Macroeconomic shocks and the CAPM: evidence from the UK stockmarket
本文检验英国股票市场是否满足资本资产定价模型（CAPM）的均值方差有效性，发现宏观经济冲击模型略优于多元ARCH模型，但两种模型均拒绝市场有效的原假设，且最重要的冲击来自国际市场或债券市场。
The UK stockmarket is tested for mean variance efficiency (MVE) in the sense that sectoral stock returns satisfy the restrictions implied by CAPM. There are two main innovations in the paper. One is the use of a model for excess returns in which the conditional covariance matrix of returns varies over time due to the simultaneous influence of four macroeconomic shocks. The other is the use of a likelihood ratio test for MVE calculated from analytical derivatives of the likelihood function in order to reduce the computational burden of these high parameter dimensional models. The model with macroeconomic shocks is compared with the multivariate ARCH-in-mean model. Although the macroeconomic shocks model is found to perform slightly better than the ARCH model, and both produce a significant and plausible estimate of the coefficient of risk aversion, the null hypothesis that the UK stockmarket is mean variance efficient is rejected for both models in favour of the alternative hypothesis that equity returns are an unrestricted linear function of asset shares. Another important finding is that the most important shocks affecting the UK stockmarket either have an international origin or are due to the bond market. © 1998 John Wiley & Sons, Ltd.