B-CAPM模型的GMM估计和检验  

GMM Estimation and Testing for B-CAPM Model

作　　者：张卫东[1] 龚金国[1] 

机构地区：[1]西南财经大学统计学院,四川成都610074

出　　处：《中国管理科学》2014年第3期20-25,共6页Chinese Journal of Management Science

基　　金：中央高校基本科研业务费专项资金(JBK120405);四川省高校人文科学重点研究基地

摘　　要：作为资本资产定价模型(CAPM)的发展之一,B-CAPM模型更适合于复杂多变的现实资本市场。本文首先分析从CAPM到B-CAPM的模型转化及其理论含义,然后迭代求出B-CAPM模型的零贝塔期望收益的极大似然估计值(MLE),最后通过案例,实证运用GMM方法构建B-CAPM的估计和检验。结果表明,B-CAPM模型适用于证券市场收益和风险的度量以及有效性检验,GMM方法更符合实际。B-CAPM model, one of development of capital asset price model （CAPM）, should be more suit- able to varying capital market. In this paper, firstly, the transform and theoretical implications from CAPM to B-CAPM are analyzed. Then using MLE, the zero-beta expected return of B-CAPM is calculat- ed. Finally the estimation and testing for B-CAPM are constructed empirically using GMM by an example. The conclusion shows that B-CAPM fits to measure the risk and return in security market and to test the efficiency of security market. GMM is a more suitable method.

关 键 词：CAPM模型 B-CAPM模型 GMM方法 估计和检验 

分 类 号：F064.1[经济管理—政治经济学] F224.0