「The Investment CAPM」というNBER論文上がっているungated版)。著者はLu Zhang(オハイオ州立大)。


A new class of Capital Asset Pricing Models (CAPM) arises from the first principle of real investment for individual firms. Conceptually as "causal"' as the consumption CAPM, yet empirically more tractable, the investment CAPM emerges as a leading asset pricing paradigm. Firms do a good job in aligning investment policies with costs of capital, and this alignment drives many empirical patterns that are anomalous in the consumption CAPM. Most important, integrating the anomalies literature in finance and accounting with neoclassical economics, the investment CAPM succeeds in mounting an efficient markets counterrevolution to behavioral finance in the past 15 years.




The evidence is more consistent with the investment CAPM. The crux is that whereas behavioral finance rides on dysfunctional, inefficient markets, the investment CAPM relies on well functioning, efficient markets for its mechanisms to work. As such, behavioral finance predicts that anomalies should be stronger in emerging markets, in which investors are less sophisticated, but weaker in developed markets, in which investors are more sophisticated. In contrast, the investment CAPM predicts that anomalies should be stronger in developed markets, such as the U.S., in which the incentives of managers and shareholders are more aligned, and managers are more likely to maximize the market equity in making investment decisions. However, anomalies should be weaker in emerging markets, such as China, in which managers are often appointed by the government, and more likely to pursue social objectives such as maximizing employment, rather than the market value of equity.



トラックバック - http://d.hatena.ne.jp/himaginary/20170316/The_Investment_CAPM