| CAPM在中国股市的有效性检验 |
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| 引用本文： | 陈小悦,孙爱军.CAPM在中国股市的有效性检验[J].北京大学学报(哲学社会科学版),2000,37(4):28-37. |
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| 作者姓名： | 陈小悦 孙爱军 |
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| 作者单位： | 清华大学经济管理学院,北京 |
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| 摘 要： | 近三十年资本资产定价模型（ＣＡＰＭ）的有效性经历了无数实证研究和检验，有些支持和肯定，另一些则提出了质疑和挑战，甚至认为β对股票的平均收益不具有解释能力，从而宣告这一理论已完全丧失了其有效性。本文检验ＣＡＰＭ在中国股市的有效性，截面检验结果表明β对中国股市的平上益不具有解释能力，从而否定了其在中国股市的有效性假设。
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| 关 键 词： | 资本资产定价模型 中国 股票市场 有效性检验 |
Beta Is Dead: Evidence from China |
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| CHEN Xiao\|yue and SUN Ai\|jung.Beta Is Dead: Evidence from China[J].Journal of Peking University(Humanities and Social Sciences),2000,37(4):28-37. |
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| Authors: | CHEN Xiao\|yue and SUN Ai\|jung |
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| Abstract: | Countless empirical research has been conducted to test the validity of the Capital Asset Pricing Model (CAPM). There are claims that beta has no explanatory power over average stock return, thus casting doubt over the CAPM. This paper, moreover, provides evidence from China's stock market that beta fails to capture the cross-sectional variation in average stock return from September 1994 to October 1998 and thus concludes that the CAPM does not work in China. |
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| Keywords: | Capital Asset Pricing Model empirical test beta cross-section average return |
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