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一、文献综述资本资产定价模型(CAPM)是现代金融理论的基石之一,它以简洁优美的形式刻画了期望收益和系统风险(β系数)之间的关系。CAPM最早是由Sharpe(1964)和Lintner(1965)建立的,并且指出刻画证券市场系统风险的β系数与其预期收益紧密相关,即证券的预期收益是市场系统风险β系数的正相关线性函数。早期的实证研究,如Black(1972)使用美国股
I. Literature Review Capital Asset Pricing Model (CAPM) is one of the cornerstones of modern financial theory. It describes the relationship between expected return and system risk (beta coefficient) in a concise and graceful way. The CAPM was first established by Sharpe (1964) and Lintner (1965), and pointed out that the beta coefficient that characterizes the systemic risk of the securities market is closely related to its expected return. That is, the expected return of the securities is a positive linear function of the beta of the market system risk. Early empirical studies such as Black (1972) used U.S. stocks