摘要
文章依据资本资产定价模型,来论证上海股票市场收益与风险之间的关系。文章还选取了上证50板块中50支2014年的股票作为样本数据进行分析,运用时间序列分析和横截面最小二乘法的回归方法,来检验系统风险是否对个股具有显著影响。最终我们发现,非系统性风险对股票收益影响较大,系统性风险与投资收益率的关系并不符合CAPM模型,并论证通过建立投资组合可以达到分散非系统性风险的作用。
On the basis of the capital asset pricing model, to demonstrate the relationship between Shanghai stock market returns and risks. The article also selects 50 2014 stock SSE 50 as sample data were analyzed by using regression method,time series analysis and cross section of the least squares method, to test whether the risk of the stock system has significant effect. Finally we found that, the non systemic risk has great influence on the stock returns,the relationship between system risk and rate of return on investment is not consistent with the CAPM model, and demonstrate to disperse the non systematic risk function through the establishment of a portfolio can.
出处
《企业技术开发》
2015年第4期99-101,104,共4页
Technological Development of Enterprise
