| CAPM扩展模型在上证A股市场的实证检验 |
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| 引用本文： | 吴强,刘奕汝.CAPM扩展模型在上证A股市场的实证检验[J].中南林业科技大学学报(社会科学版),2014(5):69-73. |
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| 作者姓名： | 吴强 刘奕汝 |
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| 作者单位： | 长江大学工程技术学院;中南林业科技大学;广东外语外贸大学 |
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| 基金项目： | 国家林业公益性行业科研专项:“南方几种森林类型公益林经营技术研究”(编号:201204512);长江大学工程技术学院2014年院级科研基金项目:“森林生态系统服务价值评价技术研究”(编号:14j0301) |
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| 摘 要： | 将流动性因子引入FF三因子模型,提出CAPM四因子扩展模型并针对上海A股市场进行实证检验。结果表明：市场超额收益率因子高度显著,市值因子次之,再次是账面市值比因子,流动性因子不够显著。CAPM三因子和四因子扩展模型均能够解释资产组合超额收益率85%以上的变异,具有较强解释能力,在上海A股市场具有适用性。
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| 关 键 词： | CAPM 公司规模 账面市值比 |
An Empirical Test of the Shanghai A-share Stock Market Based on the Extended Model of CAPM |
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| WU Qiang;LIU Yi-ru.An Empirical Test of the Shanghai A-share Stock Market Based on the Extended Model of CAPM[J].Journal of Central South University of Forestry & Technology(Social Sciences),2014(5):69-73. |
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| Authors: | WU Qiang;LIU Yi-ru |
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| Institution: | WU Qiang;LIU Yi-ru;Yangtze University College of Technology & Engineering;Central South University of Forestry & Technology;Guangdong University of Foreign Studies; |
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| Abstract: | Introducing liquidity factor to the FF Three Factor model, we put forward four factors extension model of the CAPM. Then we make an efficiency test based on the extended CAPM for the Shanghai A-share market. The test results show that the Market Excess Yield factor is highly significant, the Market Value factor follows, and then the Book-to-Market Ratio factor. The liquidity factor is not significant enough. Both three and four factors extension model of the CAPM can account for more than eighty-five percent variation of portfolio excess yields. They are applicable for the Shanghai A-share market. |
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| Keywords: | CAPM company size Book-to-Market ratio |
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