【作者】 焦鹏；

【导师】 刘春；

【作者基本信息】 沈阳工业大学 ， 会计学， 2004， 硕士

【摘要】 资本资产定价模型和套利定价模型是两个非常重要的有价证券市场定价模型。作为现代金融学理论的基础，它们将选择风险资产的复杂过程大大简化，给出了简洁优美的定价公式，从而使投资者能够方便地、广泛地应用它们解决投资决策中的一般性问题。虽然我国股市与模型的假设条件还有相当的差距，但是没有必要等到市场发展到某种程度再来研究模型的适应性问题。相反，我们应该利用模型内在的逻辑性、实用性，通过对两个模型在我国股市适应性实证检验，来发现问题，推动我国股市的发展。 本文分为五个部分，第一部分首先介绍了本文的研究意义，接下来简要说明资本资产定价模型和套利定价模型的国内外研究状况，最后介绍本文对这两个模型进行检验所采用的思路和方法。第二部分系统地介绍了现代资本市场定价理论中的现代证券组合理论、资本资产定价模型理论和套利定价模型。第三部分对资本资产定价模型进行实证检验。这部分的检验分为时间序列检验和横截面检验两部分:在前一部分检验，本文采用Blaek一Jensen一Seholes方法;在后一部分检验中，采用Fama一MaeBeth方法。第四部分是对套利定价模型的检验。本文采用的方法是用探测性因子分析方法来确定因子的个数并求解因子，通过对截面回归方程和“自方差”对取得的因子模型进行检验，来判断取得的因子模型的适用性。第五部分是结论，对资本资产定价模型检验，得出如下的结论:上海证券交易所A股市场系统风险与股票的预期收益率存在负向相关的线性关系，且非系统风险对股票的收益率没有影响。可见，股票的收益率不仅仅依赖系统风险，还存在其它的重要因素影响股票的收益率。对影响股票收益率的因素进行进一步讨论，结果认为，除了系统风险以外，总市值是影响股票收益率的最大因素。对套利定价模型检验的结论是:三因子模型可能是普遍适用的，其中前两个因子是显著的，但第三个因子不显著。说明我国股市发展时间尚短，制度尚不规范。在这两部分实证检验中，我们选取了上海A股证券市场近六年的数据，应用SPSS和EViewS统计分析软件，以回归分析和因子分析为主，客观地进行了检验和分析，并提出一些完善股市的政策性建议。更多还原

【Abstract】 CAPM and APT are two very important securities-pricing models, which simplify the very complex process of portfolio selection as the base of modern finance. They have concise and pretty formations, and they can be easily, widely employed by investors to dissolve general questions existed in the actions of investment decision. Since there is gap between status in quo of China’s capital market and the hypotheses of the two models, we wouldn’t wait until market’s status become to be ideal. On the contrary, we can make full use of their logicality and practicability to analyze and to improve our capital market by doing empirical tests on adaptability of the two models.The thesis has five parts. The first one has three segments: we introduce the significance of thesis in the first place, then briefly explain the inso-foreign study condition in the field of CAPM and APT, and at last talk about our thoughtway and method of tests. The second one systematically introduced main contest of modern portfolio theory, CAPM and APT that are parts of modern asset-pricing theory. The third one is the empirical test of CAPM, which include time-series test and cross-section test. We use the Black-Jensen-Scholes in the former test, and use the Fama-MacBeth method in the latter test. The fourth one is the empirical test of APT. In this part, we use factor-loading model to make certain the number of factors of APT equation, and we attempt to reject the APT by testing the multifactor equation and using own variance variable. The fifth one is conclusion. The result of CAPM’s test is: the systematic risk in Shanghai Stock Exchange market has negative relationship with stock expected return and has not influence on the latter. So we can learn that stock return do not depend on systematic risk barely and there are others important factor which influence the return. The further discussion provide us the answer, the factor is Total Market Value. The result of APT’s test is: three-factor model may be suitable for Shanghai Stock Exchange market, and the first two factors are obvious while the third one is not. It reveals that our market is not mature, and itsregulations are not perfect. In the two tests parts, we select the later six-year data and mainly use regression analysis, factor analysis to test and analyze data objectively by using SPSS and EViews in this thesis. In the last we put forward some political advice.更多还原