A simplified approach to benchmark, relative return, and asset pricing

被引：0
|
作者：
Baigent, G. Glenn [1 ]
机构：
[1] Univ Alabama, Culverhouse Coll Business Econ Finance & Legal Stu, 361 Stadium Dr, Tuscaloosa, AL 35487 USA
来源：
APPLIED ECONOMICS LETTERS | 2024年
关键词：
Benchmarking; asset pricing; efficient portfolios; arbitrage; CAPM;
D O I：
10.1080/13504851.2024.2364001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This analysis provides a much simpler and more intuitive derivation of Bergeron's (2021) benchmark model. Bergeron states that there are no assumptions regarding arbitrage and equilibrium, but this analysis shows that the same result obtained under no-arbitrage equilibrium conditions. Missing from Bergeron's analysis is an extension to Black's (1972) zero-beta CAPM so that result is presented here. The analysis concludes with a simple empirical example highlighting the importance of choosing a benchmark that is mean-variance efficient.
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页数：4
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