应用CAPM模型的超额收益的实证研究——以我国制造业类上市公司为例  

Empirical Study of Abnormal Returns Based on CAPM:Example for Listed Companies of Chinese Manufacturing Industry

作　　者：文娜[1] 钱凯[2] 

机构地区：[1]河海大学公共管理学院,南京211100 [2]河海大学商学院,南京211100

出　　处：《重庆理工大学学报（自然科学）》2015年第4期128-131,共4页Journal of Chongqing University of Technology：Natural Science

基　　金：中央高校基本科研业务费项目(2013B13814)

摘　　要：基于股利政策的相关理论,采用我国制造业类上市公司股票交易数据,构建现金股利和股票股利2类投资组合及其综合股价指数,运用CAPM模型、夏普比率和詹森指数开展实证研究,得出相关结论,并提出建议。The investment portfolios of stock dividend and cash dividend and the composite price index were constructed based on the relative theories of dividend policy,using the stock transaction data from the listed companies of Chinese manufacturing industries. Thus we had the empirical study of them with the CAPM,Sharpe ratio and Jensen index. At last,we came out relative conclusions and put forward some advice.

关 键 词：制造业类上市公司 超额收益 夏普比率 詹森指数 

分 类 号：O21[理学—概率论与数理统计] F832.5[理学—数学]