基于单侧风险态度的资本资产定价模型及其实证研究

The Capital Assets Pricing Model Based on Attitude to One-Side Risk and Its Empirical Test

针对代表性投资者对于下跌风险和上升风险的不同态度,推导了基于“熊市”和“牛市”的单期资产定价模型,并运用中国股市数据进行了实证.结果表明:分别与“熊市”和“牛市”对应的β-和β+比传统的β对于证券的截面收益率具有更强的解释能力;β-和β+分别与截面收益率正相关和负相关;公司特征因子对于截面收益率也有一定的解释能力.

From the different attitude of representative investor to downside risk and upside risk, assets pricing models in one period were put forward based on ＂bear market＂ and ＂bull market＂. Then, the data of Chinese stock market were used to make an empirical test. The outcome indicates that by contrast to the traditionalβ, theβ^- andβ^＋ according to ＂bear market＂ and ＂bull market＂ have more powerful influence on securities＇ returns; theβ^- and β^＋ are positively and negatively relative to securities＇ returns respectively＇ moreover, the indices about firm＇s characters have some influence on securities＇ returns as well.