贝塔系数波动状况的实证分析  

A Positivistic Analysis of the Fluctuation of Beta

作　　者：马喜德[1] 郑振龙[1] 王保合[1] 

机构地区：[1]厦门大学金融系,福建厦门361005

出　　处：《厦门大学学报（哲学社会科学版）》2003年第4期22-27,共6页Journal of Xiamen University(A Bimonthly for Studies in Arts & Social Sciences)

基　　金：教育部优秀青年教师资助计划"中国信用风险度量和控制模型"项目的中期研究成果之一

摘　　要：资本资产定价模型(CAPM)自创立以来得到广泛应用。但对CAPM的实证检验也争议不断。利用上海股票市场90家上市公司的数据作为样本,对CAPM中的贝塔系数的波动状况进行实证研究,结果表明所有股票的贝塔系数波动率都显著异于零,贝塔系数在不同的时期会发生变化。实证分析中如果忽略了这一点,必将导致对CAPM检验的失效。Capital Asset Pricing Model (CAPM) has been used widely since it came into being. However, there has been constant controversy over the empirical test of CAPM. Through a positivistic analysis of the fluctuation of Beta in CAPM with the statistics of 90 listed companies in Shanghai security market as samples, the authors discover that the fluctuation ratio of Beta of none of the securities concerned is zero, and Beta varies in different periods of time. It is argued that neglecting this point will result in failure in CAPM tests.

关 键 词：CAPM 贝塔系数 波动状况 

分 类 号：F830.91[经济管理—金融学]