竞争者因素递归下的CAPM实证检验  

A Practical Check of CAPM Influenced by Competitors of the Same Industry Through Recursive Linear Models

作　　者：屈耀辉[1] 

机构地区：[1]厦门大学经济学院,福建厦门361005

出　　处：《广东经济管理学院学报》2004年第4期17-22,共6页Journal of Guangdong Institute of Business Administration

摘　　要：本文通过建立一种较为复杂的但依然反映单向因果关系属联立性质的模型--递归模型,对同业内竞争者因素作用下的CAPM进行了实证检验。结论是:业内竞争者因素的加入,一方面弥补了简单CAPM漏缺的一些信息使递归模型相对具有更强的解释力,另一方面分解了BETA系数,分摊了一些与之有关的系统风险。Through establishing a quite sophisticated recursive linear model, the paper conducts a practical check of CAPM influenced by competitors of the same industry. The essay concludes that the competitors of the same industry, on the one hand, makes the recursive linear model be more explanatory by making up for the missing information of CAPM; on the other hand, share some related risks by decomposing BETA.

关 键 词：CAPM 递归模型 竞争者因素 

分 类 号：F224.0[经济管理—国民经济]