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资本资产定价模型(CAPM)是对资本资产定价问题从理论上给出的一个非常完美的解答,它以一个简洁的方程描述了单个资产收益与市场收益之间的关系,这一关系在投资理论和投资实践中占有重要地位。因此CAPM的有效性问题成为学术界和投资者特别关注的问题。对于CPAM在我国证券市场上的表现,许多学者做过大量研究,其中绝大多数学者认为CAPM在我国证券市场上是无效的。但要指出的是这些学者们研究只是涉及单一样本期中CAPM的表现,并没有考虑CAPM在动态中是否是渐进有效的。本文试图通过动态的方法在一个相对长的时期中对CAPM进行循环检验,来对中国证券市场上CAPM动态有效性及其他相关问题进行实证研究。
Capital Asset Pricing Model (CAPM) is a perfect solution to the problem of capital asset pricing in theory. It describes the relationship between individual asset returns and market returns by a simple equation. This relationship is discussed in Investment Theory And investment practice occupies an important position. Therefore, the validity of CAPM has become a special concern of academia and investors. For the performance of CPAM in China’s securities market, many scholars have done a lot of research, most of them think CAPM is invalid in China’s securities market. However, it should be pointed out that these scholars’ studies only concerned the performance of CAPM in a single sample period and did not consider whether CAPM is asymptotically effective in the dynamic state. This paper attempts to empirically study the dynamic validity of CAPM in China’s securities market and other related issues through a dynamic method to test the CAPM in a relatively long period of time.