本文關(guān)鍵詞： CAPM 系統(tǒng)風(fēng)險(xiǎn) 有效性檢驗(yàn) β系數(shù) 價(jià)值相關(guān)性　出處：《湘潭大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：資本資產(chǎn)定價(jià)模型出現(xiàn)于20世紀(jì)70年代，，是當(dāng)代金融學(xué)最重要的基礎(chǔ)理論之一。它主要是探討證券市場中風(fēng)險(xiǎn)資產(chǎn)與資產(chǎn)預(yù)期收益之間的相關(guān)性以及描述在均衡狀態(tài)下市場風(fēng)險(xiǎn)與資產(chǎn)收益的關(guān)系。近年來關(guān)于資本資產(chǎn)定價(jià)模型在中國股市的有效性的檢驗(yàn)越來越多，大量的實(shí)證結(jié)果表明并不總是有效，時(shí)常會(huì)出現(xiàn)難以解釋的現(xiàn)象。而且國內(nèi)學(xué)者在分析時(shí)用的數(shù)據(jù)不盡相同，分析時(shí)期也存在差異，這就導(dǎo)致了他們得出的結(jié)論都各不相同，目前，國內(nèi)對CAPM在中國股市有效性的研究還沒有達(dá)成統(tǒng)一結(jié)論。 本文主要分為五個(gè)部分。第一部分是對研究背景、問題的提出、國內(nèi)外研究動(dòng)態(tài)、研究目的和意義以及主要內(nèi)容和創(chuàng)新點(diǎn)進(jìn)行闡述；第二部分闡述資本資產(chǎn)定價(jià)模型及其擴(kuò)展模型；第三部分為CAPM在我國滬市有效性的實(shí)證檢驗(yàn)；第四部分為β價(jià)值相關(guān)性的實(shí)證檢驗(yàn)；第五部分是全文結(jié)論及為減少股市系統(tǒng)風(fēng)險(xiǎn)提出的幾點(diǎn)建議。本文研究目的是運(yùn)用股票市場的最新數(shù)據(jù)，驗(yàn)證CAPM在我國證券市場的有效性，以及探討貝塔的價(jià)值相關(guān)性，以期為投資者的投資行為提供指導(dǎo)。 本文擬擴(kuò)大研究區(qū)間和樣本量，收集了1999年-2012年滬市的相關(guān)數(shù)據(jù)，運(yùn)用橫截面回歸方法、面板回歸方法和計(jì)量經(jīng)濟(jì)學(xué)檢驗(yàn)手段，對資本資產(chǎn)定價(jià)模型在我國證券市場的有效性以及β的價(jià)值相關(guān)性等問題做了較為全面的實(shí)證檢驗(yàn)，希望彌補(bǔ)以往研究的不足，并為證券監(jiān)管部門和投資者的決策提供參考依據(jù)。 本文研究發(fā)現(xiàn)：對上海股票市場1999年-2012年的周收盤價(jià)數(shù)據(jù)進(jìn)行橫截面回歸，結(jié)果表明股票收益率與系統(tǒng)風(fēng)險(xiǎn)的關(guān)系時(shí)而正相關(guān)、時(shí)而負(fù)相關(guān)，β系數(shù)不具有穩(wěn)健性，說明一方面我國股市還不成熟，另一方面說明系統(tǒng)風(fēng)險(xiǎn)對收益率的解釋還是有限的，說明非系統(tǒng)風(fēng)險(xiǎn)在股票定價(jià)中起著比較重要的作用。對β價(jià)值相關(guān)性的實(shí)證檢驗(yàn)發(fā)現(xiàn)我國證券市場具有賬面市值比效應(yīng)和規(guī)模效應(yīng)，凈資產(chǎn)收益率在股票定價(jià)中起著一定的作用，貝塔系數(shù)對收益率的解釋能力有限。
[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.
【學(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.42;F832.51

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