Benchmark, relative return, and asset pricing [r-libre/2330]

Bergeron, Claude (2022). Benchmark, relative return, and asset pricing. Applied Economics Letters, 29 (16), 1498-1503. https://doi.org/10.1080/13504851.2021.1940080

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PDF - l-RLibre-AEL-Taylor&Francis-UK.pdf
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Catégorie de document :	Articles de revues
Évaluation par un comité de lecture :	Oui
Étape de publication :	Publié
Résumé :	In this note, we develop a simple asset pricing model using the relative return to a benchmark. The model makes no assumption on free-risk securities, equilibrium conditions, utility functions, diffusion processes, probability distributions, or return generating processes. Our main result indicates that the asset’s expected return is equal to the expected return of the lowest-risk asset, plus a risk premium directly proportional to the covariance between the asset’s excess return and the benchmark factor. This suggests that an asset pricing model can be built without restrictive assumptions. This also suggests that the classic CAPM can be viewed as a special case of our benchmark model.
Déposant:	Bergeron, Claude
Responsable :	Claude Bergeron
Dépôt :	04 juin 2021 13:11
Dernière modification :	08 nov. 2023 20:12

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