| 资本资产定价模型在沪市拟合程度检验 |
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| 引用本文： | 李金垒,靳军会,张雯.资本资产定价模型在沪市拟合程度检验[J].上海市经济管理干部学院学报,2008,6(6). |
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| 作者姓名： | 李金垒 靳军会 张雯 |
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| 作者单位： | 1. 中央民族大学,北京,100081
2. 西安交通大学,陕西,710061 |
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| 摘 要： | 资本资产定价模型是现代金融理论的重要基础，从一开始就处于金融理论研究的前沿。利用标准资本资产定价模型对从沪市选取的32支股票进行实证分析，得出的结论是：资本资产定价模型仍然不完全适合当前上海的股票市场，系统风险所占的比重不大，非系统因素起很大的作用，表明广泛运用投资组合会有良好的前景。
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| 关 键 词： | 资本资产定价模型 β系数 回归分析 风险与收益 |
The Test of Estimated Level of CAPM on Shanghai Stock Market |
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| LI Jin-lei,JIN Jun-hui,ZHANG Wen.The Test of Estimated Level of CAPM on Shanghai Stock Market[J].Journal of Shanghai Economic Management College,2008,6(6). |
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| Authors: | LI Jin-lei JIN Jun-hui ZHANG Wen |
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| Abstract: | The CAPM is the important basis of modern finance theory. It has been the front theory since it emerged.As a new capital market,whether the investment risk is as what the CAPM describes ?this article tests the standard CAPM with 32 shares which are selected from the Shanghai stock market,reaching a conclusion that the CAPM is unsuitable for current Shanghai stock market,the weight of the system risk is so little that there are good prospects in the extensive use of Portfolio. |
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