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基于CAPM模型的上海股票市场适应性检验 被引量:9

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摘要 文章选取了沪市A股的643只股票从2003—2013年的月收益率数据作为研究对象,将其分为50组,借用Eviews软件采用BJS和Fama-Macbeth方法对收益率进行了时间序列检验和横截面检验,得出CAPM模型无法完全解释股票收益率这一结论,即CAPM理论并不完全适用于上海股票市场。
作者 张虎 邹媛媛
出处 《统计与决策》 CSSCI 北大核心 2016年第14期164-166,共3页 Statistics & Decision
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