CAPM在上海股票市场的实证检验

Empirical Test of CAPM in Shanghai Stock Market

资本资产定价模型(CAPM)自诞生以来经历了无数次的检验,既有支持和肯定,也有质疑和挑战。采用时间序列回归和横截面回归对CAPM在上海股市的有效性进行了实证检验。结果发现,股票收益率与β之间的相关性并不显著,更不存在线性关系。这说明CAPM在上海股市并不适用。

Countless empirical researches have been conducted to test the validity of the Capital Asset Pricng Model (CAPM) since its naissance. There have both affirmations and challenges to the CAPM. ffe empirical test of time-serial regression and cross-sectional regression is applied to check the validity of CAPM in Shanghai stock market in this paper. It is concluded that beta has no explanatory power and linear relation over average stock return. Thus we think that the CAPM does not work in shanghai stock.