CAPM模型在上海股票市场的有效性检验  

作　　者：邹舟[1] 楼百均 

机构地区：[1]宁波诺丁汉大学金融系 [2]浙江宁波,315100

出　　处：《企业经济》2013年第1期173-175,共3页Enterprise Economy

摘　　要：根据资本资产定价模型(CAPM),从上海A股市场随机抽取100支股票,计算它们的收益率,选择上证综合指数为市场组合的市场指数,并利用双层回归分析方法对2007年1月1日至2011年12月31日这段时间的100支股票进行实证检验。虽然很多国外研究表明,CAPM模型在一定程度上能够解释市场收益,并在资产估价、资本预算、投资风险分析方面已经得到了广泛应用,同时也有利于投资者构建最优的证券投资组合,但本文实证研究结果发现,CAPM模型并不适合中国的股票市场,股票预期收益率和系统风险之间不仅不存在正相关的关系,而且也不存在线性关系,除了系统风险外,非系统风险在解释股票收益上也具有一定的作用。Based on the theory of the Capital Asset Pricing Model （CAPM）, this paper conducts an empirical test by randomly selecting 100 sample stocks from Shanghai A-share stock market between January 1st 2007 and December 31st 2011 to compute the average returns with Shanghai Composite Index as a proxy for the market portfolio by using two-pass regression method. A lot of foreign researches show that the CAPM model can explain the market returns at some extent, and the CAPM model ~s widely used in asset valuations, capital budget and investment risk analysis, which will help investors to optimize securities invest- ment combination. However, the empirical results of this paper show that the CAPM model does not fit the Chinese stock markets, and there is neither positive correlation between risk and expected stock returns nor a linear relationship between them, and except the systematic risk, a non-systematic risk can also explain stock returns to a certain extent.

关 键 词：CAPM 风险 上海股票市场 检验 

分 类 号：F272.7[经济管理—企业管理]