危險資産評價理論에 관한 考察-CAPM과 APT-

A Study on Risky Asset Valuation Theory-CAPM and APT-

The capital asset pricing model (CAPM) introduced by sharpe, Lintner, and Mossin has been predominant in the modern capital market equilibrium theory for the past twenty years. However, the theory of the CAPM has many restrictive and unrealistic assumptions, and accumulating research has increasingly cast doubt on its actual testability as a positive theory. Thus, the arbitrage pricing theory (APT) proposed by Ross has been received great attention as a testable alternative to the CAPM. The APT suggests that equilibrium return of a capital asset can be explained by a linear combination of several common factors. And the APT is more reasonable than the CAPM for the following several reasons: 1. The APT requires no assumptions about asset returns, whereas the CAPM requires an assumption of normal distribution about asset returns. 2. The APT requires no strong assumptions about individuals' utility functions, whereas the CAPM requires a special type of individuals' utility function. 3. The APT explains equilibrium return of a asset with several common factors, whereas the CAPM explains equilibrium return of a asset with just one factor. 4. The test of the APT does not require the measuring of the entire universe of assets in the market, whereas the test of the CAPM needs the consideration of the entire market. 5. The APT requires no special role for the market portfolio, whereas the CAPM requires that the market portfolio be efficient. The APT has been empirically tested by several scholars, and the main results of those tests reveal that common factors explaining asset returns are three or four in number, and that the explanatory power of the APT is quite high. However, those researches did not offer an economic interpretation of the common factors. Thus, recently, researches for explaining the economic meaning of the common factors were attempted by some scholars, and the reasonable interpretation of the economic meaning of the common factors is the remaining subject which requires further research for the APT.