资本资产定价模型在沪市拟合程度检验  

The Test of Estimated Level of CAPM on Shanghai Stock Market

作　　者：李金垒[1] 靳军会[2] 张雯[2] 

机构地区：[1]中央民族大学,北京100081 [2]西安交通大学,陕西710061

出　　处：《上海市经济管理干部学院学报》2008年第6期58-63,共6页Journal of Shanghai Economic Management College

摘　　要：资本资产定价模型是现代金融理论的重要基础,从一开始就处于金融理论研究的前沿。利用标准资本资产定价模型对从沪市选取的32支股票进行实证分析,得出的结论是:资本资产定价模型仍然不完全适合当前上海的股票市场,系统风险所占的比重不大,非系统因素起很大的作用,表明广泛运用投资组合会有良好的前景。The CAPM is the important basis of modem finance emerged.As a new capital market, whether the investment risk is theory. as what It has been the front theory since it the CAPM describes ？this article tests the standard CAPM with 32 shares which are selected from the Shanghai stock market,reaching a conclusion that the CAPM is unsuitable for current Shanghai stock market,the weight of the system risk is so little that there are good prospects in the extensive use of Portfolio.

关 键 词：资本资产定价模型 Β系数 回归分析 风险与收益 

分 类 号：F830.59[经济管理—金融学]