c**********e
发帖数: 2007 | 1 面试时我说French-Fama是APT的一个例子。结果面试官愣了一下。 | s*******o
发帖数: 392 | | x******o
发帖数: 2345 | 3 french－fama是在capm上面加了两个factors
两者都算apt吧
【在 s*******o 的大作中提到】
: it is extension of capm
| B******l
发帖数: 145 | 4 Wrong. French Fama is not an extension of capm.The concept is totally
different.
If APT means using a number of macro-economic factors to predict the return
of a sigle asset. Then French-Fama is not an APT.
【在 s*******o 的大作中提到】
: it is extension of capm
| x******o
发帖数: 2345 | 5 好像挺有道理的
你理解得真细啊
return
【在 B******l 的大作中提到】
: Wrong. French Fama is not an extension of capm.The concept is totally
: different.
: If APT means using a number of macro-economic factors to predict the return
: of a sigle asset. Then French-Fama is not an APT.
| r**a
发帖数: 536 | 6 No, it is a generalization of CAPM.
【在 c**********e 的大作中提到】
: 面试时我说French-Fama是APT的一个例子。结果面试官愣了一下。
| r**a
发帖数: 536 | 7
? What do u mean? French-Fama is similar like the CAPM, just assume a
multiple linear regression. Why do you say it is not an extension of CAPM?
return
Technically, in the ATP we won't assume the linear regression initially. And
we will try to use the arbitrage free assumption to derive the mean of the
residual. Why do you think "APT means using a number of macro-conomic
factors to predict the return of a sigle asset", I did not get the point.
【在 B******l 的大作中提到】
: Wrong. French Fama is not an extension of capm.The concept is totally
: different.
: If APT means using a number of macro-economic factors to predict the return
: of a sigle asset. Then French-Fama is not an APT.
| c*******1
发帖数: 21 | 8 My understanding:
FF is one specification of ICAPM, which assumes wealth growth or consumption
choice (the single SDF in CAPM) depends on several state variables (FF
factors can be seen as one set of state variables).
APT is totally different since it is just a statistic specification and most
importantly, CAPM and ICAPM are one period model (cross-sectional test, or
in other words unconditional model) while APT is a multiple period model. | e***z
发帖数: 7126 | 9 http://www.stanford.edu/~wfsharpe/art/djam/djam.htm
【在 c**********e 的大作中提到】
: 面试时我说French-Fama是APT的一个例子。结果面试官愣了一下。
| b*******r
发帖数: 28 | 10 I think FF three-factor model is an example of APT.
Difference b/w CAPM and APT:
1. CAPM is an "economic" equilibrium model. APT is a "statistical" return
relationship,by ruling out arbitrage opportunities. In CAPM, the demand for
risky assets is determined by all investors' utility (risk aversions),
while the supply of risky assets is the market portfolio. Set demand =supply
, we derive that market portfolio is the optimal risky asset to hold, and
thus any asset's expected return is only determined by its beta. APT is more
general in that it gets to an expected return and beta relationship without
the assumption of the market portfolio or economic equlibirum model.. As
long as there are no arbitrage opportunities, APT holds.
2. APT can be extended to multifactor models. The one-factor APT is not CAPM
, though they look the same.
3. APT applies to well diversified portfolios and not necessarily to
individual stocks.The key of APT is risk-free arbitrage, which apply for
well diversified portfolio only. For portfolio, we first diversify away the
idiosyncratic risk, and then we hedge out the systematic risk [We can't
hedge out idiosyncratic risk]. So with APT it is possible for some
individual stocks to be mis-priced.
4. The problem of APT is the lack of economic explanation. For example, the
SMB and HML in FF-three factor can explain the the cross-sectional return
variation, however, we don't understand the underlying reason for these two
factors. We can always do factor-mining,i.e. finding some new factors,
however, they just work statistically, not economically.
【在 s*******o 的大作中提到】
: it is extension of capm
| | | r**a
发帖数: 536 | 11 First of all, you thought FF three-factor model is an example of APT. I
disagree with you. Because the basic assumption of APT is the arbitrage free
, but in FF's original paper they did not use this assumption to derive
their model. Actually, in Cochrane's book "asset pricing" he mentioned
something like the FF model is in the category of CAPM but closer to APT.
Regarding to the difference of CAPM and APT, I'd like to say some technique
things. In CAPM the final formula won't contain any residual error, because
we are using the linear regression and minimize the variance or maximize the
utility function. We know that if we calculate the expectation value in
linear regression formula, the residual error is vanishing automatically.
While, in APT, I checked Ross's original paper, the residual error won't
appear in the final formula because of the assumption of arbitrage-free and
law of large number. So technically, the CAPM and APT are really different.
The latter one only reflects the asymptotic case, which is the case of
infinite number of assets. If the number of assets is large, the APT formula
is approximately true.
for
supply
more
without
【在 b*******r 的大作中提到】
: I think FF three-factor model is an example of APT.
: Difference b/w CAPM and APT:
: 1. CAPM is an "economic" equilibrium model. APT is a "statistical" return
: relationship,by ruling out arbitrage opportunities. In CAPM, the demand for
: risky assets is determined by all investors' utility (risk aversions),
: while the supply of risky assets is the market portfolio. Set demand =supply
: , we derive that market portfolio is the optimal risky asset to hold, and
: thus any asset's expected return is only determined by its beta. APT is more
: general in that it gets to an expected return and beta relationship without
: the assumption of the market portfolio or economic equlibirum model.. As
| b*******r
发帖数: 28 | 12 The CAPM is a theoretical economic equilibrium model, but FF (93) original
paper has no theory model and just find empirical evidence. If the FF-3
factor model is an extension of CAPM, what's the economic meaning of SMB and
HML? How could they help determine asset's price/return in the equilibrium?
Actually, these two factors are originally created to explain size and book
-to-market effect, not an extension for CAPM.
free
technique
because
the
【在 r**a 的大作中提到】
: First of all, you thought FF three-factor model is an example of APT. I
: disagree with you. Because the basic assumption of APT is the arbitrage free
: , but in FF's original paper they did not use this assumption to derive
: their model. Actually, in Cochrane's book "asset pricing" he mentioned
: something like the FF model is in the category of CAPM but closer to APT.
: Regarding to the difference of CAPM and APT, I'd like to say some technique
: things. In CAPM the final formula won't contain any residual error, because
: we are using the linear regression and minimize the variance or maximize the
: utility function. We know that if we calculate the expectation value in
: linear regression formula, the residual error is vanishing automatically.
| a**n
发帖数: 3801 | 13 因为大家都说fama french
你说french fama
【在 c**********e 的大作中提到】
: 面试时我说French-Fama是APT的一个例子。结果面试官愣了一下。
| r**a
发帖数: 536 | 14 I guess that is the reason that Cochrane said the FF is more like APT,
although it is in the category of CAPM. But in my opinion, for a rigorous
APT you need the arbitrage free assumption, don't you? But in FF we do not
have it. So in some sense, the FF is in the middle between APT and CAPM.
BTW, when I took the investment class, the prof. taught us the FF is a extension of CAPM, although he could be wrong.
and
equilibrium?
book
【在 b*******r 的大作中提到】
: The CAPM is a theoretical economic equilibrium model, but FF (93) original
: paper has no theory model and just find empirical evidence. If the FF-3
: factor model is an extension of CAPM, what's the economic meaning of SMB and
: HML? How could they help determine asset's price/return in the equilibrium?
: Actually, these two factors are originally created to explain size and book
: -to-market effect, not an extension for CAPM.
:
: free
: technique
: because
| r**a
发帖数: 536 | 15 Another evidence that FF is in the category of CAPM is FF's paper www-
personal.umich.edu/~kathrynd/JEP.FamaandFrench.pdf, in which the authors
discussed the origin of FF model. Basically, they were aimming to extend
CAPM using the spirit of APT.
and
equilibrium?
book
【在 b*******r 的大作中提到】
: The CAPM is a theoretical economic equilibrium model, but FF (93) original
: paper has no theory model and just find empirical evidence. If the FF-3
: factor model is an extension of CAPM, what's the economic meaning of SMB and
: HML? How could they help determine asset's price/return in the equilibrium?
: Actually, these two factors are originally created to explain size and book
: -to-market effect, not an extension for CAPM.
:
: free
: technique
: because
| b*******r
发帖数: 28 | 16 The model used in Chen, Roll and Ross (1986) is a typical APT. You may read
that paper.
Arbitrage-free is the “necessary but insufficient condition” for CAPM, but
“sufficient condition” for APT.
For any asset-pricing model with valid factors, it must satisfy
1) Time-series test: asset return commoves with these factors. You may
need high enough R square in time-series regressions.
2) Cross-sectional test: factors loading (beta to factor) can explain the
cross-sectional return variation. (high beta then high return) You may need
significant t-value of these betas’ coefficients in the Fama-MacBeth
regressions.
If you want to argue “arbitrage-free”, the second step must be satisfied.
That is what Fama and French (93) doing. (You can also check Daniel and
Titman (97) for further debate about risk and mis-pricing story.)
Basically, you can arbitrage away any mis-pricing without risk in APT by:
1) Eliminate idiosyncratic risk by forming large portfolio;
2) Eliminate systematic risk (betas) by hedging with factors.
However, the multi-factor APT models like FF- 3 factor are difficult to do
riskless arbitrage in the real world. The problem is how to eliminate multi-
dimensional systematic risk (e.g. beta to Market, beta to SMB, beta to HML).
In addition, it is very difficult to find instruments for non-market
factors. We can trade market using index funds or ETFs, but how to trade SMB
or HML? So I guess that is why most hedge funds argue they are risk-fee
based on the one-factor (market) model.
extension of CAPM, although he could be wrong.
【在 r**a 的大作中提到】
: I guess that is the reason that Cochrane said the FF is more like APT,
: although it is in the category of CAPM. But in my opinion, for a rigorous
: APT you need the arbitrage free assumption, don't you? But in FF we do not
: have it. So in some sense, the FF is in the middle between APT and CAPM.
: BTW, when I took the investment class, the prof. taught us the FF is a extension of CAPM, although he could be wrong.
:
: and
: equilibrium?
: book
| l*******1
发帖数: 113 | 17
有道理。
【在 a**n 的大作中提到】
: 因为大家都说fama french
: 你说french fama
| r**a
发帖数: 536 | 18 Ok, I'll check the papers u mentioned. Anyway, thanks a lot for the info.
read
but
the
need
【在 b*******r 的大作中提到】
: The model used in Chen, Roll and Ross (1986) is a typical APT. You may read
: that paper.
: Arbitrage-free is the “necessary but insufficient condition” for CAPM, but
: “sufficient condition” for APT.
: For any asset-pricing model with valid factors, it must satisfy
: 1) Time-series test: asset return commoves with these factors. You may
: need high enough R square in time-series regressions.
: 2) Cross-sectional test: factors loading (beta to factor) can explain the
: cross-sectional return variation. (high beta then high return) You may need
: significant t-value of these betas’ coefficients in the Fama-MacBeth
|
|
