中小企业股票风险与收益的实证研究

Empirical Research on the Risk and Return of Mini-medium Enterprises' Stock

资产资本定价模型(CAPM)是现代金融理论的核心内容,广泛应用于金融资产的定价分析及投资决策领域。总结现有文献资料,运用CAPM模型,以沪市人民币普通股股本小于5000万的80家上市公司过去三年风险收益为样本进行检验,得出了我国中小企业股票风险与收益之间基本上呈现负线性相关关系的结论,为进一步研究中小企业股票风险与收益提供了理论基础和实证支持。

CAPM theory is the core of modem financial theories, widely applying to the fields such as pricing analysis of financial assets, investment decision-marking, etc. The paper summarized the literature and chose a model including 80 listed companies whose capitals are less than 50000 thousand Yuan. The conclusion is that the risk measure and return of SMEs＇ stock in China have negative linear correlation which lays theoretical and empirical bases on further research.