自从资本资产定价模型提出以来,很多学者就对其有效性进行了实证检验。国内对于CAPM的实证性检验也有不少,但是研究对象大多集中在深沪两市普通股票上,而忽略了特别处理板块即ST这一类具有中国特色的特殊股票群体。本文系统的对资本资产定价模型在中国市场对ST股票的适用性进行了实证分析。 Since the capital asset pricing model was proposed, many scholars have conducted empirical tests on its effectiveness. There are many domestic empirical tests for CAPM, but most of the research objects are concentrated on common stock markets in Shenzhen and Shanghai, while the special stock groups with Chinese characteristics, such as ST, are neglected. This paper empirically analyzes the applicability of capital asset pricing model in ST market in China.