CAPM模型在股票价格分析中的实证研究

Empirical Study of CAPM in the Analysis of Price of Stock

对经典的CAPM模型进行变化后,形成一个一元线性回归模型,再从上海证券交易所A股中随机抽取一支股票进行回归分析,发现CAPM是有效的,且个股收益率与组合收益呈较明显的正相关关系,同时,通过对截距项20分析,比较股票的预期收益率与实际收益率的大小,分析股价的走势,据此指导中小投资者进行投资决策。

Changing the classical CAPM theory into dualistic linear regress modal, we pick out a stock in the stock market of Shanghai at random, and we find CAPM model is efficient. In the stock market of China the actual return is positive relational with . Though the analysis of , we compare the expectant return with the actual return and find CAPM can use as a good modal in determination of the investor.