摘要
传统的资产资本定价理论(CAPM),由于一系列假设条件过于苛刻,一直存在实证研究对它的质疑。本文根据EdwardM.Miller对Sharpe的资产资本定价模型(CAPM)所作的修正,对我国股市1995～2000年的股票的总风险水平、系统性风险水平和预期收益率进行了测算。研究发现,中国证券市场系统性风险占总风险比例较大的特征并没有从根本上发生改变,但是投资者对股票市场的预期收益率在降低,即我国的投资者不断地趋于理性。本文的实证研究表明,Miller的CAPM修改模型更趋于与实际情况吻合。
Because of a series of harsh hypothetical conditions in the traditional CAPM, it is still questioned by the empirical research. Based on the amendment made by Edward M. Miller to the CAPM, this paper surveys and calculates the total risk level, the systematic risk and the expected return of Chinese stock market from 1995 to 2000. It shows that the characteristic of the systematic risk covering mainly the total risk in Chinese stock market has not been essentially changed, but the expected return of investors has decreased, that is to say investors in China tend to be rational.
出处
《中国软科学》
CSSCI
北大核心
2004年第3期46-50,54,共6页
China Soft Science
