摘要
本文采用多元GARCH模型估计上证A股的时变β值,并用截面回归模型检验β对超额收益率的解释能力,通过月度时间窗口移动来观察CAPM有效性的演进过程。研究结论为,1997年后截面检验方程的常数项、β系数和系数都由原来的剧烈波动变为平稳,标志着CAPM有效性的增强。但是β值的解释能力并不如CAPM模型预言的那样完美,仍存在其他因素影响股票的超额收益率。
In this paper,we estimated the time-varying beta through multi-GARCH model,and then tested the explanatory power of beta to excess return of stock.We got the evolving process of effectiveness of CAPM.The conclusion is,since 1997 the constant, beta coefficient,and coefficient of tested equation change to less-volatility,which means that effectiveness of CAPM is improving.But the explanatory power is not as perfect as CAPM tells;there are other factors that affect stock excess return.
出处
《中国证券期货》
2013年第2X期38-40,共3页
Securities & Futures of China
