摘要
许多实证研究表明,单个股票的Beta和其收益之间并没有显著的相关关系,由此否认传统GAPM模型所揭示的风险-收益关系。但在所用模型中的预期收益和实证检验中运用的已实现收益是两个不同的概念,本文运用Pettengill et al提出的条件CAPM模型对上海股市重新作检验,研究发现在牛市中Beta和收益呈现出显著的正相关关系,在熊市中Beta和收益呈现出显著的负相关关系,且两者显示出一定的对称性。研究结果表明,在上海股市中条件CAPM模型具有相当的应用空间。
Most of the former empirical tests show that there is no significant relationship between beta and cross - sectional returns, challenging the risk - return tradeoff predicted by the traditional CAPM model. However, the realized return used in the test is different from the expected return in the model. This paper reexamines the conditional relationship between beta and return in the shanghai stock market using the approach of Pettengill et al. The result shows there is a significant positive relationship between beta and return in up market months and a symmetric significant negative relationship between beta and return in down market months, supporting the use of beta as a measure of market risk in the Shanghai stock market.
出处
《上海管理科学》
2002年第6期13-15,共3页
Shanghai Management Science
