| 行为资产定价模型的适用性研究 |
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| 引用本文： | 王敬,张莹.行为资产定价模型的适用性研究[J].价值工程,2006,25(1):119-122. |
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| 作者姓名： | 王敬 张莹 |
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| 作者单位： | 大连理工大学管理学院,大连,116024;大连理工大学经济系,大连,116024 |
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| 摘 要： | 作为行为金融学主干的行为资产定价理论近些年来发展迅速。行为资产定价模型能否指导现实中的投资行为,取决于对行为资产定价模型的实证检验结果。本文利用我国证券市场数据对行为资产定价模型的适用性进行了检验,发现行为资产定价模型适用于股价上涨时期,而非股价下跌时期。
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| 关 键 词： | 行为金融学 BAPM CAPM 适用性 噪音交易 |
| 文章编号： | 1006-4311（2006）01-0119-04 |
Research on Applicability of Behavioral Asset Pricing Model |
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| Wang Jing,Zhang Ying.Research on Applicability of Behavioral Asset Pricing Model[J].Value Engineering,2006,25(1):119-122. |
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| Authors: | Wang Jing Zhang Ying |
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| Institution: | School of Management, Dalian University of Technology, Dalian 116024, China; Dept. of Economics, Dalian University of Technology, Dalian 116024, China |
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| Abstract: | Behavioral Asset Pricing Theory as the main clue of Behavioral Finance has been developed rapidly. Whether Behavioral Asset Pricing Model can direct the investment behavior in real world depends on the empirical test result of Behavioral Asset Pricing Model. The paper tests the applicability of Behavioral Asset Pricing Model with the data from Securities Market of China, and finds Behavioral Asset Pricing Model is available when the stock price rises not goes down. |
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| Keywords: | BAPM CAPM |
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