扁平证券市场线和融资限制——中国股票市场的实证检验

FLATTER SML AND MARGIN CONSTRAINT——An Empirical Test in China’s Stock Market

资本资产定价模型(CAPM)在国际金融市场的实证检验结果往往呈现扁平证券市场线现象。一些学者认为融资限制是该现象的产生原因。本文旨在研究扁平证券市场线现象是否存在于中国股市,同时分析融资限制对中国股市证券市场线的影响。本文采用投资组合分析法对A股主板市场进行实证检验。本文研究发现:(1)扁平的证券市场线现象同样存在于中国股票市场中;(2)在中国股票市场中,融资限制与证券市场线的斜率呈负相关,与截距呈正相关,这符合融资限制理论;(3)以上两点发现同样存在于多因子定价模型中,这表明本文研究结果具有稳健性。

Many empirical test results for the CAPM reveal a Flatter Security Market Line (SML) phenomenon. Some scholars believe that it is the margin constraint that cause this phenomen on. This paper intends to apply portfolio analysis to examine whether the flatter SML phenomenon exists in the China's stock market. Further, this paper will empirically test the theory on the impacts of margin constraint on SML. This paper has following findings as follows: First, the "flatter SML" phenomenon also exists in China's stock market. Second, the level of margin constraint has a negative effect on the slope of the empirical SML and a positive effect on the intercept of the empirical SML. Third, after extending the asset pricing model from CAPM to multi-factors model, the above two findings still exist, which showcases the robustness of the findings.