基于资本资产定价模型的中国股市风险结构分析

中南民族大学硕士学位论文基于资本资产定价模型的中国股市风险结构分析姓名：李玮申请学位级别：硕士专业：企业管理指导教师：陈卫平20090501I205020CAPMCAPM20NN=12330IIAbsrtactFinancialcrisesbreakoutwhenthefinancialriskaccumulatedtoacertainpoint,ittranslatestheeconomicpotentialhazardintotheactualdamage,itsbeganwiththecollapseofsharemarketandforeignmarkets,thereafterextendstodomesticcurrencycrisis,Banksandfinancialcrisis,andresultedregionalorglobalfinancialandeconomicdisasterfinally.Hence,since1950s,inthestockmarketofwesterndevelopedcountries,peoplebeguntoapplytheH·Markowitzmodel,Singleindexmodel,thecapitalassetpricingmodeltoanalysisthestockmarketrisk,investigatethestructureofstockmarketsystematicrisk&unsystematicrisk,inspectiontheefficiencyofstockmarket’soperations,thegovernmenthasconstitutedcorrespondingpoliciestopromotethecontinuousdevelopmentofthestockmarket.ButtherelevanttheorieswereintroducedintoChinauntil1990s.Comparedwithstockmarketofwesterndevelopedcountries,China'sstockmarketisnotmature,sohowaboutthecurrentriskstatusofChinesestockmarket?Thispaperisconcernedwiththisproblem.ThispaperreviewedaseriesofclassicalAssetPricingtheoryoccurredin1960s,andemphaticallyintroducedtheCapitalAssetPricingModel,andparticularizedthepremisehypothesis,formulaexpression,theoryandlimitationsoftheCAPMmodel,meanwhile,brieflyintroducedthecurrentdemonstrationresearchoftheCAPM.Afterthat,generalsecuritiesportfolioriskwillbegraduallyreducewiththeincreasingamountofshares,whentheamountsofsharesinthesecuritiesportfoliomeetacertainextent,theunsystematicriskofthesecuritiesportfoliowillbefullycounteracted,theresidualriskwillbemaintainedatastablevalue,itcanberegardedasasystematicrisk.Basedontheabovetheory,thedemonstrationresearchhasbeendonethroughconstructing20Nstockcombinations(N=1,2,3,...,30),calculationtheriskvalueofdifferentsizeofportfolio,comparisontheriskstructureofChinesestockmarketwithriskstructureofoverseamaturelystockmarket.TheconclusionisthatChina’sstockmarkethasahighsystematicriskandlopsidedriskstructure.Finally,fromstandpointsofthemarketsupervisingandmanagingdepartment,listedcompaniesandinvestors,thisarticleanalysesthecauseofformationandjeopardyoftheimbalanceriskofChina'sstockmarket,andagainsttheseactuality,raisedsuggestionsandcountermeasures.IIIKeywordsModernportfoliotheoryCapitalassetpricingmodel(CAPM)SystematicriskNon-systematicrisk1______2111.11997198420199011261830200812162524522.85121366.4421.21.2.1CAPMCAPM1.2.23CAPM20~301.1WilliamFS,GordonJA,JefferyVB.Investments[M].5.:.[J].,1999(6):16-2031.11.31.3.11.3.2180A16002200542008121841.3.3121.4A44CAPM80A2005420081220NN=1233052ModernPortfolioTheoryMPTHarryMarkowitz19521959WilliamF.Sharpe1963CAPMStephenA.Ross1976APT2.12.1.12.1.262.1.319901016199032.22.2.17n12,nrrrL,,12(,,,)Tnrrrr=L12()(,,,)TnEruuu=L2()iiDrδ=icov(,)ijjiijrrδδ==ij(,1,2,,)ijn=L()ijvδ=r12(,,,)TnXxxx=1TneX=(1,1,,1)Tne=L1nTiiRrXxr==∑()TmErXUX==211()nnTijijijDRxxXVXδδ=====∑∑0mm≥220δδ≤ABA2minTXVXδ=..st0,1,0.TTnUXmeXX≥=≥BmaxTRUX=..st20,1,0.TTnXVXeXXδ≤=≥12384ix2.2.112060K.J.ArrowJ.W.PrattUR2URAR=−G.HanochH.Levy196922.3CAPM20CAPM,APT92.3.1CAPMCapitalMarketLine,CMLCAPM1CAPMCAPMCAPM123=4,567(2000)2CMLfRMfRM2.1102.1CMLAMBMfRAMBfRMfRMM()mfppfmRRRRδδ−×=+2.1pRPpδmR2.1pflpRRRδ=+×2.2mflmRRRδ−=2.2pδfRδrAMB112.23()pfpmfRRRRβ=+−2.3pRPmRpβ2/ppmmβδδ=pmδP2mδ2.22.2SML2.32.3.212CAPM121=21%2%1%2%AggressiveStock=1NeutralStock1DefensiveStock342.3.3CAPMCAPM2060CAPM2060CRSPCAPM1CAPMCAPM13(1)Lintner1965Douglas1968LintnerDouglasCAPMCAPMDouglasLintner2Black-Jensen-Scholes1972BlackJensenScholesBJSCAPMBJSBJS193119655T5jβ)1010Tpβ)1000γ=)1γ)1.42%CAPMBJS0.519%1.08%tBJSCAPM3Fama-MacBeth1973LintnerJTheValuationofRiskAssetsandSelectionofRiskyInvestmentsinStockPortfolioandCapitalBudgetsReviewofEconomicsandStatistics19654713–47DouglasGWRiskintheEquityMarket:ApplicationofMarketEfficiencyYaleEconomicEssays196893–45BlackFJensenMCScholesMSTheCapitalAssetPricingModel:SomeEmpiricalTestInMichaelC.Jensen(ed.)StudiesintheTheoryofCapitalMarketsNewYorkPraeger197279–12114FamaMacBethBJS20CAPM1935-1968BJS2ptβ)()epσ()20123ptttpttpttepptrγγβγβγσε=++++))t()()/jjjtsTγγγ=)))jγ)3tγ1,0,1,2,3TjttjjTγγ===∑))()jsγ)jtγ)T0tγ1tγ2tγ3tγCAPMFamaMacBethLintnerCAPMFama-MacBethBlack-Jensen-ScholesCAPM2CAPMRoll70CAPMCAPMCAPMRollRollCAPMBJSCAPMCAPMCAPMRoll1CAPM2FamaEFMacBethRisk,ReturnandEquilibrium:EmpiricalTestsJournalofPoliticalEconomy197381607–636153SML4CAPM5S&P500CAPM3Roll19771977CAPMCAPM1ChengGrauer19801980ChengGrauerCAPMCAPMChengGrauerCAPMCAPMCAPMCAPMCAPMChengPLGrauerRRAnalternativetestofthecapitalassetpricingmodelAmericanEconomicReview198070660-671162Stambaugh19821982StambaughCAPMStambaughStambaugh4CAPM1996199342750CAPM1998CAPMCAPM1CAPM22000123CAPMCAPMStambaughRFOntheExclusionofAssetsfromTestsoftheTwoParameterModelJournalofFinancialEconomics198210235–26817CAPM2000199491998926963122001CAPM2001CAPMCAPM2001170CAPMCAPM2002CAPM100SMLCAPMBCAPM2002BB200119967-19996BE/MECAPM2001182000CAPM2000CAPM2000CAPMCAPMBCAPM2.3.4CAPMCAPMCAPMCAPMCAPMCAPM123CAPMBlack1972Merton1973ICAPMBreeden1979CCAPMRoss1976APTLim1989CAPM1998CAPMCAPM1933.13.1.120054120081231