CAPM模型应用于房地产股票市场的有效性检验

CAPM Model Checking in Real Estate Stock Market

CAPM模型普遍应用于中国房地产行业资本成本估算,投资风险评价和房地产泡沫等研究中。但是目前并没有文献对该模型在中国市场使用是否有效进行检验。本文选择了沪深A股房地产市场的33只股票,对CAPM模型在中国房地产股票市场的有效性进行检验。通过理论和实证研究,得出CAPM模型应用于房地产市场是无效的结论,即在中国房地产股票市场上不能直接应用CAPM模型,而应当根据中国房地产市场的实际条件做出相应的改进。

CAPM model is widely used in calculating the cost of equity, evaluating the Investment Risks, studying the Bubbles in Real Estate Market, etc. But the efficiency of this model is never tested before it is used in demonstration. This paper has done this work. We test whether CAPM model is effective or not in Chinese Real Estate Stock Market. We analyze 33 real east companies which are listed in Shanghai and Shenzhen A-share markets. The range of data we analyze is from 1999.1 to 2006.9. Considering the difference between sharp-linterg stander CAPM model （ restrictive model） and the CAPM model which is based on the real market circumstance （ nonrestrictive model）, we get the null hypothesis and optional hypothesis. Because of the good quality of this method, we use likelihood estimation to estimate the model＇s parameter. After having the likelihood statistics＇conditional distribution; we use it to construct the test statistics. To get the best test conclusion, we try to use two kinds of method to test the hypothesis in this paper. One is Wald test, and the other is Likelihood Ratio Test. For each kind of test, we have one test statistic based on the Large Sample theory （J0 ,J2 ）. Using finite sample distribution, we can have another test statistic but do not use the large sample theory （J1 ,J3 ）. So we have four statistics, from J0 to J3. No matter what method we use, the result we get is to deny the null hypothesis. So our conclusion is the sbarp-lintnerr＇s stander CAPM model is not effective in Chinese Real Estate stock Market. This conclusion doesn＇t mean we cannot use it in our Real Estate capital market at all. After some improvement of this model, such as induct Behavioral Finance etc. , we can improve the effectiveness of the model.