含有高阶矩的CAPM模型探讨  

On CAPM Model Containing Higher Moments

作　　者：粟芳[1] 蔡学章[1] 俞自由[1] 

机构地区：[1]上海财经大学金融学院,上海200433

出　　处：《东北财经大学学报》2003年第3期39-42,共4页Journal of Dongbei University of Finance and Economics

摘　　要：现在,资本资产定价模型已经使用得非常广泛了。但是很多研究都表明,CAPM的实证表现不好。本文的主旨就在于探讨CAPM的基本假设,从而得到它实证表现不佳的根本原因,并在CAPM中引入了较高阶矩,发展和推广了CAPM模型。Capital pricing model is currently being popularly applied, but many studies show that CAPM model does not perform well. The paper studies the basic hypothesis of CAPM, and finds out the reason for the poor performance, and also introduces higher moments in CAPM, so as to develop and expand the model.

关 键 词：CAPM模型 资本定价模型 资产定价模型 阶矩 财务模型 

分 类 号：F273.4[经济管理—企业管理]