Inconsistency of the Capital Asset Pricing Model in a Multi‐Currency Environment
本文通过理论和实例证明，资本资产定价模型（CAPM）在多货币环境下无法成立，因为不同基准货币的投资者会得到不同的市场风险溢价，除非汇率与资产价格不相关。
ABSTRACT The capital asset pricing model (CAPM) is a widely adopted model in asset pricing theory and portfolio construction because of its intuitive nature. One of its main conclusions is that there exists a global market portfolio that each rational investor should hold in proportion to the risk‐free asset. In this paper, we demonstrate theoretically and through an example that the CAPM cannot hold in a multi‐currency environment. This is because it produces different market risk premia depending on the investor's base currency unless each exchange rate is uncorrelated with the asset prices in the portfolio.