摘要
本文利用Pettengill(1995)的剩余市场收益模型以及Fama的两阶段回归方法,考察了中国股市1997年1月—2001年5月上海证券交易所的21支股票的周收益率。当市场收益大于无风险收益时,Beta和收益显著正相关;当市场收益低于无风险收益时,Beta和收益显著负相关。可见,Beta在解释股票间的差异方面是一个有用的工具。
I examed month returns of ShangHai Stock Exchange of china,date from 1997.01 to 2001.05,using Pettengill's excess market return model and Fama's two pass regression method.There is a significant positive relationship between beta and returns in up market,a significant negative relationship between beta and returns in down market.So beta is a useful tool in explaining cross-sectional differences among stocks.
出处
《财经问题研究》
CSSCI
北大核心
2002年第11期50-52,共3页
Research On Financial and Economic Issues
