayenera kupeza ndalama chifukwa cholanda pa chiopsezo zina. Ngati β = 2, chiopsezo wopanda mtengo 3%, ndi msika ofotokoza mlingo wa kubwerera - 7% msika owonjezera kubwerera ndi wofanana 4% (7% - 3%). Choncho, amaika katundu akubwerera 8% (2 × 4%, mankhwala zokolola msika ndi β-index), ndipo okwana anakhumba zipatso ndi 11% (8% + 3% owonjezera kubwerera kuphatikiza mlingo chiopsezo wopanda).

Izi zikusonyeza kuti yowopsa ndalama ayenera kupereka umafunika pa mlingo chiopsezo wopanda - ndalamazo kuchita masamu ndi kuchulukitsa ndi chilungamo msika umafunika pa ake β-index. M'mawu ena, n'zotheka ndithu, podziwa mbali payekha chitsanzo, kuti aone ngati panopa gawo mtengo wa profitability ake n'kutheka kuti ali, kaya ndalama likulu yopindulitsa kapena mtengo kwambiri.

ndi CAPM amachita chiyani?

chitsanzo ichi ndi losavuta ndiponso limapereka chifukwa yosavuta. Malinga ndi izo, chifukwa chokha kuti Investor amapezera kuposa kugula gawo limodzi, osati zinazo, ndi zambiri zoopsa. N'zosadabwitsa chitsanzo ichi anayamba kukhala ndi mzimu mchiphunzitso ano ndalama. Koma kodi ntchito?

Si bwino kwathunthu. Ikuluikulu chopunthwitsa ndi "beta". Pamene Professor Yudzhin Fama ndi Kenneth French ankafufuza profitability katundu pa New York Stock Kusinthanitsa, ndi American ndipo NASDAQ mu zaka 1963-1990, iwo aona kuti kusiyana β-akalozera umenewu nthawi yaitali chiyani kufotokoza khalidwe la sheya osiyana. The kudalira liniya pakati pa koyefishienti "beta" n'kubwerera katundu munthu kwa kanthawi nthawi si anati. deta awa likuonetsera kuti CAPM chitsanzo akhoza lidali.

chida otchuka

Ngakhale izi, njira ukadali chimagwiritsidwa ntchito m'dera ndalama. Ngakhale β-index n'zovuta kulosera mmene munthu m'matangadza angachite kuti magulu ena msika, ndalama akhoza otetezeka kudzatunga kunena kuti mbiri ndi mkulu "beta" kudzalimbikitsa kuposa msika, kwina kulikonse, ndi otsika adzakhala kwanthawi yochepa.

Zimenezi n'zofunika kwambiri chifukwa Ngopambana thumba chifukwa iwo safuna (kapena sangakwanitse iwo) kusunga ndalama ngati akuona kuti msika zikuoneka kuti angagwe. Zikatero, iwo ungasunge m'matangadza ndi otsika β-index. Makampani angalenge mbiri ndi malinga ndi malamulo awo enieni chiopsezo ndi profitability kufunafuna kugula mapepala ndi β _ndi> 1, pamene msika ikukula, ndi β _ndi <1 pamene iwo ukutsikira.

N'zosadabwitsa kuti CAPM ali ndinayamba ntchito indexation mapangidwe gawo mbiri, simulating msika enieni, anthu ofuna kuchepetsa mavuto. Izi kukuchitika chifukwa chakuti, malinga ndi chitsanzo, kuti kubwerera kuposa msika lonse, n'zotheka, kupita ku chiopsezo kwambiri.

Ungwiro, koma yolondola

Kuwerengera chitsanzo zokolola za chuma chuma (CAPM) Mulimonsemo si chiphunzitso wangwiro. Koma mzimu wake woona. Amathandiza ndalama kudziwa zimene sindipindula iwo zotiyenera zimene pachiswe ndalama zawo.

ANAKULIRA chiphunzitso likulu msika

monga mfundo ndi mfundo yakuti:

• Onse ndalama ndi chikhalidwe chawo amayesetsa kupewa ngozi.
• Ali yofanana nthaŵi kupenda mfundo.
• Pali likulu malire kuti mukhoza kubwereka pa mlingo chiopsezo wopanda adzabweranso.
• Ndalama akhoza kugawidwa mopanda malire mayunitsi kukula malire.
• No misonkho, kufufuma ndi opaleshoni ndalama.

Chifukwa cha preconditions izi ndalama anasankha m'chuma ndi chiopsezo amachepa zokolola zambiri.

Kuyambira pachiyambi, mfundo izi ankapatsidwa ngati zenizeni. Kodi mfundo za chiphunzitso chimenechi zosachepera phindu mu malo awa? Ngakhale iwo mosavuta chifukwa cha zotsatira wolakwika, kumayambiriro chitsanzo ali linali lovuta.

Kutsutsa CAPM ndi

Mu 1977, kafukufuku Imbarinom Budzhangom ndi Annuarom Nassir, anakhomerera dzenje chiphunzitsochi. Chuma ndi zosankhidwa kanthu ndi chiŵerengero cha phindu khoka mtengo. Malinga ndi zotsatira, sheya ndi zokolola chiŵerengero apamwamba, monga ulamuliro, kupereka phindu kuposa linalosera CAPM. Umboni winanso si mokomera chiphunzitso anaonekera mu zaka zingapo (kuphatikizapo wa Rolf Banz 1981), atazindikira otchedwa kukula zotsatira. Kafukufuku akusonyeza kuti yaing'ono msika capitalization m'matangadza kuchita zinthu bwino kuposa yotsutsana ndi CAPM lapansi.

ndipo zinachitikadi kuwerengetsera zina, mutu onse amene anali kunena kuti zotsatira ndalama, choncho kuyang'aniridwa ndi akatswiri zoona, muli ena m'tsogolo zambiri, omwe si bwino zimaonekera β-index. Pomaliza, Share mtengo kokha phindu panopa utuluke ndalama tsogolo mu mawonekedwe a phindu.

mafotokozedwe zotheka

Choncho chifukwa ndi chiwerengero lalikulu la maphunziro, pomenyana unali woyenerera wa CAPM, njira ukadali chimagwiritsidwa ntchito, kuphunzira ndi analandira padziko lonse? Limodzi lokha zotheka akhoza zili ntchito ya olemba, 2004 Peter Chang, therere Johnson ndi Michael Scilla amene anali kusanthula ntchito chitsanzo CAPM Fama ndi French, 1995. Iwo anapeza kuti m'matangadza ndi chiŵerengero otsika mtengo buku mtengo, kawirikawiri wokwatibwa ndi makampani amene akhala posachedwapa zotsatira si zopambana kwambiri, ndipo mwina, mongoyembekezera osatchuka ndiponso ndilotsika mtengo. Komano, makampani kuposa msika, alionse akhoza mongoyembekezera kukambapo, popeza mu siteji kukula.

Mtundu Makampani zizindikiro monga chiŵerengero cha mtengo wapatali buku kapena profitability, anavumbula zotengera malingaliridwe zimene ndalama, omwe amamuchititsa zabwino kwambiri pa nthawi ya kukula ndi chopambanitsa sizabwino sichikuyenda a.

Ndalama komanso amakonda Musaone ntchito zakale, imbaenda kukwera mtengo kwa magawo a makampani ndi chiŵerengero mkulu wa mtengo kwa zasungidwa (kukula) ndi otsika kwambiri mu makampani ndi otsika (wotchipa). Titamaliza zotsatira zimene zimachitika kawirikawiri kusonyeza mlingo wapamwamba kubwerera kwa masheya a mtengo ndiponso kuchepetsa kukula.

akufuna m'malo

Anayesera kuti akonze njira yabwino koposa za kuwunika. Intertemporal chitsanzo kudziwa phindu la chuma chuma Merton (ICAPM) 1973, mwachitsanzo, ndi kutambasuka kwa CAPM lapansi. Iwo kusiyana ndi ntchito prerequisites zina mapangidwe a ndalama chandamale likulu. The ndalama CAPM kusamalira okha za chuma zomwe iwo akubala m'chuma awo kumapeto kwa nyengo ilili. Mu ICAPM iwo anaona osati nthawi ndalama, komanso mwayi kudya kapena aganyali phindu.

Posankha mbiri pa nthawi (T1) ICAPM-ndalama kuphunzira mmene chuma chawo pa nthawi T amadalira zosintha monga ndalama ntchito, mitengo ya katundu ogula ndi chikhalidwe cha mbiri mwayi. Ngakhale ICAPM anali kuyesa bwino kuthetsa zolakwa za CAPM, komanso anali nawo malire ake.

kwambiri zonama

Ngakhale CAPM chitsanzo akadali mmodzi wa Ambiri anaphunzira ndipo anavomera, malo ake anyozedwa kuyambira pachiyambi monga kwambiri zolakalaka za ndalama mu dziko lenileni. Nthawi imachitika njira wazotsatira kafukufuku.

Zinthu ngati kukula, magawanidwe ndi mitengo yosiyanasiyana patsogolo, zikuonetseratu poyera chitsanzo ungwiro. Izi anyalanyaza zambiri makalasi ena amtengo, moti tinganene kuti njira yabwino yopewera.

Mwachirendo, amene adaperekeza kufufuza kwambiri potsutsa CAPM lachitsanzo monga chiphunzitso muyezo wa mitengo msika, ndipo palibe lero mmodzi amene akuwoneka kuti salinso kuthandiza chitsanzo chimene Prize Nobel anali kupereka.