CAPM有效性及贝塔价值相关性的实证研究

发布时间：2018-02-27 22:33

本文关键词： CAPM 系统风险有效性检验 β系数价值相关性　出处：《湘潭大学》2013年硕士论文　论文类型：学位论文

【摘要】：资本资产定价模型出现于20世纪70年代，，是当代金融学最重要的基础理论之一。它主要是探讨证券市场中风险资产与资产预期收益之间的相关性以及描述在均衡状态下市场风险与资产收益的关系。近年来关于资本资产定价模型在中国股市的有效性的检验越来越多，大量的实证结果表明并不总是有效，时常会出现难以解释的现象。而且国内学者在分析时用的数据不尽相同，分析时期也存在差异，这就导致了他们得出的结论都各不相同，目前，国内对CAPM在中国股市有效性的研究还没有达成统一结论。本文主要分为五个部分。第一部分是对研究背景、问题的提出、国内外研究动态、研究目的和意义以及主要内容和创新点进行阐述；第二部分阐述资本资产定价模型及其扩展模型；第三部分为CAPM在我国沪市有效性的实证检验；第四部分为β价值相关性的实证检验；第五部分是全文结论及为减少股市系统风险提出的几点建议。本文研究目的是运用股票市场的最新数据，验证CAPM在我国证券市场的有效性，以及探讨贝塔的价值相关性，以期为投资者的投资行为提供指导。本文拟扩大研究区间和样本量，收集了1999年-2012年沪市的相关数据，运用横截面回归方法、面板回归方法和计量经济学检验手段，对资本资产定价模型在我国证券市场的有效性以及β的价值相关性等问题做了较为全面的实证检验，希望弥补以往研究的不足，并为证券监管部门和投资者的决策提供参考依据。本文研究发现：对上海股票市场1999年-2012年的周收盘价数据进行横截面回归，结果表明股票收益率与系统风险的关系时而正相关、时而负相关，β系数不具有稳健性，说明一方面我国股市还不成熟，另一方面说明系统风险对收益率的解释还是有限的，说明非系统风险在股票定价中起着比较重要的作用。对β价值相关性的实证检验发现我国证券市场具有账面市值比效应和规模效应，净资产收益率在股票定价中起着一定的作用，贝塔系数对收益率的解释能力有限。
[Abstract]:Capital asset pricing model appeared in 1970s, It is one of the most important basic theories of contemporary finance. It mainly discusses the correlation between risky assets and expected returns of assets in the securities market and describes the relationship between market risks and asset returns in equilibrium. To test the effectiveness of the capital asset pricing model in the Chinese stock market more and more. A large number of empirical results show that they are not always effective and often have difficult phenomena to explain. Moreover, the data used by domestic scholars in the analysis are different, and there are also differences in the period of analysis, which leads to their different conclusions. At present, the domestic research on the effectiveness of CAPM in the Chinese stock market has not reached a unified conclusion. This paper is divided into five parts. The first part is the research background, the question raised, the domestic and foreign research trends, the research purpose and significance, the main content and the innovation point carries on the elaboration; The second part is the capital asset pricing model and its expansion model, the third part is the empirical test of the effectiveness of CAPM in Shanghai stock market, the 4th part is the empirical test of 尾 value correlation. Part 5th is the conclusion of the paper and some suggestions to reduce the risk of stock market system. The purpose of this paper is to use the latest data of stock market to verify the validity of CAPM in China's stock market and to discuss the value correlation of Beta. In order to provide guidance for investors'investment behavior. This paper intends to expand the study interval and sample size, collect relevant data from 1999 to 2012 in Shanghai Stock Exchange, apply cross section regression method, panel regression method and econometrics test method. In this paper, the validity of capital asset pricing model in China's securities market and the value correlation of 尾 are tested in order to make up for the deficiency of previous research. And for the securities regulatory authorities and investors to provide a reference for decision-making. This paper finds that the cross-section regression of the weekly closing price data of Shanghai stock market from 1999 to 2012 shows that the relationship between stock return and systemic risk is sometimes positive and negative, and the 尾 coefficient is not robust. It shows that on the one hand, the stock market in China is not yet mature; on the other hand, the explanation of system risk to the rate of return is still limited. It shows that non-systematic risk plays an important role in stock pricing. The empirical test of 尾 -value correlation shows that the stock market in China has book market value ratio effect and scale effect. Return on equity plays a certain role in stock pricing, and beta coefficient has limited ability to explain the return.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42;F832.51

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