有关CAPM理论和实证分析研究
时间:2020-05-30 16:25 来源:毕业论文 作者:毕业论文 点击:次
| 摘要资本资产定价模型是投资组合选择的均衡理论，在西方己经有五十多年的研究历史，并广泛应用于金融学和财务管理学中，并有极为显著的作用。被引入中国后，资本资产定价模型（CAPM）被应用到各个投资决策和理论研究领域。但我国并不成热的证券市场难以满足CAPM 理论严格的基础假设条件，使得CAPM 理论一直未能推广普及实用，因此CAPM理论在现实市场中的有效性值得进一步探讨。本文介绍了资本资产定价模型(CAPM)在证券市场中的理论意义及作用，并通过对同样的股票在不同时间段的表现来分析印证CAPM理论在我国证券市场应用的有效性因素，通过对 ， 系数及可决系数的回归分析找到了其实用性不强的原因，并探索CAPM 理论的改进措施。50097 毕业论文关键词 资本资产定价模型（CAPM）中国证券市场 实证研究 回归分析 Title A Little Research On CAMP Theory and Empirical Analysis Abstract The pricing model of the capital asset is the equilibrium theory of portfolioselection,which has more than 50 years history and has been widely used in financeand financial management. It has played a very significant role since it wasintroduced into China.But in our country, the immature market is difficult tomeet the CAPM theory strict hypothesis, the CAPM theory has not been able topromote the popularity of practical. Therefore the effectiveness of CAPM theoryin the real market is worthy of further discussion. This paper introduces thesignificant role the CAPM has played in the securities market theory. By analyzingthe different performance of the same stock in different time periods,we canconfirm the effectiveness of the CAPM theory in our country.And we can do someregression analysis on the coefficient of determination to find reason why theeffect of the CAPM is not so strong and to explore the improvement measures ofthe CAPM theory. Keywords： CAPM Chinese stock market Empirical study regression analysis 目次 1绪论1 1.1研究背景及意义...1 1.2我国证券市场的现状..1 2理论综述...3 2.1资本资产定价模型的理论介绍..3 2.1.1CAPM模型简介.3 2.2CAPM模型的作用.4 2.3CAPM模型的检验.6 3CAPM在中国证券市场有效性的实证研究..8 3.1数据描述8 3.1.1数据的来源及选取...8 3.1.2数据的预处理8 3.2实证检验8 3.2.1检验区间的选取...8 3.2.2模型的分区间检验...9 4CAPM模型对我国证券市场的影响.15 4.1CAPM模型对我国证券市场解释力不强的原因分析15 4.2在我国运用CAPM模型应注意的问题16 4.3政策建议17 致谢.19
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