???t??? t?µ?????s?? ?efa?a???????? st???e??? e?e???t????

?ata???ste ta ßas??? st???e?a t?? ?p?de??µat?? ap?t?µ?s?? ?efa?a?a??? st???e??? e?e???t???? (???st? ?a? ?? CAPM) se µ???? 50 ?ept? µe a?t? t? p?a?t??? ?a? s???pt??? ß?ß???. ?? ?p?de??µa t?µ?????s?? ?efa?a???????? pe????s?a??? st???e??? e??a? µ?a µa??µat??? µ???d?? p?? ???s?µ?p??e?ta? ??a t?? e?t?µ?s? t?? ap?d?t???t?ta? t?? ???µat???????µ???? pe????s?a??? st???e???. ??a ap? t?? p?? d?µ?f??e?? µe??d??? e?t?µ?s?? ???d????, t? CAPM ??e? ?? st??? ?a pa???e? st??? epe?d?t?? ?s? t? d??at?? pe??ss?te?e? p????f???e? s?et??? µe t?? p??a??? epe?d?se??, ?ste ?a µp????? ?a ?atas?e??s??? t? epe?d?t??? t??? ?a?t?f?????? ?p?? ??????? s??p?µ? ap? ??a? s??d?asµ? ep????d???? ?a? asfa??? pe????s?a??? st???e???. ?? ß?ß??? a?t? sa? pa???e? µ?a e????st? e?sa???? st? CAPM ?a? p?? ?a t? ???s?µ?p??e?te ??a ?a ???ete ?a??te?e? epe?d?se??. ??? µ??? ?a µ??ete p?? ?a ep?t??ete t?? ?????te?? ap?d?s? t?? epe?d?se?? sa?, a??? ?a e?et?sete e??????st??? p?a?µat???? pe??pt?se??, ?a µ??ete pe??ss?te?a ??a t?? ad??aµ?e? t??, s?µpe???aµßa??µ???? t?? ????? t?? d?af???p???s?? t?? ?a?t?f??a????, ?a? ?a µ??ete pe??ss?te?a ??a s??af? µ??t??a, ?p?? ? ?e???a t?? t?µ?????s?? t?? a?µp?t??? ?a? t? µ??t??? p???ap??? pa?a???t??.


S?et??? µe t? ?p?de??µa t?µ?????s?? ?efa?a???????? pe????s?a??? st???e??? : ?? CAPM a?apt?????e se µ?a ep??? p?? ?? ???µat?p?st?t???? a????? ????sa? ?a ße?t?????ta? ?a? ?a t?p?p?????ta?. ?p?t??pe? st??? epe?d?t?? ?a ?aµß????? te?µ????µ??e? epe?d?t???? ap?f?se?? ?a? ?a sta?µ????? t?? ???d??? e??? p?????t?? ??a?t? t?? d???t???? t?? ap?d?s??. ?e ???a ????a, ß???? t??? epe?d?t?? ?a spata???? ?s? t? d??at?? ????te?a ???µata ?a? ?a ?????? ??????????? ep??e???µat???? ep??????. ??a ???? p?e????t?µa t?? ?p?de??µat?? e??a? ?t? d??e? t? s?st? p??e??f??t??? ep?t???? ??a t?? ?p?????sµ? t?? µe????t???? ?e?d?? µ?a? eta??e?a?. ?a? e?? µp??e? ?a e??a? ????te?? a???ß?? ap? ???e? µe??d???, ?p?? ? ?e???a t?? t?µ?? arbitrage, e??a? e?????te?? st? ???s?. Se a?t? t? ß?ß???, ?a a?a?a???ete p?? t? CAPM µp??e? ?a sa? ß????se?, ?a µ??ete p?? ?a a??????e?te ??a ???µat???????µ??? pe????s?a?? st???e?? ?a? ?a ???s?µ?p???sete ta ap?te??sµat? sa? ??a ?a ???ete ?a??te?e? epe?d?se??. ??a saf?? e????s? t?? p?e??e?t?µ?t?? ?a? t?? p??a??? µe???e?t?µ?t?? t?? µe??d??, µ?a s???t?s? µ?a? p?a?t???? µe??t?? pe??pt?s?? ?a? µ?a e?sa???? se s?et??? µ??t??a sa? d????? ta e??a?e?a p?? ??e???este ??a ?a p??sa?µ?sete t?? p??s????s? sa? st?? pe??pt?s? sa?