条件CAPM与横截面定价检验:基于中国股市的经验分析  

Conditional CAPM and Cross-Sectional Pricing Tests: An Empirical Study on Chinese Stock Market

作　　者：王宜峰[1] 王燕鸣[1] 张颜江[1] 

机构地区：[1]中山大学岭南学院,广东广州510275

出　　处：《管理工程学报》2012年第4期137-145,共9页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金重点资助项目(70532003)

摘　　要：假设资产系统风险(市场贝塔)随经济状态变动,建立具有动态参数的条件CAPM并应用广义矩方法进行横截面定价检验。研究发现相对于CAPM、消费CAPM、投资增长、三因素模型等经典资产定价模型,条件CAPM具有明确的经济含义和较好的解释能力。在5个备选状态变量中,贝塔随每一个变动都对横截面收益有显著的解释能力,相对而言,上海银行间同业拆借利率(L)、广义货币供应量增长率(ΔlnM)等资金因素在中国证券市场有更重要的影响。本文发现小公司的系统风险一直高于大公司。小公司对经济状态更加敏感,因此它在经济不景气时的风险相对大公司更高。投资者应关注资产风险的动态变化。CAPM （Capital Asset Pricing Model） has been widely adopted in the finance theory. However, some studies have shown that CAPM theory is ineffective at explaining the ＂size effect＂ and the ＂book-to-market effect＂ from cross-sectional returns. Among all models to improve CAPM, Fama and French ＇ s three-factor model has higher explanative power for cross-sectional average returns. The CAPM was derived in a hypothetical economy in which investors live for only one period, Therefore, studies based on CAPM theory often assume that market beta （systematic risk loading） remains constant over time. In the real world investors live for many periods. Therefore, a firm＇s systematic risk is likely to vary over the business cycle and the beta value to measure the systematic risk changes over time. In consideration of the reality, this paper assumes that the market portfolio is conditionally mean-variance efficient, the expected return on an asset is linear with its conditional beta in every period, and conditional beta varies with state variables. This paper has three research objectives. There are several classical pricing models in the international literatures and practices, including CAPM, consumption CAPM, three-factor model and investment-based model. The first objective is to test how these models perform in Chinese stock market. This study assumes that conditional betas vary with Shanghai Interbank Offered Rate （L）, generalized money supply growth rate （AlnM）, consumption growth rate （AlnC）, fixed assets investment growth rate （Alnl） and consumer price index （CPI）. The second objective is to explore the ability of conditional CAPM to explain the cross section of average stock returns. In the conditional CAPM setting, conditional beta is a function of state variables. Thus, the time-series of conditional betas, which reflect the varying pattern of asset systematic risks during business cycle, can be obtained from the function. The third objective is to dynamically analyze the pri

关 键 词：条件CAPM 资产定价 横截面检验 

分 类 号：F832[经济管理—金融学]