投資必修課：CAPM (資本資產定價模型) 是什麼？alpha(α)、 ...

零贝塔资产是由F.伯莱克基于K.L.赫斯特的零贝塔正方差证券组合概念提出的证券组合，其核心特征为证券之间协方差为零。 该概念与资本资产定价模型（CAPM）密切相关，模型通过β系数衡量单个资产相对于市场的波动性，公式表现为E (Ri)=RFR+β [E (RM)-RFR]。

相較 β 值是衡量系統性風險，α 值則是衡量實際報酬率與預期的報酬之差，也就是 β 值無法衡量的部分。 簡單來說， β 值是市場本身可以帶來的報酬，α 值則是超額報酬，如果實際報酬高於預期報酬，α 值則大於 0，代表組合表現的比預期好，反之則小於 0。

Fischer Black (1972) developed another version of CAPM, called Black CAPM or zero-beta CAPM, that does not assume the existence of a riskless asset. This version was more robust against empirical testing and was influential in the widespread adoption of t

Circumventing the zero-beta portfolio identification problem, Chapter 10 reviews a new form the zero-beta CAPM dubbed the ZCAPM. The ZCAPM enables estimation of the zero-beta CAPM with readily available stock return data that does not require a proxy for

Should the firm's stock be discounted more heavily for that risk? 1 Capital asset pricing model (CAPM) doctrine holds that such firm-specific risks have zero correlation with the stock market's overall return, and are therefore “zero beta&rd

Beta (β) 是 CAPM 模型中的核心參數，用來衡量單一資產或投資組合相對於「整體市場」的波動性。 它是評估系統性風險的指標。

雖然用Beta預測單個股票的變動是困難，但是投資者仍然相信Beta值比較大的股票組合會比市場價格波動性大，不論市場價格是上升還是下降；而Beta值較小的股票組合的變化則會比市場的波動小。