文档介绍：华中科技大学
硕士学位论文
资本资产定价理论及其在中国股票市场的实证研究
姓名:杨峰
申请学位级别:硕士
专业:数量经济学
指导教师:唐齐鸣
20050510
摘要
资本资产的定价尤其是资本资产收益率的确定是金融理论研究的核心问题之
一本文深入研究了CAPM资本资产定价理论应用于中国证券市场的实证分析为
投资者更好地理解中国证券市场的定价行为更有效地制定投资策略提供指导
本文选取 1995 年 1 月至 2004 年 12 月的上海证券交易所全样本 A 股股票的月收益
数据分别采用 Fama-MacBeth 方法和 Fama-French 方法对 A 股证券组合月收益与 Beta
系数的关系进行了检验分析了 CAPM 模型在不同时间段 Beta 系数的变化特征得出
CAPM 资本资产定价模型在上海证券市场在时间段的检验不是有效的
结论通过对和前后两个时间段的检验结果进行比
较本文认为上海证券市场处于从过度投机转变到过度悲观的过程中投资者从偏好
风险转变为回避风险这是证券市场不断发展的表现但是在后一时间段风险溢价
是负值也表明证券市场还不成熟还未形成完整有效规范的风险收益权衡的
投资机制
结合中国资本市场的特点——财务信息的可靠性较差投资者的预期波动很大
市场供求不平衡机构投资者队伍处在培育阶段的过程中本文尝试寻找 CAPM 模型
之外对股票价格的影响因素研究了市场信息投资者预期和资本市场结构等因素对
上海证券市场股票价格的定价影响,为中国资本市场的发展提供了一些建议和对策这
些理论研究和实证结果将对中国资本市场的发展产生积极而又重要的影响

关键词资本资产定价 Beta 系数信息预期资本市场结构
Abstract
Capital asset pricing, especially the relationship between average return and risk, is an
important issue of financial thoery. This paper does empirical research about the theory of
Capital asset pricing on China’s security market, to provide some advice on how to
understand the pricing of stocks and how to make more effective strategy of investment.
The data for this study are monthly percentage returns for mon stocks traded on
Shanghai Security Exchange during the period January 1995 through December 2004. The
Fama-MacBeth regression approach and the Fama-French regression approach are used to
test the relationship between expected return and risk. The purpose of this study is to analyze
the time-varying characters of Beta coefficient in different time intervals, to find out if the
Capital Asset Pricing Model (CAPM) is effective in Shanghai market during the period
January 1997 through December 2004. Our results show that the transition from
over-speculative during the period January 1997 through December 2000 to
over-conservative during the period January 2001 through December 2004, happen in
Shanghai market. The inve