基于公因子提取法的CAPM修正模型  

The Corrected CAPM Based on the Common Factor Extraction Method

作　　者：史宇峰[1] 张世英[2] 

机构地区：[1]天津大学博士生 [2]天津大学管理学院教授

出　　处：《统计研究》2008年第8期94-98,共5页Statistical Research

基　　金：国家自然科学基金资助,多变量矩序列长期均衡关系及动态金融风险规避策略研究(70471050)

摘　　要：大量实证质疑CAPM的定价准确性,这是因为CAPM是建立在投资组合有效前沿基础上的,而实际上这样的有效前沿是不存在的。这说明,CAPM模型是一种理想状态的模型,为此,应用公因子提取的方法来修正CAPM。同时,从沪市随机选取22支股票进行了实证,结果表明,CAPM修正模型较CAPM具有更准确的定价能力。The pricing accuracy of CAPM is questioned by the large number of empirical tests, and the reason is that the effective frontier established by CAPM model is not easily found in capital market. The results show that CAPM model is ideal one, therefore, the CAPM model is corrected by common factor extraction method. At the same time, the test is done by the data of 22 random stocks of the Shanghai Stock Market, and the results show that the correct CAPM is more accurate than the CAPM in pricing power.

关 键 词：CAPM CAPM修正模型 公因子提取法 

分 类 号：C812[社会学—统计学]