摘要
采用深圳证券市场交易数据对资本资产定价模型进行了横截面检验,研究了股票组合和单支股票收益率与系统风险的关系,并分析了个股风险构成.股票组合和个股的检验都表明系统风险与收益率之间不存在正相关关系,β值不能解释组合和个股的风险.非系统风险在个股总风险中占有绝对优势,而且对收益率的解释作用显著,个股收益率与β值不存在非线性关系.
The paper has transverse check to CAPM by using data from Shenzhen's securities, studies relations between stock group and single stock and system risk, and analyzes single stock risk construction. The check from stock group and single stock expresses that there is no positive relation between system risk and profit ratio, and β value can not be used to explain risks of group and single stock. Non-system risk possesses absolute advantage in single stock's general risks and can explain profit ratio. There is no nonlinear relation between profit ratio of single stock and β value.
出处
《沈阳工业大学学报》
EI
CAS
2004年第1期114-116,共3页
Journal of Shenyang University of Technology