CAPM在上海股票市场的实证研究  

An Empirical Study on CAPM in Shanghai Stock Market

作　　者：尉雪波[1] 谢海艳[2] 

机构地区：[1]山东财政学院统计与数理学院 [2]山东财政学院

出　　处：《统计教育》2009年第6期3-7,共5页Statistical education

摘　　要：根据CAPM的原理,对上海股票市场31个行业的31支股票进行实证研究。结果表明:CAPM在一定程度上具有对市场解释的能力,可作为投资者选择组合证券的工具;说明证券风险和收益之间存在正相关关系,能较好地解释资产定价问题,有助于判断股价是否合理,指导投资者的投资行为。According to 31 industries in Shanghai the principle of CAPM, this paper conducts an empirical study on 31 sample stocks from stock market. The result shows that： CAPM to some extent has the ability to explain the market, and can be used as a tool for investors＇portfolio selection. The model shows that there exists a positive correlation between the risks and benefits of securities, and it can explain the problem of asset pricing, helping to judging the rationality of price, and thus guiding the investment behavior of investors.

关 键 词：CAPM Β系数 资本市场线 证券市场线 

分 类 号：F832.51[经济管理—金融学] F830.9