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本文基于我国上市银行股2011~2014年的数据对CAPM模型进行了实证检验,结果表明,CAPM模型对4组银行股收益情况解释能力均显著,即4个组合超额收益与市场超额收益的一元线性关系显著,其中,小规模、高账面市值比银行股的贝塔系数大于1,其系统性风险和风险报酬均高于市场平均,适合在牛市持有;对4个组合来说,CAPM模型的拟合优度均不高,还存在其他重要解释变量。市场风险是解释银行股收益率不可或缺的重要因素,且中国银行业整体系统性风险较小,适合长期价值投资。
This paper empirically tests the CAPM model based on the data of China’s listed banks from 2011 to 2014. The results show that the CAPM model has significant ability to explain the returns of all the four banks, that is, the univariate linearity of the excess returns of the four portfolios and the market excess returns The relationship between the small-scale and the high-book-value bank shares is greater than 1, and the systemic risk and risk compensation are both above the market average and are suitable for holding in the bull market. For the four portfolios, the proposed CAPM model Goodness of fit is not high, there are other important explanatory variables. Market risk is an indispensable factor in explaining the return on bank stocks, and the overall systemic risk in China’s banking sector is small and suitable for long-term value investment.