The Journal of Financial Economics Volume 119, Issue 1, January 2016, Pages 1–23

使用顯示偏好評估資産定價模型

作者：Jonathan B.Berk , Jules H.van Binsbergen

摘要：本文提出了一種新的方法來測試資産定價模型，該方法基于數量而不是僅基于價格或回報。我們使用資本流入和流出共同基金的方法來推斷投資者使用哪種風險模型。基于以上想法，我們對一組候選模型進行了簡單的測試統計，結果顯示，風險模型是最接近投資者在做資本分配決策時所使用的模型。使用本文提出的方法，我們對在文獻中最常用的資産定價模型的表現進行了評估。

關鍵詞：資産定價測試，因素模型，CAPM，共同基金，現金流

Assessing asset pricing models using revealed preference

Jonathan B.Berk , Jules H.van Binsbergen

ABSTRACT

We propose a new method of testing asset pricing models that relies on quantities rather than just prices or returns. We use the capital flows into and out of mutual funds to infer which risk model investors use. We derive a simple test statistic that allows us to infer, from a set of candidate models, the risk model that is closest to the model that investors use in making their capital allocation decisions. Using our method, we assess the performance of the most commonly used asset pricing models in the literature.

Keywords: Asset Pricing Test , Factor Models , CAPM , Mutual Funds , Flows

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0304405X1500149X

翻譯：秦秀婷