CAPM资产定价机制及中国适用性研究

A Research on CAPM and Its Applicability in China

资本资产定价模型(CAPM)是以马科威茨模型为基础对金融资产组合选择、价格决定以及微观主体福利进行分析的模型。本文研究了其定价机制及考量因素,在此基础上,随机选取借鉴了国际股价指数编制经验的上海证券交易所的100只股票,对CAPM模型的中国适用性进行了三个方面的检验:系统风险与资产风险的唯一度量关系是否成立;投资者的资产风险和收益是否存在正相关;资产组合与收益之间的线性关系是否存在。研究结果显示,上海证券交易所股票的收益与其β系数存在着显著的正相关线性关系,系统风险并非资产风险的唯一度量,CAPM模型对上海证券交易所股票收益组合有一定的适用性,且其适用性在提高。

Capital asset pricing model( CAPM) is the one for financial asset portfolio selection,price determination and micro- subject welfare based on the Markowitz Model. The article makes a research on its pricing mechanism and consideration factors,and based on which a random sample of 100 stocks is drawn from Shanghai Stock Exchange( SSE) with the international stock pricing experience to examine the applicability of CAPM in China in three aspects: whether the one and only measurement relationship exists between systematic risk and asset risk; whether there is positive correlation between investor's asset risks and benefits; whether there is linear relationship between asset portfolios and earnings. The research findings show that there is substantial positive linear relationship between stock returns and βcoefficient in SSE,systematic risk is by no means the only measurement of asset risk. The CAPM has certain applicability for portfolio returns in SSE and its applicability is on the increase.