CAPM在我国证券市场上的检验  

CAPM test on Chinese security market

作　　者：朱奇锋[1] 

机构地区：[1]郑州成功财经学院,河南郑州451200

出　　处：《南阳师范学院学报》2012年第12期23-26,共4页Journal of Nanyang Normal University

摘　　要：CAPM即资本资产定价模型,是现代金融学基础性研究成果,在投资决策上有重要应用.但由于资本资产定价模型有着较多的假设,有些假设可能不符合我国证券市场,那么导出的结论也需要验证其是否符合我国的证券市场.本文验证了一个假设条件及结论与我国证券市场的适应情况,从中研究并发现我国证券市场与成熟证券市场的区别.CAPM （capital asset pricing model） is the important pillar of modern financial market, it is always applied on investment decision-making. But CAPM have too many assumptions which may be not suitable for Chinese security market, so the conclusion need to be checked out whether it is suitable for Chinese security market. This article test an assumption and the conclusion on Chinese security market, then study the test and find the differences between Chinese security market and the mature security market.

关 键 词：CAPM 收益率 正态分布 Β系数 

分 类 号：O29[理学—应用数学]