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

使用显示偏好评估资产定价模型

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

摘要：本文提出了一种新的方法来测试资产定价模型，该方法基于数量而不是仅基于价格或回报。我们使用资本流入和流出共同基金的方法来推断投资者使用哪种风险模型。基于以上想法，我们对一组候选模型进行了简单的测试统计，结果显示，风险模型是最接近投资者在做资本分配决策时所使用的模型。使用本文提出的方法，我们对在文献中最常用的资产定价模型的表现进行了评估。

关键词：资产定价测试，因素模型，CAPM，共同基金，现金流

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

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X1500149X

翻译：秦秀婷