题目：A Calibration Solution to the Sharpe-Lintner CAPM

报告人：Michael J. Sandretto (The University of Illinois)

时间：2012年8月23日（周四）13:30-15:00

地点：成人直播新楼214室

Abstract: We numerically solve the CAPM as a set of simultaneous, single-index, multifactor equations by calibrating securities against the risk-free asset (30-day T-bill). We price-adjust then discount Treasury cash flows using means and variances for: CPI inflation and the nominal risk-free rate (as inputs); an index risk premium and implied long-term inflation rate (extracted from the term structure). Betas are endogenous. Computed Treasury prices approximate market prices. Where they differ by at least 100 basis points, hedged portfolios earn significant returns. Treasury betas from different indexes are approximately equal after a scalar transformation for index risk (superposition). Computed forward rates systematically differ from the expectations hypothesis and they are used to identify mispriced Eurodollar futures contracts. Computed Treasury futures prices approximately equal actual market prices. The process is extensible to currencies, swaps, options, corporate bonds, equities, and most other securities with expected cash flows.

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