上海股票市场资本资产定价的横截面研究  

Cross-sectional Study on the Capital Asset Pricing in Shanghai Stock Market

作　　者：杨朝军[1] 蔡明超[1] 傅继波[1] 

机构地区：[1]上海交通大学管理学院,上海200052

出　　处：《系统工程理论与实践》2001年第10期66-70,共5页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金 (79670 0 5 7)

摘　　要：回顾了资本资产定价理论与实证的互动发展脉络 ,采用横截面方法对上海股票市场资本资产定价的因素进行分析 ,研究表明 :1β系数的测量方法对 CAPMs的检验结果产生影响 ;2在上海股票市场系统风险并不是影响收益率的唯一因素 ,同西方成熟股票市场一样 ,上海股市存在“规模效应”.本文进一步对这些结论进行了分析 .This paper reviews the interactive development of theories and empirical tests of the capital asset pricing, and analyzes the factors that influence capital asset pricing in Shanghai stock market with cross-sectional approaches. The study shows that: 1) the measurement method of beta has influence on the outcomes of the tests of the standard CAPM; 2) the systematic risk is not the only factor that influences the rate of returns in Shanghai stock market, which has' size effect' as those western mature stock markets. The paper analyzes these results further.

关 键 词：资本资产定价 股票市场 线性规划 经济效益 上海 

分 类 号：F832.5[经济管理—金融学]