题目
Roger is an analyst employing the capital asset pricing model (CAPM) to estimate the return of a portfolio. However, his colleague Sally makes four observations. Which of the following observations, if true, does NOT violate the assumption of CAPM?
选项
A.Sally proves that the portfolio securities' returns are heavy-tailed (leptokurtic).
B.Sally observes that other investors have different views about the expected returns and variances of the portfolio securities.
C.If Roger makes a purchase of a security in the portfolio, his purchase will NOT increase (or impact) the price of the security.
D.Sally points out that Roger incurs transaction costs, cannot short sell, and cannot borrow at the risk-rate.
答案
C
解析
In regard to A, standard CAPM utilizes the mean-variance framework such that only the first two moments are considered and returns are assumed multivariate normal. An individual cannot affect the price of a stock by his buying or selling action. This is analogous to the assumption of perfect competition. While no single investor can affect prices by an individual action, investors in total determine prices by their actions.In regard to B, homogenous expectations is arguably the key assumption that leads to equilibrium.In regard to D, transaction cost doesn’t exist in the assumptions of CAPM. Also, short sell and borrow at risk-free rate should be allowed.关于A，标准CAPM利用均值方差框架，因此仅考虑前两个时刻，并假定收益为多元正态。 个人不能通过其买卖行为影响股票价格。 这类似于完全竞争的假设。 虽然没有任何一个投资者可以通过单个操作来影响价格，但总体而言，投资者可以通过其操作来确定价格。关于B，同质期望可以说是导致均衡的关键假设。对于D，CAPM假设不存在交易成本。 此外，应允许以无风险利率卖空和借贷。