Model CAPM: yokubala ifomula

Kungakhathaliseki ukuba utyalo ezahlukeneyo, akunakwenzeka ukuphelisa zonke iingozi. Abatyali ufanelwe izinga lokubuya ukuba kwakuya kubonelelwa abantwana babo. namaxabiso model Capital asethi (CAPM) inceda ukubala ingozi yotyalo-mali kwaye imbuyekezo kulindeleke kwi investment.

imibono Sharp

waphuhliswa CAPM zovavanyo ezingumzekelo njengento ngezoqoqosho yaye kamva wawongwa ngeMbasa kaNobel nakwezoqoqosho , uWilliam Sharpe ne-1970 kwincwadi yakhe "theory iphothifoliyo kwaye kwiimarike zenkunzi." Ingcamango iqala into yokuba utyalo ezithile iquka iintlobo ezimbini umngcipheko:

1. Ngendlela. Oku ubungozi market, ongayi kuba nako okungaphezu. Imizekelo enzala, ukuwa neemfazwe.
2. Unsystematic. Eyaziwa ngokuba ezithile. Baya ethile isitokhwe ngamnye kwaye okungaphezu ukwanda kwenani izibambiso kwi investment portfolio. Nngokobuchwepheshe ukuthetha, bamele candelo stock wafika, nto leyo ngamazinga kunye iintshukumo kushishino olupheleleyo.

theory ipotifoliyo Modern icebisa ukuba umngcipheko ethile lupheliswe nge nokwahlukana. Ingxaki kukuba nangoku ukusombulula ingxaki umngcipheko lwenkqubo. Nokuba kwiphothifoliyo ebandakanya zonke izabelo imali eninzi, ayikwazi ukubeka ecaleni kuyo. Ngoko ke, xa kubalwa umboniso ingeniso umngcipheko yenkqubo abatyali-mali abaninzi gqitha. Le ndlela yeyona ndlela yokulinganisa kuyo.

Model CAPM: ifomula

Sharpe wafumanisa ukuba iinzuzo evela kwistokhwe okanye ipotifoliyo kufuneka zilingane indleko yekhapitali. Imodeli calculation CAPM standard uchaza ubudlelwane phakathi ingozi ubuyele okulindelekileyo:

_{r a = r f + β a} (r m - r f), apho r _f - ingozi-free rate, β _a - beta ixabiso le ukhuseleko (umlinganiselo kobungozi kumngcipheko emarikeni uphela), r _m - isivuno kulindeleke ( r _m - r _f) - umvuzo exchange.

Ingongoma yokuqala umngcipheko-free rate CAPM. Kuba, njengokuba umthetho, ingeniso imixokelelwane nyaka-10 urhulumente. Ukuze idityaniswa ibhonasi kubatyali ukuze kubuyekezelwe umngcipheko eyongezelelweyo baya kuso. Luquka yenzuzo ebelilindelwe emarikeni xa lilonke thabatha ubungozi-free izinga ukubuya. Umngcipheko premium liphindaphindwe inomlingani ukuba Sharpe ekuthiwa "beta."

umlinganiselo ubungozi

Ilinganisa risk kuphela CAPM i β-index. Kukala hexa isalamane, oko kukuthi, sibonisa indlela ixabiso elithile isitokhwe ngonyaka aphezulu okanye asezantsi xa kuthelekiswa imali eninzi xa iyonke. Ukuba ihamba kanye ngokungqinelana emarikeni, loo β _a = 1. CB nge β _a = 1,5 ukuba akhule nge-15%, xa imarike uya kuvuka nge-10%, kwaye kusithwa-15% xa kusithwa-10%.

"Beta" ibalwa yi uhlalutyo statistical esitokisini ngamnye Umlinganiselo inzuzo ngemihla xa kuthelekiswa isivuno lemarike yemihla ngemihla ngexesha elinye. Kwisifundo sakhe ezindala e-1972 ngokuthi "asethi zemali imodeli amaxabiso CAPM: ezinye iimvavanyo enokwehla" zezoqoqosho Fischer Black, Maykl Yensen kunye Mayron Shoulz ukuqinisekisile ubudlelwane yomgama phakathi isivuno yeephothifoliyo izibambiso zabo β-indices. Wafunda intshukumo amaxabiso ezabelo kwi-New York Stock Exchange ngo 1931-1965, ngokulandelelana.

Intsingiselo "beta"

"Beta" ibonisa Isixa sembuyekezo kufuneka afumane abatyali ngenxa yokuthatha kubungozi olongezelelweyo. Ukuba β = 2, izinga umngcipheko-free yi-3%, kunye nezinga yentengiso-based ukubuya - 7%, imarike ukubuya kwemfuneko ilingana-4% (7% - 3%). Ngako oko, stock kakhulu ubuyisela-8% (2 x 4%, imveliso isivuno zeemarike kunye β-indeksi), kunye nongeniselo iyonke ezinqwenelekayo yi-11% (8% + 3% ukubuya kwemfuneko kunye izinga lomngcipheko-free).

Oku kubonisa ukuba utyalo ezinobungozi kufuneka zinike imali phezu umngcipheko-free rate - le mali ibalwa phinda ipremiyamu kwimarike equity kwi yayo β-index. Ngamanye amazwi, kusenokwenzeka, esazi iinxalenye ngamnye umzekelo, ukuba ngaba ixabiso yangoku isabelo nenzuzo yayo kusenokwenzeka, oko kukuthi, ukuba utyalo-mali eyinkunzi inzuzo okanye zibiza kakhulu.

Yintoni i CAPM?

Le modeli ilula kakhulu kwaye inika yoko elula. Ngokutsho kuyo, esona sizathu kuphela ukuba umtyali ahlawulelwa ngaphezu ukuthenga isabelo omnye, hayi enye, oko kuyingozi kakhulu. Akumangalisi ke, le modeli waqalisa ukulawula imfundiso mali mihla. Kodwa ngaba ukusebenza ngokwenene?

Akucaci ngokupheleleyo. Isikhubekiso omkhulu i "beta". Xa UNjingalwazi Yudzhin Fama kunye Kenneth French kuphandwa inzuzo imfuyo kwi-New York Stock Exchange, kwaye American kunye NASDAQ kwiminyaka 1963-1990, baye bafumanisa ukuba umahluko β-indices ixesha elide kangaka musa ukuchaza indlela yokuziphatha izibambiso ezahlukeneyo. Ukuxhomekeka yomgama phakathi lomlingani beta "" kwaye stock returns ngamnye okwexesha elifutshane ixesha anayenza. Le data icebisa ukuba umfuziselo CAPM kunokuba engachanekanga.

isixhobo ethandwayo

Ngaphandle koku, le ndlela nangoku ngokubanzi kusetyenziswa ekuhlaleni investment. Nangona β-Isalathisi kunzima ukuqikelela ukuba izabelo ngamnye uya kusabela kwiintshukumo ezithile kwimarike, abatyali kusenokwenzeka ukuba kukhuselekile ukuba bazobe kwisigqibo ukuba kuboniswe iphothifoliyo nge "beta" eliphezulu iza kuhamba ngaphezu emarikeni, nakweliphina icala, nabangaboni ziza kumana zisihla zinyuka kangako.

Oku kubaluleke ngokukodwa ukuba abaphathi fund kuba kusenokwenzeka ukuba ufuna (okanye akanayo imali) ukubamba imali ukuba bavakalelwa ukuba imarike kusenokwenzeka ukuba bawe. Kwimeko enjalo, ukuba ukubamba isitokhwe eliphantsi β-index. Bezimali Ungadala isikhundla ngokungqinelana neemfuno zabo ezithile umngcipheko kunye nenzuzo, efuna ukuthenga iphepha β _a> 1, xa imarike olukhulayo, kunye β _a <1 xa tsakisi.

Akumangalisi ke, i-CAPM indenza ukusetyenziswa indexation ukuze kwakhiwe yephothifoliyo share, simulating imarike ethile, abo bafuna ukunciphisa imingcipheko. Oku kubangelwa ubukhulu becala ngenxa yenyaniso yokuba, ngokwale ndlela ehlaziyiweyo yolwabiwo, ukufumana imbuyekezo ngaphezu emarikeni xa ewonke, oko kunokwenzeka, uye basengozini ephezulu.

Abangafezekanga, kodwa ilungile

imodeli Valuation izivuno -asethi zemali (CAPM) kuyo nayiphi na imeko ayikho ithiyori ogqibeleleyo. Kodwa umoya wayo inyaniso. Inceda abatyali ukufumanisa ukuba yintoni na akundincedi esiwafaneleyo, esiyimbuyekezo into esichengeni imali yabo.

theory market capital IMVELAPHI

ziquka uqikelelo kwithiyori ezingundoqo:

• Bonke abatyali ngokwemvelo kwabo badla ukunqanda ingozi.
• Babe nemali efanayo ixesha avavanye ulwazi.
• Kukho imali mda ukuba boleka kwi ingozi-free izinga ukubuya.
• Investments lungahlulwa-hlulwa ibe inani mda leeyunithi ze ubukhulu mda.
• Akukho irhafu, ukunyuka kwamaxabiso kunye neendleko.

Ngenxa yezi imiqathango abatyali ezikhethiweyo iiphothifoliyo kunye lomngcipheko inciphisiwe kwaye isinike.

Zisuka nje, ezi nokucingela zibe yinxalenye ibingakholeleki. njani izigqibo yale theory kufuneka ubuncinane ixabiso abanye kule ndawo? Nangona bona ukuba unobangela neziphumo ezingachanekanga ngokulula, ukuqaliswa imodeli iye yaba nzima.

ukugxekwa CAPM

Ngowe-1977, uphando olwenziwa Imbarinom Budzhangom kunye Annuarom Nassir, ngenqindi umngxuma imfundiso. Osoqoqosho ziye bazibuthela isenzo yi-ratio ye ngeniso net kwixabiso. Ngokutsho iziphumo, izibambiso ezinomlinganiselo kwisivuno ephakamileyo, njengoko umthetho, nika ingeniso ngaphezu kwaxelwayo CAPM. ubungqina obungakumbi ayikho obuxhasa le ngcamango yabonakala kwiminyaka embalwa (kuquka umsebenzi uRolf yaseBanz 1981), xa kwafunyaniswa ifuthe ubungakanani ekuthiwa njalo-. Uphando lubonise ukuba isitokhwe ezincinane emakethe uye waziphatha bhetele kunokuba kwaxelwayo CAPM.

kwaye lwaqhutywa ezinye izibalo, umxholo jikelele apho into yokuba iziphumo zemali, ngoko esweni ngononophelo abahlaziyi, enyanisweni, eziqulathe ulwazi oluthile zokujonga phambili, nto leyo kubonakala ngokupheleleyo β-index. Ekugqibeleni, ixabiso share ayikho kuphela ixabiso elikhoyo nokuphuma kwemali elizayo ngohlobo yenzuzo.

ichazwe kunokwenzeka

Ngoko kutheni na iqela elikhulu lezifundo, ahlasele wihi wa CAPM, indlela isasetyenziswa nangoku ngokubanzi, wafunda waza wavuma lonke ihlabathi? Enye ingcaciso kunokwenzeka ukuba equlethwe umsebenzi wombhali ngo-2004 yi-Peter Chang, imifuno Johnson kunye Michael Scilla leyo yacazululwa kusetyenziswa imodeli CAPM Fama kunye French 1995. Bafumanisa ukuba zabelo kunye Umlinganiselo ophantsi nexabiso babhukishe ixabiso, ngokuqhelekileyo abanini ziinkampani kutshanje aye aba iziphumo ezibalaseleyo kakhulu, mhlawumbi, athandwe okwethutyana kwaye sitshiphu. Kwelinye icala, iinkampani ngaphezu emarikeni, umlinganiselo ukuba nemikhuba okwethutyana, ekubeni kukwinqanam lokukhula.

Uhlobo iifem kwizibonakalisi ezifana umlinganiselo ixabiso kwixabiso incwadi okanye inzuzo, kutyhilwa indlela zesimo abatyali-mali, nto leyo idla ngokuba kuhle kakhulu ngexesha lokukhula kunye ngokugqithiseleyo zingafanelekanga ladodobala.

Abatyali nabo badla zazi intsebenzo elidlulileyo, nto leyo ekhokelela ukuba namaxabiso aphezulu ukuze kwizabelo zeenkampani ezinomlinganiselo ephezulu ixabiso njengengeniso (olukhulayo) yaye ephantsi kakhulu iinkampani ephantsi (etshiphu). Emva kokugqitywa iziphumo komjikelo rhoqo zibonisa ireyithi ephezulu yokubuyiswa ngenxa izibambiso cheap nolusezantsi ezikhulayo.

uzama ukubuyisela

Kwazanywa ukudala eyona ndlela ilungileyo yovavanyo. imodeli Intertemporal yokuqingqa ixabiso asethi zemali Merton (ICAPM) 1973, umzekelo, kukho ulwandiso le CAPM. Oku azakubalulwa ukusetyenziswa kwezinye zinto zifuneka kuqala ukuze lokusekwa utyalo-mali ekujoliswe. Abatyali mali CAPM ayikhathalele kuphela malunga ubutyebi ukuba bavelise kwiiphothifoliyo zabo ekupheleni kwethuba yangoku. In ICAPM bona ingeniso kuphela ochaphazelekayo ngamaxesha athile, kodwa kwakhona ithuba kudliwe okanye ukutyala imali ingeniso.

Xa ukhetha le portfolio ngexesha (T1) ICAPM-abatyali bafunda njani ubutyebi babo ngexesha t kunokuxhomekeka variables ezifana nengeniso yengqesho, amaxabiso kwempahla yabathengi kunye nohlobo portfolio amathuba. Nangona ICAPM waba iinzame elungileyo ukucombulula iintsilelo CAPM, oko naye ulinganiselwe.

yenzeka kakhulu

Nangona imodeli CAPM isekhona enye kakhulu ngokubanzi waza wavuma, indawo yayo ziye wagxeka ukususela kwasekuqaleni njengoko ngqiqweni kakhulu abatyali kwihlabathi lokwenene. Ukususela kumaxesha ngamaxesha kuqhutywa indlela kuphando ngokwamava.

Izinto ezifana ubungakanani, kuphantse noncedo amaxabiso ezahlukeneyo, kubonisa ngokucacileyo imodeli abangafezekanga. Oku kujongela phantsi kwezinye iindidi ezininzi kakhulu asethi, ukuze kube nokuqwalaselwa ukhetho iphila.

Engumnqa, bona abamkhaphayo uphando kangaka ukuphikisa imodeli CAPM njengoko ingcamango umgangatho amaxabiso kwemarike, yaye akukho namhlanje enye kubonakala ukuba ayisekho ixhasa imodeli apho Prize Nobel yanikezelwa.