基于稳态分布的资本资产定价模型上海股市实证分析

A Stable CAPM in Shanghai Stock Market

运用BS估计和OLS估计对资本资产定价模型在我国证券市场的应用进行了实证分析,分析结果显示,运用OLS方法对建立在资产收益为正态分布基础上的传统资本资产定价模型与运用BS方法对资产收益为α稳态分布的资本资产定价模型的贝塔系数估计值存在较大的差异,而BS估计方法明显比OLS估计方法更有效率。

This paper studies CAPM under α stable distributional assumption of Shanghai Stock Market. A STABLE software of Nolan is used to estimate tall index of individual asset returns, together with the BS method to estimate β- coefficient. It turns out that the estimated values of the β- coefficients are different according to the distributional assumption. The BS estimator is more efficient than the OLS estimator.