基于中国企业资本资产定价模型有效性的实证检验  

An Empirical Analysis of Capital Asset Pricing Model in Different Enterprises in China

作　　者：王伟杰 陶沙[1] 李姜悦 侯为波[1] WANG Weijie;TAO Sha;LI Jiangyue;HOU Weibo(School of Mathematical Sciences,Huaibei Normal University,235000,Huaibei,Anhui,China)

机构地区：[1]淮北师范大学数学科学学院,安徽淮北235000

出　　处：《淮北师范大学学报（自然科学版）》2021年第4期23-31,共9页Journal of Huaibei Normal University：Natural Sciences

基　　金：安徽高校自然科学基金项目(KJ2018A0674)。

摘　　要：文章借助中国不同上市企业对CAPM模型的有效性进行检验.随机选取中国股市分布在金融业,交通运输业,制造业,信息传输、软件和信息技术服务业,房地产业,工业和批发与零售业等43家上市企业从2012年9月4日至2020年3月31日的日收盘价数据为样本进行回归分析,讨论CAPM模型在中国股市中的有效性,预测未来收益率的准确度,并将这43家上市企业视为一个投资组合,对CAPM模型作进一步的有效性研究.研究结果显示,CAPM模型对不同企业的有效性差异较大,其中最好的是中信证券,其拟合优度为0.5940,而最差的为妙可蓝多,其拟合优度为0.1115,且拟合优度大于0.5的占6.98%,大于0.45的占23.26%,大于0.4的占39.53%,小于0.2的占9.30%.投资组合的有效性的拟合优度为0.8789,远远高于等量投资组合的拟合优度,即CAPM模型对等量投资组合在一定程度上是有效的.This paper tests the validity of CAPM model with the help of different listed companies in China.The daily closing price data of 43 listed companies in China′s stock market from September 4,2012 to March 31,2020 are randomly selected as samples for regression analysis,This paper discusses the effectiveness of CAPM model in China′s stock market and the accuracy of forecasting the future return rate,and further studies the effectiveness of CAPM model by taking these 43 listed companies as a portfolio.The results show that the effectiveness of CAPM model varies greatly among different companies,among which CITIC Securities is the best,with a goodness of fit of 0.5940,while miaolando is the worst,The goodness of fit is 0.1115,and the goodness of fit greater than 0.5 is about 6.98%,greater than 0.45 is about 23.26%,greater than 0.4 is about 39.53%,less than 0.2 is about 9.30%.The goodness of fit of portfolio effectiveness is 0.8789,which is far higher than the goodness of fit of equal portfolio,that is,CAPM model is effective for equal portfolio to a certain extent.

关 键 词：资本资产定价模型 实证分析 最小二乘法 有效性 投资组合 

分 类 号：F830.9[经济管理—金融学]