广义有效资本市场:财务理论的新视野

General Efficient Capital Markets:A New Perspective of Financial Management

以深市1998-2006年的349家A股上市公司为样本,实证检验了广义有效市场假说(GEMH)的财务管理理论。广义有效市场假说用价格的分形引子来表示风险资产的收益;并把风险的定义从收益的方差或标准差复原为资本的耗散程度,从而用耗散资产定价模型(DAPM)来替代资本资产定价模型(CAPM);用双β财务政策理论来替代MM理论;而市场效率可以用给定市场的资本效率吸引子与其均衡市场的资本效率吸引子之间的比率来进行评价。

This paper testifies the theory of financial management based on the General Efficient Mar- ket Hypothesis （GEMH） by taking sample of 349 listed corporations in Shenzhen A stock market in China during the period 1998-2006. GEMH applies the fractal attractor of prices in place of the return of risk assets; and returns the decision of risk from variance or standard deviation to the dissipation of capitals. Based on these hypothesizes, the Dissipation Asset Pricing Model （DAPM） can be taken place of CAPM ; the double β theory of financial policy can be taken place of MM ; the market efficiency can be evaluated by the ratio of the efficient attractors between the current market and the equilibrium one.