摘要
运用CAPM进行实证分析时,其假设可以分为理论假设和经验假设,理论假设是CAPM理论模型成立的前提条件,而经验假设是实证分析时对经验模型提出的假设.通常,人们容易将某些经验假设和理论假设相混淆,从而导致结论错误.系统地讨论CAPM的理论假设和经验假设,并结合中国证券市场的特点对稳定的收益分布、市场代理、持有期和收益代理等经验假设分别进行详细讨论.
Assumptions of CAPM may be divided into theoretic assumptions and empirical assumptions when CAPM is empirically tested. Theoretic assumptions are the bases of theoretic model of CAPM, while empirical assumptions are specifically assumptions for empirical model of CAPM. Usually, some people confuse theoretic assumptions between empirical assumptions, and they make incorrect conclusions because of confusion. This paper tries to discuss theoretic assumptions and empirical assumptions systematically, and detailedly dissertates empirical assumptions including stationary return distribution assumption, market proxy assumption, holding period assumption and return proxy assumption, according to the real characters of Chinese security market.
出处
《哈尔滨商业大学学报（自然科学版）》
CAS
2006年第1期121-124,共4页
Journal of Harbin University of Commerce：Natural Sciences Edition
关键词
CAPM
理论假设
经验假设
capital asset pricing model
theoretic assumption
empirical assumption
