关于CAPM实证检验困难性的分析

the Difficulties on Testing CAPM

要对CAPM进行实证检验确实是件很困难的事 ;而且 ,到目前为止 ,甚至可以说在将来任何时候 ,这都是不可能的。本文陈述了三个方面的理由 :1)用市场代理作为市场组合 ,由于组合中缺少一种或几种资产 ,将导致错误的统计结论 ;2 )即使对所有资产的考察成为可能 ,对市场组合的错误识别仍将导致对CAPM错误的肯定或否定 ;3)在现实的经济环境下 ,对资产交易的卖空限制 。

It's surely difficult to test CAPM empirically. It's impossible currently,and even impossible in future to test it empirically.Three argues are presented in this paper:1)The absence of one or more assets of proxy market for market portfolio will result wrong statistical conclusions;2)Even in case of all asset proxy,the falsity in identifying the market portfolio will lead to improper rejecting or accepting CAPM;3)In the current economy,the restriction on short sale exacerbates the circumstance of testing CAPM.