| 套利定价模型在上海股票市场的有效性检验 |
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| 引用本文： | 张关心,阳玉香.套利定价模型在上海股票市场的有效性检验[J].长沙理工大学学报(社会科学版),2004,19(4):65-67. |
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| 作者姓名： | 张关心 阳玉香 |
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| 作者单位： | 长沙理工大学,经济学院,湖南,长沙,410076;长沙理工大学,经济学院,湖南,长沙,410076 |
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| 摘 要： | 文章以上海股票市场486家上市公司的数据为样本,对套利定价模型在我国证券市场的有效性进行了检验.实证结论表明:公司规模、市值与账面价值比以及市盈率对股票收益率没有显著影响,股票市场价格的变动是随机的,即套利定价模型在上海股票市场是无效的.
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| 关 键 词： | 套利定价模型 股票收益率 公司规模 市盈率 |
| 文章编号： | 1672-934X(2004)04-0065-03 |
| 修稿时间： | 2004年10月8日 |
The Availability Test of APT in Shanghai Stock Market |
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| ZHANG Guan-xin,YANG Yu-xiang.The Availability Test of APT in Shanghai Stock Market[J].Journal of Changsha University of Science & Technology,2004,19(4):65-67. |
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| Authors: | ZHANG Guan-xin YANG Yu-xiang |
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| Abstract: | This paper samples 486 companies in Shanghai stock market with the testing of the APT model on the availability in China security market. The empirical conclusion shows that the size of a company, the ratio of marketable value to book value, and the ratio of marketable price per share to net profit per share have no remarkable effect on rate of return on stock, and that the change of price in China stock market is a random walk, that is to say, the Arbitrary Pricing Theory is unavailable in Shanghai stock market. |
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| Keywords: | APT (Arbitrary Pricing Theory) rate of return on stock size the ratio of marketable price per share to net profit per share |
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