上海股票市场资本资产定价的横截面研究

Cross-sectional Study on the Capital Asset Pricing in Shanghai Stock Market

回顾了资本资产定价理论与实证的互动发展脉络 ,采用横截面方法对上海股票市场资本资产定价的因素进行分析 ,研究表明 :1β系数的测量方法对 CAPMs的检验结果产生影响 ;2在上海股票市场系统风险并不是影响收益率的唯一因素 ,同西方成熟股票市场一样 ,上海股市存在“规模效应”.本文进一步对这些结论进行了分析 .

This paper reviews the interactive development of theories and empirical tests of the capital asset pricing, and analyzes the factors that influence capital asset pricing in Shanghai stock market with cross-sectional approaches. The study shows that: 1) the measurement method of beta has influence on the outcomes of the tests of the standard CAPM; 2) the systematic risk is not the only factor that influences the rate of returns in Shanghai stock market, which has' size effect' as those western mature stock markets. The paper analyzes these results further.