上市券商股CAPM模型适用性及收益影响因素研究  

The Empirical Study of the CAPM Model Applicability and the Yield Factors on Listed Securities-Trader Stocks

作　　者：王尧 杨克磊[1] WANG Yao;YANG Kelei(School of Management and Economics,Tianjin University,Tianjin 300072,China)

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《重庆理工大学学报（自然科学）》2019年第1期193-200,共8页Journal of Chongqing University of Technology：Natural Science

基　　金：国家自然科学基金资助项目(71171144)

摘　　要：选取了在我国A股上市的20支券商股2012—2014年的交易数据,通过实证分析的手段,发现券商板块股票β系数整体偏高,投机性强,对信息反应敏感且剧烈,是我国股市的风向标,2015年119暴跌中券商股集体跌停也应证了这一点。还验证了CAPM模型和三因子模型在券商股板块的弱适用性,β系数、账面市值比、市盈率等指标与个股收益率显著相关,对其有一定的解释能力。在一定程度上弥补了现有研究的不足,对券商股领域的行情分析及新投资者选择标的资产都具有一定的现实和理论意义。With the establishment of the Shanghai-Hong Kong Stock Connect program,cutting interest rates and a series of good news,the market has a strong rise in 2014.In many share boards,Securities-trader stock has been leading the recent rally and has an eye-catching performance.This article,by selecting the basic data of 20 securities-trader stocks listed A shares from 2012 to 2014,found that the Securities-trader stock was more speculative than others.It is the indicator of the Market,which has been proved in the 119 crash.Our research also verified that the CAPM model and Fama-French 3-factor model is weakly applicative to Securities-trader stock boards,theβcoefficient,the book-to-market ratio and the P/E ratio were significantly related with the individual stock yields.This paper will make up for the shortcomings of the existing research,and has great theoretical and practical significance to the analysis of the Market as well as to the selection of assets for new investors.

关 键 词：券商股 CAPM模型 三因子模型 实证研究 

分 类 号：O21[理学—概率论与数理统计] F830.91[理学—数学]