The Heterogeneous Investment Horizon and the Capital Asset Pricing Model: Theory and Implications
推广了传统资本资产定价模型的风险收益关系，考虑有限投资期限的影响，提出用超越对数模型估计风险收益关系，并指出忽略投资期限差异会导致实证结果与模型不符。
This paper generalizes the risk-return relationship implied by the traditional capital asset pricing model with finite investment horizons. It examines the effect of heterogeneous investment horizons on the functional form of capital asset pricing and proposes a translog model for estimating the risk-return relationship. In addition, this paper contends that some empirical findings that are inconsistent with the traditional CAPM have resulted from misspecification of the CAPM by ignoring the discrepancy between the observed data periods and the true investment horizons. Finally, the paper shows that under various conditions, the translog model is a suitable function for estimating the relationship between risk and expected returns.