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capm*
. . ,
,
-mail: ecolena@mail. ru
( - )
. . ,
-mail: aplaksa@mail. ru
.
,
: CAPM . - -
( ()
) ()
. - .
-
CAPM
. , -
[1, 2, 3].
, CAPM.
: , [5, 13,
CAPM, . 14, 15, 16]. CAPM -
.
, --
,
- . -
,
* Capital Asset Pricing Model, CAPM (. . - BE/ME (Book equity/Market Equity .
) . / -
,
.
)
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42 (522) 2012
, ,
BE/ME [8, 9, 10, 11, 12].
, ,
. i ,
, si hi .
BE/ME -
- , si
(, -). hi .
, i -
. .
-
. ,
, CAPM.
[6, 7], - :
. (size);
() / (earning/
, 1993. price);
. / (cash
. flow/price);
[8, 9, 10]: -
E (Ri) = Rf + [E (Rm) Rf] i + siE (SMB) + (book-to-market equity);
+ hiE (HML) + i, (past sales
E(Ri) i- - growth);
;
Rf ; (long-term and
E(Rm) - short-term past return).
;
i i-
-
; .
si i- -
: CAPM
; .
E(SMB)
; ,
hi i- (. 1). -
;
E(HML) 01.01.2009 31.12.2011 [18]. -
; -
i . [17]. -
SMB- - Econometric Views 4- (Eviews 4.0).
( ),
HML-
. , S t.
t, IV
SMB, -
. - . ,
-
HML, . [8, 9, 10].
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42 (522) 2012
1 :
, SMB = 1/3 (SH + SM + SL) 1/3 (BH + BM + BL).
/
HML -
1 AFLT
2 HYDR /
3 IRAO [8, 9, 10]:
4 LKOH
HML = 1/2 (SH + BH) 1/2 (SL + BL).
5 MGNT
6 MRKH
,
7 MSNG , -
8 MTLR -
9 MTSS ARCH,
10 NVTK -
11 OGKA -1 . (
12 OGKB -2 )
13 OGKE -5, ( 1
14 PIKK
) ,
15 RTKM
16 RTKMP
, .
17 SBER GARCH
18 SBERP , * ARCH- , -
19 TATN . .. ,
20 TATNP . .. , [4].
21 URKA
* . GARCH (p, q) -
:
BE/ME - q p
: t2 = + i t2i + i t2i ,
, IV i =1 i =1
t / L; p -
/ ; , -
/ . ;
L t, i ,
-
33% (GARCH-
. , - ).
66% , GARCH (p, q) -
[8, 9,10]. ARCH
(q) -. ,
(. ). , i, j .
GARCH- .
p = 1 q = 1: GARCH (1,1).
H M L GARCH
S SH SM SL (1,1) :
B BH BM BL t2 = + t21 + t21 ,
t21
SMB t1.
-
(SH, SM, SL) - GARCH (1,1) -
(BH, BM, BL) [8, 9,10]. t2 = + t21 + t21 + 2SMB ,t 1 + 2HML ,t 1 ,
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42 (522) 2012
45
42 (522) 2012
H0 . ,
SMB
. . -
. 3. , z-
. HML -
- ;
R2 (R2 = 0,95) CAPM ,
(R2 = 0,65), , 95% ,
, -
. .
,
. z- , -
6 HML, SM
. 2. - , .
HML .
. - , - -
, z- R2 , SM. ,
, ,
(. 4). , -
. 4, .
, : -
, , SMB,
, - 4 6 .
3
R2
F- (Prob.. < 0,05) ARCH LM- (Prob > 0,05) Jarque-Bera (rob > 0,05)
0,95 0,004 0,619 0,584
CAPM 0,65 0,005 0,676 0,543
4
, z- R2*
-
a b s h R2
R2
BH 0,000927 1,137463 0,152497 0,499211 0,906193 0,793624
(2,725178) (10,01982) (0,661261) (2,238877)
BM 0,000609 0,741953 0,573129 0,170290 0,911342 0,804951
(-1,571149) (4,878779) (1,909320) (-0,499101)
BL 0,000873 1,155455 0,332255 0,484486 0,920638 0,883404
(1,228963) (5,153285) (0,77562) (1,726923)
SH 0,000053 1,003432 0,969199 0,157973 0,892024 0,762452
(0,130727) (6,605291) (4,345674) (0,494043)
SM 0,764363 0,764363 0,947806 0,236634 0,876286 0,746061
(2,798959) (5,565024) (6,102685) (1,138537)
SL 0,000293 1,186772 0,921047 0,503759 0,929487 0,844871
(0,523526) (6,249563) (2,993721) (1,496459)
* (z- ), R2, R2 , -
: Rp Rf = a + b (Rm Rf) + s SMB + h HML + .
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BE/ME - -
6 . 1,15%;
, -, -
1% -
.
- 0,33%;
, - -,
.
,
. 0,48%.
- -
(. 5). . , GARCH-
R2,
, - , 1.
GARCH (1,1)
. , t. -
- 1
.
JarqueBera. (
- )
. .
6 BL SL:
SL, : , E (Ri) Rf = 1,1867 [E (Rm) Rf] +
, . + 0,9210E (SMB) 0,5037E (HML) i + 0,0003; (7)
- t2 = 0,0000002 0,15t21 + 0,91t21
BL -
0,07 2SMB ,t 1 + 0,05 2HML ,t 1 . (8)
:
(7)
E (Ri) Rf = 1,15 [E (Rm) Rf] 0,33E (SMB)
(8) :
0,48E (HML) i + 0,0008; (5)
2 2 2
-, I
t = 0,0000004 0,34t 1 + 0,92t 1 0,0003%;
0,38 2SMB ,t 1 + 0, 26 2HML ,t 1 . (6) -, 20092011.
(5) 1% -
(6) : -
-, I 1,18%;
0,0008%; -, -
-, 20092011. 1% -
1% -
0,92%;
5 -,
-
-
R2 F- ,% 0,50%.
BH 0,91 8,05 18,06
BM 0,91 8,56 8,30 (
BL 0,92 3,56 28,74
).
SH 0,89 6,88 18,15
SM 0,88 5,90 19,29
, -
SL 0,93 10,98 26,96 -
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PDF dilib.ru.
2006 .
www.dilib.ru
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