CAPM模型在上海股票市场的实证研究
The Empirical Research of the Capital Asset Pricing Model in Shanghai Security Market
摘要: 为研究CAPM模型在中国股票市场的适用性，本文以上海股市为研究对象，首先选取2002年12月31日以前上市且处于正常交易的640只沪市A股作为样本，通过同花顺炒股软件筛选出2003年1月至2012年12月历时十年的经除权、除息处理后的月收益率数据。然后运用时间序列检验和横截面检验相结合的方法对沪市A股股票月收益率与β系数的关系进行检验，并分析其风险构成。最后，时间序列检验和横截面检验得出CAPM模型在上海股市非有效的结论。
Abstract:  In order to study the application of the Capital Asset Pricing Model in China stock market, the thesis regards the Shanghai Stock Market as the research object. Firstly, a list of A shares was selected, that means 640 stocks in Shanghai Stock Market as the sample was listed before December 31st in 2002 and in the situation of normal trading. Then, the data of monthly yield were filtered out by ex-dividend processing, which dates from January 1st in 2003 to December 31st in 2012. Afterwards, by using time series and cross-sectional test methods, the relationship between monthly return and beta of A shares in Shanghai Stock Market was tested. Furthermore, risk structure was analyzed. Finally, both the time series inspection and the cross-sectional inspection draw the conclusion that the CAPM is not effective in Shanghai Stock Market.
文章引用：段娅丽. CAPM模型在上海股票市场的实证研究[J]. 世界经济探索, 2014, 3(2): 18-27. https://dx.doi.org/10.12677/WER.2014.32003

参考文献

[1] Markowitz, H. (1952) Portfolio selection. Journal of Finance, 7, 77-91.
[2] Sharpe, W.F. (1964) Capital Asset Prices: A theory of market of market equilibrium under conditions of risk. Journal of Finance, 19, 425-442.
[3] Lintner, J. (1965) The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47, 13-37.
[4] Mossin, J. (1966) Equilibrium in a Capital Asset Market. The Econometric Society, 34, 768-783.
[5] Black, F., Jensen, M. and Scholes, M. (1972) The capital asset pricing model: Some empirical tests. In: Jensen, M.C., Ed., Studies in the Theory of Capital Markets, Praeger, New York, 79-124.
[6] Fama, E.F. and Macbeth, J. (1973) Risk return and equilibrium: Empirical tests. Journal of Political Economy, 71, 607654.
[7] Clare, A.D., Priestley, R. and Thomas, S.H. (1998) Reports of beta’s death are premature: Evidence from the UK. Journal of Banking and Finance, 22, 1207-1229.
[8] 向方霓 (2001) 对资本资产定价模型(CAPM)的检验. 数理统计与管理, 3, 32-33, 53.
[9] 李剑锋 (2002) 资本资产定价模型(CAPM)对上海股市的实证研究. 江苏统计, 6, 12-17.
[10] 许涤龙, 张钰 (2005) 资本资产定价模型与上海股票市场的实证分析. 南昌大学学报, 2, 142-145, 150.
[11] Roll, R.A. (1977) A critique of the Asset Pricing Theory’s Tests. Journal of Financial Economics, 4, 129-176.
[12] Reinganum, M.R. (1981) A new empirical perspective on the CAPM. Journal of Financial and Quantitative Analysis, 16, 439-462.
[13] Fama, E.F. and French, K.R. (1992) The cross-section of expected stock re-turns. Journal of Finance, 47, 427-465.
[14] Lewellen, J. and Nagel, S. (2006) The conditional CAPM does not explain asset-pricing anomalies. Journal of Financial Economics, 82, 289-314.
[15] 施东晖 (1996) 上海股票市场风险性实证研究. 经济研究, 10, 43-48.
[16] 杨朝军, 刑靖 (1998) 上海证券市场CAPM实证检验. 上海交通大学学报, 3, 59-64.
[17] 陈小悦，孙爱军 (2000) CAPM在中国股市的有效性检验. 北京大学学报, 4, 28-37.
[18] 阮涛, 林少宫 (2000) CAPM模型对上海股票市场的检验. 数理统计与管理, 2, 12-17 .
[19] 李璁, 陈荣达 (2010) 资本资产定价模型在上证市场的实证研究. 枣庄学院学报, 3, 112-114.
[20] 王晓黎 (2004) 资产定价模型在上海股票市场的实证研究. 硕士学位论文, 西南财经大学, 成都.
[21] 李罗 (2008) CAPM及其拓展模型在中国股票市场的适用性实证研究. 华东交通大学, 南昌.

为你推荐