摘要
本文利用中国股市的数据对基于市场有效假设的CAPM模型以及其他因素与收益率之间的关系进行了实证检验。我们发现 ,市场 β值与收益率呈现出与CAPM模型预测正好相反的负相关关系 ,而且流通市值、市盈率、账面 /市场价值的比率等其他因素对于收益率也有着很强的解释能力。实证分析的结果表明 ,目前我国股市不满足市场有效性的假设 ,投资者的行为并不是完全理性的 ,本文的研究结果也可以对投资策略的制定起到一定的指导作用。
Using data from China stock market, this paper examines the CAPM based on efficient market hypothesis, and the relationship between stock returns and other explanatory factors. Contrary to the predictions of the CAPM, we find a negative relationship between beta and stock returns. We also find the significant explanatory power of firm size, book to market equity, and the price-earnings ratios for average stock returns. Our Results are not consistent with efficient market hypothesis. The investor's behavior is irrational.
出处
《金融研究》
CSSCI
北大核心
2003年第7期86-92,共7页
Journal of Financial Research
