General Capital Asset Pricing Model (GCAPM) - A Microeconomic Theory of Investments

摘要: The traditional CAPM can not explain empirically flat beta risk premiums and pronounced equity style effects. This paper proposes a new capital asset pricing model - GCAPM, which restores the "invisible hand of markets" as sole mechanism for any competitive market equilibriums. GCAPM firmly links with investors' time-variant heterogeneous investment objectives, concerns, valuations. It bestows modern finance paradigms broader definitions richer economic contents. shows that, under light, are alive well, independent its framework assumptions. also that have been seriously mis-interpreted, mis-modeled, mis-tested, mis-applied in many occasions, including those causing recent controversies. In Mathematical Appendix, provides first-hand, closed-form derivations paradigms, set theorems, various forms models from perspective equilibrium. reveals equilibrium behind Ross Roll's APT (1976) first time since 1976. Canonical Capital Asset Pricing Model, supports Sharpe's (1988-95) return-based analyses enhances CAPM's two asset-pricing portfolios into market-driven canonical portfolios. resolves controversies, unifies positive normative thoughts finance, establishes missing between real-world financial practices, studies.