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从现代投资组合理论出发,结合国内外的研究,使用上海证券交易所挂牌交易的103支股票2001-2005年期间的日收益率数据,在传统的时间序列回归分析和横截面回归分析的基础上,分析了这一时期股票的收益率特征。得出的结论是,在此期间,①可以使用市场模型来描述证券的收益产生过程;②市场模型的截距α值能够解释各股票期望收益率的差异;③在α值相等的条件下,股票的β值(风险)较高的股票其收益率会较低,即风险的市场价格为负值;④总的来看β值不能很好地解释股票的收益率差异,即CAPM是不成立的。
Based on the modern portfolio theory and domestic and international research, daily return data of 103 stocks listed and traded in the Shanghai Stock Exchange for the period of 2001-2005 are used. Based on the traditional time series regression analysis and cross-sectional regression analysis , Analyzes the characteristics of the yield of the stock during this period. The conclusion drawn is that during this period, ① the market model can be used to describe the yield process of securities; ② the intercept α of the market model can explain the difference of the expected return rate of each stock; ③ under the condition of the same α value, The higher the stock’s beta (risk) returns will be, the lower the market price of the risk will be. (4) In general, the beta value does not explain the difference in returns of the stock, that is, the CAPM is not valid .