摘要
本文以上海股票市场价格为代表对资本资产定价问题进行研究,目的是检验风险和收益的关系是否符合资本资产定价模型。结果表明,上海股票市场风险和收益关系并不如资本资产定价理论所预期的那样,系统风险并非是决定收益的惟一因素,尚有其他因素影响股票收益率。用总股本、可流通股占总股本的比例和净资产收益率分别进行检验,发现可流通股占总股本的比例是决定收益的因素之一,这说明当代西方经济理论中的资本资产定价模型不能解释中国的现象。
This text carried on a research to the price behavior of the Shanghai stock market, to examine whether the relation of risk and return match the Capital Asset Price Model or not. Research show： the relation risk and return of stock market risk is not equal to what CAPM theories expect, system risk is not the only decisive factor; there are also other influencing factors, total capital, the circulate rate and clean property rate of earning are used to examine, and the result show that the circulate rate is a decisive factor. This shows the China＇ s stock market of recent years is not good at the Capital Asset Price Model.
出处
《山西财经大学学报》
CSSCI
2008年第4期107-111,共5页
Journal of Shanxi University of Finance and Economics
关键词
中国上市公司
资本资产定价模型
上海A股市场
Chinese Listed Companies
Capital Asset Price Model
A stock market in Shanghai
