奥克兰作业代写:项目缺陷

2017-11-21 23:07

这项研究有一些缺点。首先，对于个人资产的估计betas是不精确的，当我们用它们来解释平均回报时，就会产生测量误差。其次，回归中的误差项有一些共同的变异来源，它们在残差之间产生正相关。因此，回归在通常的OLS估计中有下降的倾向。Blume(1970)和Black,Scholes和Jensen(1972)致力于克服sharpel - lintner模型的缺点。而不是在投资组合上工作的个人证券。他们将预期的回报和市场测试版结合在一起，如果CAPM能够解释安全回报，它也可以解释投资组合收益。正如计量经济学理论所指出的那样，对多样化投资组合的预估比估计的个体安全性更精确。因此，如果我们利用市场投资组合来回归平均回报率，就能减少关键问题。然而，分组缩小了估计的范围，也缩小了统计的权力。为了解决这一问题，研究人员对证券进行分类，以创建两个投资组合。第一个包含有最低测试版的证券，它向上移动到最高的测试版。
奥克兰作业代写:项目缺陷
There are some demerits of the study. First of all, the estimated betas for individual assets are imprecise which creates the measurement error when we use them to explain average returns. Secondly, the error term in the regression has some common sources of variation which produces positive correlation among the residuals. Thus the regression has the downward bias in the usual OLS estimate. Blume (1970) and Black, Scholes and Jensen (1972) worked on overcoming the shortcomings of Sharpe-Lintner model. Instead of working on the individual securities they worked on the portfolios. They combined the expected returns and market beta in a same way that if the CAPM can explain the security return, it can also explain portfolio return. As the econometric theory suggests, the estimated beta for diversified portfolios are more accurate than the estimated beta for the individual security. Therefore, if we use the market portfolio in the regression of average return on betas, it lessens the critical problem. However, grouping shrinks the range of estimated betas and shrinks the statistical power as well. To tackle this researchers sort securities to create two portfolios. The first one contains securities with the lowest beta and it moves up to the highest beta.

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