资本资产定价模型在上海股票市场的实证检验

23420107JournalofXianUniversityofFinanceandEconomicsVol23No4Jul.2010资本资产定价模型在上海股票市场的实证检验冯佩(,710127):(CAPM),,CAPM200220,,:CAPM,,:CAPM;;:F830.91:A:1672-2817(2010)04-0011-06(CAPM):E(ri)=rf+im(E(rM)-rf):E(ri),rf,,E(rM),i,CAPMCAPM,SharpeCooper(1964)[1],CAPM,FamaFrench(1992)[2]!∀BM()E/P,BM,,BMCAPM,,(1996)[3],,,(2000)[4]FamaFrench(1992),,,CAPM(2006)[5],,,(2007)[6],CAPMCAPM()50200220,,,2007,,2002200611:2010-01-05:(1986-),,,,,,,,,1.71%(CCER)Eviews3.0()1:20021200312,20041200512,20061200612,BJS(BlackJensonSchales1972):(1),:Rit-Rft=i+i(Rmt-Rft)+it:Ritt;Rmtt;Rftt;it;ii171%,0.00035625,116000190.7596000001.1136006881.5026008081.2986000281.1166008370.7086001881.0206003090.9946000180.8756001041.1596003200.9816001770.8996005190.4876001501.2496001151.2016008751.2636000161.1816000050.8786000090.8066006421.102(2)1,,205,4,22600519600018600309600028600150600837600005600188600104600875600019600177600642600016600808600009600320600000600115600688,,,:Rpit=(#Rrt)/N:Rpitit;Rrtrt;N,N=4:Rpt-Rft=p+p(Rmt-Rft)+pt:Rptt;Rmtt;Rftt;pt;pp,0.00035625330.8657490.9962861.0011020.9423881.131340T10.9948912.1760715.1354313.3012913.42693F120.8876148.2567229.0814176.9244180.2824(Sig)0.00000.00000.00000.00000.00000.5625620.6145180.7112530.6506380.657288D-W1.6804181.9847511.8962291.9822272.439773,0,t,125,,055~075,,FSig0,D-W2,(3),,,Rp=r0+r1p+p:Rp;p;p;r0r1442006T(Prob.)-0.0030590.012009-0.2547670.8154000.0190750.0121151.5744620.2135000.452448D-W1.9983100.269931F2.478932:r0=-0.003059,,,,,,r1=0.019075,,,T1.574462,,0.452448,,CAPM2(1)CAPM,,,2006,,:Ri=r0+r1i+r2Fi1+r3Fi2+∃+rjFij+i:Ri;iiCAPM;Fijij;rj,;i(2),,;;,,rj0,,j11%11,55VariableCoefficinetStd.Errort-StatisticProb.C0.0098930.0165800.5967190.5828B-0.0046700.004755-0.9821360.3816F1-0.0003200.000144-2.2239940.0902F20.0034400.0007714.4618450.0111F30.0006900.0007070.9757640.3844F4-0.0008180.002471-0.3309470.7573F5-0.0732050.026483-2.7642250.0506F6-0.0001890.000234-0.8108270.4630F70.1057960.0403472.6221690.0587F8-0.0078200.003992-1.9590600.1217F90.0001780.0001551.1517920.3136F10-0.0035190.001493-2.3562680.0780F11-0.0059670.001368-4.3626180.0120Rsquared0.985666Meandependentvar0.020777AdjustedRsquared0.942662S.D.dependentvar0.009924Sumsquaredresid2.26E-05Schwarzcriterion-8.526864Loglikelihood90.89423Fstatistic22.920640DurbinWatsonstat2.396225Prob(Fstatistic)0.004113,0.985666,0.942662,13:,t:(F2)(F3)(F7),,,;(F1)(F5)(F8)(F9)(F10)(F11),;(F4)(F6),&66T(Prob.)0.0260020.0100852.5783870.019500-0.0052130.009584-0.5438930.5936000.017104D-W1.552391-0.040714F0.295820,r00,r10,,;t,0017104,F0.295820,∋77T(Prob.)0.0055470.0100410.5524090.5900000.0101560.0089001.1411400.274400-0.0002420.000152-1.5923850.1353000.0025560.0007283.5084200.0039000.501489D-W1.6464140.386447F4.359212,,,,0.501489,F4.359212,,(8,,0.049824,F0.367058,,-0.001271,,2006!∀8T(Prob.)0.0523150.0390291.3404180.201500-0.0039190.010424-0.3759260.712600-0.0012710.001800-0.7059610.4918000.049824D-W1.585288-0.085915F0.367058)99T(Prob.)0.0059480.0116270.5115250.6176000.0025320.0090490.2797880.7840000.0055600.0067190.8274110.4229000.0484670.0381721.2697270.2264000.383079D-W1.7090370.240712F2.690794,,,F0.3830792.690794,,∗1010T(Prob.)0.0216380.0093122.3237030.037000-0.0079570.007876-1.0101920.330800-0.0005570.000483-1.1528210.2697000.0725940.0311102.3334510.0363000.491283D-W2.4835540.373886F4.184822,,14,t,,0.491283,+1111T(Prob.)0.0062070.0089090.6967510.498200-0.0155440.006834-2.2746080.0405000.0064530.0036051.7901910.0967000.0004941.00E-044.9453450.0003000.666737D-W2.4090770.589831F8.669428,,0.666737,F8.669428,,,,1212T(Prob.)0.0259640.0119242.1774050.048500-0.0052910.011303-0.4680970.6475000.0004150.0032650.1270810.900800-0.0002710.004873-0.0556620.9565000.017224D-W1.337630-0.209570F0.075946,,,t,,,200220CAPM,,11,:1,,,,CAPM,,CAPM,,2,,,,CAPM,,,3,,,,,;,,,;,,,,,CAPM,:1,,,,,,,,2,,,15:,,,,,CAPM3,,,,,,,,,,,,,,,;,,,,CAPM,,[1]WILLIAMF.SHARPE.Capitalassetprices:atheoryofmarketequilibriumunderconditionsofrisk[J].JournalofFinance,1964,19(3):425-442.[2]FAMAE,FRENCHK.Thecrosssectionofexpectedstockreturns[J].JournalofFinance,1992,47(2):427-464.[3].[J].,1996(10).[4],.CAPM[J].:,2000(4).[5],,.[J].,2006(5).[6],.CAPM.:,2007(2).AnEmpiricalResearchonWhetherCAPMSuitsforChineseStockMarketFENGPei(SchoolofEconomicsandManagement,NorthwestUniversity,Xian710127,China)Abstract:WilliamSharpeandothersmadetheCapitalAssetPricingModel(CAPM)thatwasanimportantmilestoneduringthedevelopmentofmodernfinancialtheory.ForChina,anemergingcapitalmarket,weneedtoconductempiricalresearchandtestingonwhetherCAPMsuitsforChinesestockmarket.ThearticleadoptedShanghaiCompositeIndexhasbeenlisted20majorheavyweightsin2002astheresearchobjectandapplytimeseriesandcrosssectionalregressionanalysis.TheconclusionCAPMmodelwasnotfullyapplicabletoChinesesecuritiesmarket,thatstockreturnsratiosaffectbysystemicriskisweak,butisstrongbynonsystematicrisks.Keywords:CAPMmodel;stockreturnsratio;regressionanalysis(:)16