| B-CAPM模型的GMM估计和检验 |
| |
| 引用本文： | 张卫东,龚金国.B-CAPM模型的GMM估计和检验[J].中国管理科学,2014,22(3):20-25. |
| |
| 作者姓名： | 张卫东 龚金国 |
| |
| 作者单位： | 西南财经大学统计学院, 四川 成都 610074 |
| |
| 基金项目： | 中央高校基本科研业务费专项资金（JBK120405）；四川省高校人文科学重点研究基地 |
| |
| 摘 要： | 作为资本资产定价模型（CAPM）的发展之一，B-CAPM模型更适合于复杂多变的现实资本市场。本文首先分析从CAPM到B-CAPM的模型转化及其理论含义，然后迭代求出B-CAPM模型的零贝塔期望收益的极大似然估计值（MLE），最后通过案例，实证运用GMM方法构建B-CAPM的估计和检验。结果表明，B-CAPM模型适用于证券市场收益和风险的度量以及有效性检验，GMM方法更符合实际。
|
| 关 键 词： | CAPM模型 B-CAPM模型 GMM方法 估计和检验 |
| 收稿时间： | 2011-10-09 |
| 修稿时间： | 2012-08-27 |
GMM Estimation and Testing for B-CAPM Model |
| |
| ZHANG Wei-dong,GONG Jin-guo.GMM Estimation and Testing for B-CAPM Model[J].Chinese Journal of Management Science,2014,22(3):20-25. |
| |
| Authors: | ZHANG Wei-dong GONG Jin-guo |
| |
| Institution: | School of Statistics, Southwestern University of Finance and Economics, Chengdu 610074, China |
| |
| Abstract: | B-CAPM model, one of development of capital asset price model (CAPM), should be more suitable to varying capital market. In this paper, firstly, the transform and theoretical implications from CAPM to B-CAPM are analyzed. Then using MLE, the zero-beta expected return of B-CAPM is calculated. Finally the estimation and testing for B-CAPM are constructed empirically using GMM by an example. The conclusion shows that B-CAPM fits to measure the risk and return in security market and to test the efficiency of security market. GMM is a more suitable method. |
| |
| Keywords: | CAPM B-CAPM GMM estimation and testing |
| 本文献已被 CNKI 等数据库收录！ |
| 点击此处可从《中国管理科学》浏览原始摘要信息 |
| 点击此处可从《中国管理科学》下载免费的PDF全文 |
