方法对比
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| 资本资产定价模型 (CAPM)× | 多因子风险模型（Fama-French, APT）× | |
|---|---|---|
| 领域 | 金融学 | 金融学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1964 | 1993 |
| 提出者≠ | William F. Sharpe & John Lintner | Fama & French (factor model); Ross (Arbitrage Pricing Theory) |
| 类型≠ | Equilibrium asset-pricing model | Multi-factor linear regression model |
| 开创性文献≠ | Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442. DOI ↗ | Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56. DOI ↗ |
| 别名≠ | Capital Asset Pricing Model, Sharpe-Lintner CAPM, security market line, Sermaye Varlıkları Fiyatlama Modeli | Fama-French model, Fama-French three-factor model, Fama-French five-factor model, arbitrage pricing theory |
| 相关≠ | 2 | 5 |
| 摘要≠ | The Capital Asset Pricing Model (CAPM), developed by William Sharpe and John Lintner in the mid-1960s, links the expected return of an asset to its systematic risk, measured by beta. It states that in equilibrium investors are rewarded only for risk that cannot be diversified away: the expected excess return of an asset is proportional to the expected excess return of the market, with beta as the constant of proportionality. CAPM underpins the cost of equity, performance benchmarking, and a vast body of asset-pricing research. | A factor risk model is a multi-factor framework that links asset returns to systematic risk factors such as the market, value, size, and momentum. The Fama-French three- and five-factor models (1993) and Ross's Arbitrage Pricing Theory (1976) decompose portfolio risk and detect alpha. |
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