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本文利用深圳股票市场近六年的股票周收益率对经典CAPM模型进行了实证检验,检验方法采用传统BJS检验法和F-M修正法。检验结果表明经典CAPM模型并不能很好的解释我国股票市场的表现。
In this paper, the classical CAPM model is tested empirically by using weekly stock returns in the Shenzhen stock market for six years. The test method uses the traditional BJS test and F-M test. The test results show that the classic CAPM model does not explain the performance of our country’s stock market well.