CAPM模型的有效性研究——基于中国证券行业在牛熊市时期的实证比较
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摘要
资本资产定价模型(CAPM)是理解资本市场理论中有关收益与市场风险之间关系的重要模型。证券业是资本市场的重要组成部分,其业务特性决定股票市场风险对其个股有显著的影响。以2005年至今的八个牛熊市周期为划分,以A股市场证券行业个股为研究对象进行回归分析,基于CAPM的特性以探究券商业股票市场在不同牛熊市中系统性风险与总风险的关系变化。结果表明,CAPM模型经验证在该行业具有有效性,同时熊市期间的拟合优度R2要高于牛市期间的R2,说明了系统性风险与总风险关系在牛熊市存在差异。对此提出造成该牛熊市差异现象的几个可能影响因素,分别为牛熊市造成的证券行业的盈利能力变化、金融监管变化以及意义。
The Capital Asset Pricing Model( CAPM) is an important model for understanding the relationship between return and market risk in capital market theory. As an important part of the capital market,the securities industry's business characteristics determine that the stock market risk has a significant impact on its individual stocks. Based on the characteristics of CAPM,this paper explores the relationship between systematic risk and total risk of the securities commercial stock market in different bull and bear markets. The results show that the CAPM has been validated in the industry,and the goodness of fit of the model is different between the bull and the bear markets. The goodness of fit during the bear market is higher than the R2 during the bull market,indicating the relationship between systemic risk and the total risk varies in the bull and bear markets. In this regard,this paper proposes several possible influencing factors that cause the bull-bear markets to differ. The profitability of the securities industry caused by the bull and bear market,the changes in financial supervision,and the degree of market reaction to positive and negative news from the perspective of behavioral finance. Based on the research,the relationship between bull and bear market and systemic risk on the interpretation of yield is of great significance for understanding the stock market of the securities industry.
The Capital Asset Pricing Model( CAPM) is an important model for understanding the relationship between return and market risk in capital market theory. As an important part of the capital market,the securities industry's business characteristics determine that the stock market risk has a significant impact on its individual stocks. Based on the characteristics of CAPM,this paper explores the relationship between systematic risk and total risk of the securities commercial stock market in different bull and bear markets. The results show that the CAPM has been validated in the industry,and the goodness of fit of the model is different between the bull and the bear markets. The goodness of fit during the bear market is higher than the R2 during the bull market,indicating the relationship between systemic risk and the total risk varies in the bull and bear markets. In this regard,this paper proposes several possible influencing factors that cause the bull-bear markets to differ. The profitability of the securities industry caused by the bull and bear market,the changes in financial supervision,and the degree of market reaction to positive and negative news from the perspective of behavioral finance. Based on the research,the relationship between bull and bear market and systemic risk on the interpretation of yield is of great significance for understanding the stock market of the securities industry.
引文
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[2]关林炎,查凯文.基于CAPM模型对上证钢铁板块的实证分析[J].时代金融,2017,652(2):284-285.
[3]赵清,乌东峰. CAPM资产定价机制及中国实用性研究[J].东南学术,2015(6):12-18.
[4]田丁石,肖俊超.异质风险、市场有效性与CAPM异象研究———基于沪深股市横截面收益分析[J].南开经济研究,2012(5).
[5]王丰,王小航.基于CAPM模型的家电行业上市公司风险分析[J].天津经济,2017,281(10):21-25.
[6]何孝星,于宏凯.条件CAPM下我国证券投资基金业绩的实证研究[J].南开经济研究,2003(6):68-71.
[7]董于靖,王家渠.基于CAPM模型对于医疗保健行业的实证分析[J].时代金融,2018,709(9):232-236.
[8]张虎,邹媛媛.基于CAPM模型的上海股票市场适应性检验[J].金融纵横,2016(14):164-166.
[9]靳云汇,刘霖.中国股票市场CAPM的实证研究[J].金融研究,2001(7):108-115.
[10]刘慧媛,赵黎明,王忠.基于CAPM模型的旅游上市公司系统风险分析[J].西安电子科技大学学报,2010,20(6):63-67.
[11]方涛.基于CAPM模型对中国高铁板块股票的实证研究[J].北京印刷学院学报,2017,25(4):93-95.
[12]任胜男,章善云.基于资本资产定价模型的银行系统性风险研究[J].经济研究导刊,2018(29):143-144.
[13]付应变.以行业分组为中国股市CAPM模型的实证检验[D].广西师范大学,2012.
[14]黎金龙.资本资产定价模型CAPM对上海股市的实证研究[J].社会科学家,2005(S1).
[15]徐国祥.我国A股市场系统性风险的实证研究[Z].中国科技论文在线.
[16]Campbell,John Y. and Vuolteenaho,Tuomo.Bad Beta,Good Beta[N]. Working paper,Harvard University,2002.
[17]Suyun Leng. Empirical Study of CAPM in China’s Banking Industry[J]. China International Business,2017(8):232-233.
[18]Shape W. F.. Capital Asset Prices:A Theory of Market Equilibrium under Condition of Risk[J]. Journal of Finance,1964(19):425-442.
[19]Fama,Eugene F. and James MacBeth. Risk,Return,and Equilibrium:Empirical Test[J]. Journal of Political Economy,1981:607-636.