Toward a strategic theory of risk premium: Moving beyond CAPM

被引：92

作者：

Chatterjee, S ^{[1
]}

Lubatkin, MH

Schulze, WS

机构：

[1] Case Western Reserve Univ, Weatherhead Sch Management, Dept Mkt & Policy Studies, Cleveland, OH 44106 USA

[2] Univ Connecticut, Sch Business, Dept Management, Storrs, CT 06269 USA

[3] EM, Lyon, France

来源：

ACADEMY OF MANAGEMENT REVIEW | 1999年 / 24卷 / 03期

关键词：

D O I：

10.2307/259142

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We propose a framework of risk premium that offers a resolution to CAPM's challenge to the field of strategy. Our core assumption is that investors bear firm-specific risk because they are not as diversified and markets not as perfect as CAPM assumes. We therefore hypothesize that investors require lower risk premiums from firms that are able to reduce firm-specific risk, and we ground this prediction on theories from information economics, risk management, and strategy, as well as recent empirical challenges to CAPM.

引用

页码：556 / 567

页数：12

共 83 条

[1] DIVERSIFICATION STRATEGIES, BUSINESS CYCLES AND ECONOMIC-PERFORMANCE [J].