Title:	RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION.
Authors:	Miller, Edward M.1
Source:	Journal of Finance; Sep77, Vol. 32 Issue 4, p1151, 18p, 1 diagram
Document Type:	Article
Subject Terms:	*CAPITAL*INVESTMENTS*RATE of return*RISK*SECURITIES*SHORT selling*UNCERTAINTY
NAICS/Industry Codes:	523 Securities, Commodity Contracts, and Other Financial Investments and Related Activities
Abstract:	This paper will explore some of the implications of a market with restricted short selling in which investors have differing estimates of the returns from investing in a risky security. Explanations will be offered for the very low returns on the stocks in the highest risk classes, the poor long run results on new issues of stocks, the presence of discounts from net value for closed end investment companies, and the lower than predicted rates of return for stocks with high systematic risk. [ABSTRACT FROM AUTHOR]
Author Affiliations:	1Office of Energy and Strategic Resource Policy, Department of Commerce.
ISSN:	0022-1082
Accession Number:	4657524
Persistent link to this record:	http://search.epnet.com/login.aspx?direct=true&AuthType=cookie,ip,url,uid&db=buh&an=4657524
Database:	Business Source Premier

金融学三大PAPER之一。第三是这片，第二是WILLIAM SHARP CAPM 第一就是。。。忘了 ^_^

主要讲了CAPM的两个限制条件，HOMOGENEOUS / UNLIMITED SHORT SALE

这两个条件达到的效果都是一样的，再HOMO假设下不再存在交易（显然是不可能的）再SHORT SALE下，相当于提供了需求，相当于供给没有限制。再现实中（HETRO EXPE / LIMIT ON SHORT SALE) 相当于供给有限制，这样供给是一条平行Y的直线，DIVERGENCE OF OPINION越大，需求越弯曲，需求供给共同决定的价格越高。

SHARP LINTER 写完CAPM之后LINTER(1976)就发现HOMO再现实很难实现，曾经证明CAPM再没有HOMO EXPE下也能成立，关键就是有SHORT SALE的假设。

MILLER的思路推翻了CAPM，并且成功的说明了一些金融市场上IPO MA的ANNORMALY 。

文中还提到了SHORT SALE的优势和劣势，懒得写了。

[此贴子已经被作者于2004-12-21 7:10:54编辑过]