摘要
根据单因素资本资产定价模型(CAPM)模型,股票的β值与期望收益率呈正比例关系,β值为通常收益率的解释因素。本文从统计学角度阐述了模型和回归方程之间的关系,应用回归分析中的相关理论解决模型参数估计和模型检验等问题,并对一些统计指标作出有实际意义的解释。我们主要运用中国股市牛市期间和熊市期间的数据研究β值和未来30个交易日后的收益率之间的关系。实证结果表明,牛市期间收益率随β值的增大总体上呈现上升趋势,熊市期间收益率随β值的增大总体上呈现下降趋势。这说明β值是决定未来收益的一个风险因素,投资者可以依据β值对未来收益从而决定投资那只股票(组合)做出判断。但是两者的相关关系不强,后期线性趋势不好,因此投资时还要考虑其它一些风险因素,比如涨面／市值比、市盈率等等。
According to the CAPM model, there is a linear correlation between β and the expected return of stock. β is the only factor for the ordinary return of stock. In this paper, we are introduces the William Sharpe＇s model, espeeially the meaning of β and sets the relationship between CAPM and the simple linear regression model forth from the angle of Statistics. The problems of estimation parameter and statistical hypothesis and test of the model are settled in methods of regression analysis, we explain the practical meaning of some indices. Using the data of China＇s stock market of the bull and bear time. We study the relationship between β and the return of the after 30 transaction days and conclude that the return approximately tend to correspondingly increase when β increases in bull markets and to decrease when β increases in bear ones. That means β is a risk factor that determines the future return and then by β investors can decide which stock（s） to be invented .But the Correlation is relatively weak, so when we make a decision we should also refer to some other risk factors, for example, the book-to-market rate or the p/e rate .Some scholars have proved them risk factors, too. On the other hand,the policy factor has a strong influence on China＇s stock market.
出处
《上海金融学院学报》
2006年第3期53-59,64,共8页
Journal of Shanhai Finance University
