摘要
近三十年来资本资产定价模型 (CAPM )的有效性经历了无数实证研究和检验 ,有些支持和肯定 ,另一些则提出了质疑和挑战 ,甚至认为 β对股票的平均收益不具有解释能力 ,从而宣告这一理论已完全丧失了其有效性。本文检验CAPM在中国股市的有效性 ,截面检验结果表明 β对中国股市的平均收益不具有解释能力 。
Countless empirical research has been conducted to test the validity of the Capital Asset Pricing Model (CAPM). There are claims that beta has no explanatory power over average stock return, thus casting doubt over the CAPM. This paper, moreover, provides evidence from China's stock market that beta fails to capture the cross-sectional variation in average stock return from September 1994 to October 1998 and thus concludes that the CAPM does not work in China.
出处
《北京大学学报（哲学社会科学版）》
CSSCI
北大核心
2000年第4期28-37,共10页
Journal of Peking University(Philosophy and Social Sciences)
关键词
资本资产定价模型
中国
股票市场
有效性检验
Capital Asset Pricing Model
empirical test
beta
cross-section
average return
