行为资产定价模型的实证性研究  

The empirical research of behavioural asset pricing

作　　者：许光辉[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,200030

出　　处：《西南民族大学学报（自然科学版）》2013年第2期249-255,共7页Journal of Southwest Minzu University(Natural Science Edition)

摘　　要：介绍了行为资产定价模型的具体内容,并对行为资产定价模型在我国证券市场的适用性进行了实证分析.通过利用上证A股市场数据作为研究样本,考察了在三种不同市场行情下CAPM与BAPM模型的适用性差异,结果发现牛市及熊市中BAPM解释市场收益更为有效,而中位震荡情形中CAPM更为适用.The paper gives specific description of Behaviouml Asset Pricing Model, and conducts the empirical research of behavioural asset pricing on China＇s stock market. Using the exchange data of Shanghai A share market as the sample, the paper analyses the applicability differences between CAPM and BAPM under three certain market conditions, and finds that BAPM is more efficient when explainning the market return under the precondition of the booming market or sluggish market, while CAPM is relatively better when the market is in situation of medial volatility.

关 键 词：资本资产定价模型 行为资产定价模型 噪声交易风险 

分 类 号：F830.91[经济管理—金融学]