资产定价模式的应用：以两个中国基金为例
摘要
本文以资产定价模型到今为止的两大模型：CAPM(Capital Asset Pricing Model)及APT理论(Asset Pricing Theory)为基础，以实务应用为前题将重点放在如何将CAPM及APT的理论应用在这两个基金的投资组合上，应用目前国际上证券及基金实务界应用的两大数据库金融服务公司，即Bloomberg及Barra或EM，试图找出两个小的替代投资组合(Pfoxy portfolio)，来模拟(Mimick)上述两个大的投资组合的股价变动情况。最后以数个指标来提供实务界在中国是否较适用于CAPM模型或APT模型，并提供一政策指导建议，期望提供中国的证券市场能朝向良性而成熟的方向发展。本文在结构上共分为一章导论、五章正文和一节结论。
第一章导论：分别以理论基础及实务应用来阐述CAPM及APT理论及金融投资学热门的以BARRA为首的金融服务公司的概况。然后介绍本文选题的背景及方向，以马丁可利资产管理公司的投资中国的基金中选取中国基金及中国台湾机会基金为实例来做避险的替代投资组合，来验证在中国到底是CAPM有效?还是APT有效?其后是框架结构以及主要的创新点等描述。
第二章CAPM相关理论与实证模型分析：分成CAPM单因子及以CAPM为基础发展的多因子基本模型，另外针对于中国证券市场是否适用于CAPM的单因子实证有一部分的描述。对于以CAPM为基础的多因子模型及实证的部分，可区分为非线性CAPM模型及条件CAPM模型的部分。
第三章APT相关理论与实证模型分析：主要分成两大部分，非以CAPT理论模型为基础的多因子模型及结合CAPM及APT的FF多因子模型。对于APT模型的基本模型及实证估计法有较多的描述，之后以中国股市的APT实证结论汇集及和以CAPM为基础的多因子模型的比较以区分基本不同。而FF模型的结果仍是接近APT的多因子模型。
第四章金融实务界的APT应用模型：本章主要介绍支持APT理论的金融服务公司EM模型的理论及应用方向。基本结论是作者认为EM是使用了EM董事长Alvin Stroyny的线性APT模型为估计基础，加上一些改良的因素分析法的运作而得出风险模型。其中除了EM的风险模型外，也包括了著名的支持APT模型的始祖Barra解剖风险模型的介绍。
第五章中国投资组合的实证分析(一)：以倾向支持CAPM模型的Bloomberg案例，首先对对本实证的研究设计做了一些较详细的说明，假设其想达成基金经理所想达成的年度报酬率目标而用的对冲工具来解决。这个实验设计适用于第五章及第六章。其后以Bloomberg的模型的实证结果得出的两个分别代表中国基金及中国台湾机会基金的十个个股的替代组合及其相关系数、β值及α值比较为主。最后结论出，在本投资组合实例中，Bloomberg的结果在不仅在短期，而且在近五年内适用于CAPM的理论模型。
第六章中国投资组合的实证分析(二)：以支持APT模型的EM为例，对中国基金及中国台湾机会基金两个不同的投资组合输入EM系统后，得出替代组合的个股数从5个到50个不等，以供使用者选择。自然是越多替代组合个股的追踪误差较小，但以投资组合的风险稳性指针衡量后，基本上选择十个个股的两个替代组合，以方便在第七章和Bloomberg的替代投资组合结果做比较。
第七章资产定价模型在中国股市的适用性：首先，将两个投资中国的基金应用Bloomberg及EM实证的替代投资组合结果做比较，然后提出中国大陆股市存在的问题，最后结论出Bloomberg及EM实证结果在中国的适用情况，及对中国的政策指导意义。论文比较CAPM和APT模型的适用国家，发现有数种因素会影响一般市场的适用性，以中国情况而言，平均投资期间较短，可研究时间的数据较少，较弱的效率市场与否及市场复杂程度较低等使得适用于CAPM模型的情况较好。相反地，则适用于APT模型的情况较好。实证结果对于中国的政策指导意义，除了对金融工具的开放将使分散投资组合发展以使风险分散得更低，还包括自由化的银行体系改革将使得利率能更自由地设定。此外，对媒体传播效果的加强可使得传播讯息的速度加快等，从而促使中国市场更趋向于成熟市场，使β的解释力更高，更能适用于CAPM的股价解释。
The paper is based on two comtemporary asset pricing models, ie. CAPM (Capital Asset Pricing Model) and APT (Asset Pricing Theory), to apply into two funds by utilising two popular financial systems, Bloomberg and Barra or EM, to find two Proxy portfolio to mimick the performance of the two funds. The conclusion is whether CAPM or APT applies better in China. In the end, we offer some guidance for Chinese securities market by hoping the more mature development. The paper is constructed by 7 chapers, one introduction, five contents and one conclusion.
Chaper 1 Introduction: the author briefly reviews the current theorial development of CAPM and APT, the popular financial service companies, ex. Barra, and the motives of the research and main innovative points of the thesis. The two funds the author used here are China Fund Inc., and Taiwan Opportunity Fund which are managed by Martin Currie Asset Management Ltd.
Chaper 2 Theoretical and Empirical Analysis of CAPM: the author divides into the single and extended multifactor theory of CAPM. Regarding the multifactor CAPM, it could divide into Nonlinear CAPM and Conditional CAPM.
Chaper 3 Theoratical and Empirical Analysis of APT: the author divides APT into multifactor APT and FF, besides the different methodology of APT models.
Chapter 4 APT's application EM in the real financial world: by introducing the research of linear APT model by Alvin Stroyny, the current chairman of EM. Besides, the risk models and risk decomposition Barra models are described.
Chapter 5 the empirical analysis (Part I): First of all, the design of the problems. Then Bloomberg solution is introduced. In the end, the author got two proxy portfolios with ten stocks each matching for China Fund Inc., and Taiwan Opportunity Fund and compared the two funds by showing the different correlation coefficient, β and a. In conclusion, two funds are applicable to CAPM models, even in five year investment horizon.
Chapter 6 the empirical analysis (Part II): First of all, the author described the EM soltions. Then he demostrates the proxy portfolios by using tracking errors and the variances of the proxy portfolios.
Chapter 7 Conclusion: First, the author compares the different proxy portofilio by using Bloomberg and EM system. Second, discusses thhe current problems in Chinese stock market. Finally, we could divide our conclusion into several reasons to influence the application of APT or CAPM and offer some guidance to Chinese equity market. In China, , the average investment horizon is shorter, the data set is less, the market is less efficent and less complicated than the international market. Thus, it adopts CAPM better, vice versa. In a word, CAPM could bring China Equity market toward maturer market by lifting up the restrictions in three directions: allowing
more financial tools, quickier media transmission and liberlizing banking systems in China.
第一章导论：分别以理论基础及实务应用来阐述CAPM及APT理论及金融投资学热门的以BARRA为首的金融服务公司的概况。然后介绍本文选题的背景及方向，以马丁可利资产管理公司的投资中国的基金中选取中国基金及中国台湾机会基金为实例来做避险的替代投资组合，来验证在中国到底是CAPM有效?还是APT有效?其后是框架结构以及主要的创新点等描述。
第二章CAPM相关理论与实证模型分析：分成CAPM单因子及以CAPM为基础发展的多因子基本模型，另外针对于中国证券市场是否适用于CAPM的单因子实证有一部分的描述。对于以CAPM为基础的多因子模型及实证的部分，可区分为非线性CAPM模型及条件CAPM模型的部分。
第三章APT相关理论与实证模型分析：主要分成两大部分，非以CAPT理论模型为基础的多因子模型及结合CAPM及APT的FF多因子模型。对于APT模型的基本模型及实证估计法有较多的描述，之后以中国股市的APT实证结论汇集及和以CAPM为基础的多因子模型的比较以区分基本不同。而FF模型的结果仍是接近APT的多因子模型。
第四章金融实务界的APT应用模型：本章主要介绍支持APT理论的金融服务公司EM模型的理论及应用方向。基本结论是作者认为EM是使用了EM董事长Alvin Stroyny的线性APT模型为估计基础，加上一些改良的因素分析法的运作而得出风险模型。其中除了EM的风险模型外，也包括了著名的支持APT模型的始祖Barra解剖风险模型的介绍。
第五章中国投资组合的实证分析(一)：以倾向支持CAPM模型的Bloomberg案例，首先对对本实证的研究设计做了一些较详细的说明，假设其想达成基金经理所想达成的年度报酬率目标而用的对冲工具来解决。这个实验设计适用于第五章及第六章。其后以Bloomberg的模型的实证结果得出的两个分别代表中国基金及中国台湾机会基金的十个个股的替代组合及其相关系数、β值及α值比较为主。最后结论出，在本投资组合实例中，Bloomberg的结果在不仅在短期，而且在近五年内适用于CAPM的理论模型。
第六章中国投资组合的实证分析(二)：以支持APT模型的EM为例，对中国基金及中国台湾机会基金两个不同的投资组合输入EM系统后，得出替代组合的个股数从5个到50个不等，以供使用者选择。自然是越多替代组合个股的追踪误差较小，但以投资组合的风险稳性指针衡量后，基本上选择十个个股的两个替代组合，以方便在第七章和Bloomberg的替代投资组合结果做比较。
第七章资产定价模型在中国股市的适用性：首先，将两个投资中国的基金应用Bloomberg及EM实证的替代投资组合结果做比较，然后提出中国大陆股市存在的问题，最后结论出Bloomberg及EM实证结果在中国的适用情况，及对中国的政策指导意义。论文比较CAPM和APT模型的适用国家，发现有数种因素会影响一般市场的适用性，以中国情况而言，平均投资期间较短，可研究时间的数据较少，较弱的效率市场与否及市场复杂程度较低等使得适用于CAPM模型的情况较好。相反地，则适用于APT模型的情况较好。实证结果对于中国的政策指导意义，除了对金融工具的开放将使分散投资组合发展以使风险分散得更低，还包括自由化的银行体系改革将使得利率能更自由地设定。此外，对媒体传播效果的加强可使得传播讯息的速度加快等，从而促使中国市场更趋向于成熟市场，使β的解释力更高，更能适用于CAPM的股价解释。
The paper is based on two comtemporary asset pricing models, ie. CAPM (Capital Asset Pricing Model) and APT (Asset Pricing Theory), to apply into two funds by utilising two popular financial systems, Bloomberg and Barra or EM, to find two Proxy portfolio to mimick the performance of the two funds. The conclusion is whether CAPM or APT applies better in China. In the end, we offer some guidance for Chinese securities market by hoping the more mature development. The paper is constructed by 7 chapers, one introduction, five contents and one conclusion.
Chaper 1 Introduction: the author briefly reviews the current theorial development of CAPM and APT, the popular financial service companies, ex. Barra, and the motives of the research and main innovative points of the thesis. The two funds the author used here are China Fund Inc., and Taiwan Opportunity Fund which are managed by Martin Currie Asset Management Ltd.
Chaper 2 Theoretical and Empirical Analysis of CAPM: the author divides into the single and extended multifactor theory of CAPM. Regarding the multifactor CAPM, it could divide into Nonlinear CAPM and Conditional CAPM.
Chaper 3 Theoratical and Empirical Analysis of APT: the author divides APT into multifactor APT and FF, besides the different methodology of APT models.
Chapter 4 APT's application EM in the real financial world: by introducing the research of linear APT model by Alvin Stroyny, the current chairman of EM. Besides, the risk models and risk decomposition Barra models are described.
Chapter 5 the empirical analysis (Part I): First of all, the design of the problems. Then Bloomberg solution is introduced. In the end, the author got two proxy portfolios with ten stocks each matching for China Fund Inc., and Taiwan Opportunity Fund and compared the two funds by showing the different correlation coefficient, β and a. In conclusion, two funds are applicable to CAPM models, even in five year investment horizon.
Chapter 6 the empirical analysis (Part II): First of all, the author described the EM soltions. Then he demostrates the proxy portfolios by using tracking errors and the variances of the proxy portfolios.
Chapter 7 Conclusion: First, the author compares the different proxy portofilio by using Bloomberg and EM system. Second, discusses thhe current problems in Chinese stock market. Finally, we could divide our conclusion into several reasons to influence the application of APT or CAPM and offer some guidance to Chinese equity market. In China, , the average investment horizon is shorter, the data set is less, the market is less efficent and less complicated than the international market. Thus, it adopts CAPM better, vice versa. In a word, CAPM could bring China Equity market toward maturer market by lifting up the restrictions in three directions: allowing
more financial tools, quickier media transmission and liberlizing banking systems in China.
引文
14 详见2．1．2。
15 CAPM的假设之一是所有的投资人都是不喜爱风险的风险趋避者，但而相对于其它成熟股票市场的成长中国家股市中的投资人来说是不适用的，可能大部分个别投资人都是风险爱好者，而对成熟国家市场来说则是最少会有一些个别投资人在某一段时间内是风险的偏好。
16 主要的文献包括Chen(1983)、Fama & French(1992)、Jegadeesh(1990)及Mei(1993)。
17 参考http://www.cfainstitute.org／的位于美国的合格财务分析师Chartered Financial Analyst(即CFA)的组织机构CFA Institute对避险基金的一般定义是使用买入、融券的技术或能融合其它的金融衍生商品，如选择权(OPTION)，衍生性金融商品(Derivatives)或转换(SWAP)来达到锁定获利及避开价格波动风险的目标。一般来说，基金经理经常使用杆杆(Leverage)工具来达到避险的目的。
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15 CAPM的假设之一是所有的投资人都是不喜爱风险的风险趋避者，但而相对于其它成熟股票市场的成长中国家股市中的投资人来说是不适用的，可能大部分个别投资人都是风险爱好者，而对成熟国家市场来说则是最少会有一些个别投资人在某一段时间内是风险的偏好。
16 主要的文献包括Chen(1983)、Fama & French(1992)、Jegadeesh(1990)及Mei(1993)。
17 参考http://www.cfainstitute.org／的位于美国的合格财务分析师Chartered Financial Analyst(即CFA)的组织机构CFA Institute对避险基金的一般定义是使用买入、融券的技术或能融合其它的金融衍生商品，如选择权(OPTION)，衍生性金融商品(Derivatives)或转换(SWAP)来达到锁定获利及避开价格波动风险的目标。一般来说，基金经理经常使用杆杆(Leverage)工具来达到避险的目的。
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