CAPM的新模型研究--基于美国银行信用违约互换数据的研究

摘要

采用Jin (2011)以及Zhuo（2013）提出的新模型和新方法，对Sharpe(1964），Lintner (1965)以及Mossin (1966)论文中提出的资本资产定价模型（CAPM）进行了实证研究。本文使用极大似然法对新的模型参数进行了估计。极大似然估计的程序是用MatLab编写的。最后发现，对于美国银行信用违约互换而言，非对称指数幂分布模型（AEPD），以及标准化非对称指数幂分布模型(SSAEPD)都适用。通过比较发现，基于标准化非对称指数幂分布模型(SSAEPD)的资本资产定价模型具有更好的样本适用性。%This paper empirically exams “the theory of Capital Asset Pricing Model” (CAPM) presented by Sharpe(1964), Lintner (1965) and Mossin (1966) with Jin's(2011) and Zhuo's methods and models(2013). Method of Maximum Likelihood Estimation, the program of which is written with MatLab, is adopted to estimate the pa-rameters. The results show that models with AEPD or SSAEPD errors are both adequate for US bank CDSs and CAPM model with SSAEPD errors is more suitable in sample applicability.