| CAPM在上海股票市场的实证检验 |
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| 引用本文： | 宁光荣,刘鹏. CAPM在上海股票市场的实证检验[J]. 石家庄经济学院学报, 2004, 27(2): 194-197 |
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| 作者姓名： | 宁光荣 刘鹏 |
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| 作者单位： | 1. 湖南大学,数学与计量经济学院,湖南,长沙,410205
2. 厦门大学,数学系,福建,厦门,361005 |
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| 摘 要： | 资本资产定价模型(CAPM)自诞生以来经历了无数次的检验，既有支持和肯定，也有质疑和挑战。采用时间序列回归和横截面回归对CAPM在上海股市的有效性进行了实证检验。结果发现，股票收益率与β之间的相关性并不显著，更不存在线性关系。这说明CAPM在上海股市并不适用。
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| 关 键 词： | CAPM 上海 股票市场 资本资产定价模型 股票收益率 证券市场 |
| 文章编号： | 1007-6875(2004)02-0194-04 |
| 修稿时间： | 2003-10-27 |
Empirical Test of CAPM in Shanghai Stock Market |
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| NING Guang-rong,LIU Peng Hunan University,Hunan Xiamen University,Xiamen,Fujian. Empirical Test of CAPM in Shanghai Stock Market[J]. Journal of Shijiazhuang University of Economics, 2004, 27(2): 194-197 |
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| Authors: | NING Guang-rong LIU Peng Hunan University Hunan Xiamen University Xiamen Fujian |
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| Affiliation: | NING Guang-rong,LIU Peng Hunan University,Hunan 410205 Xiamen University,Xiamen,Fujian 361005 |
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| Abstract: | Countless empirical researches have been conducted to test the validity of the Capital Asset Pricng Model(CAPM) since its naissance. There have both affirmations and challenges to the CAPM. ffe empirical test of time-serialregression and cross-sectional regression is applied to check the validity of CAPM in Shanghai stock market in this paper.It is concluded that beta has no explanatory power and linear relation over average stock return. Thus we think that theCAPM does not work in shanghai stock. |
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| Keywords: | CAPM shanghai stock market empirical test |
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