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本文中,笔者通过搜集整理上海股市样本股票和市场等相关金融数据,对十分经典模型的资本资产定价模型(Capital Asset Pricing Model,CAPM)在实务中的实现情况进行实证研究。笔者通过查询数据,以对数的方式算出所研究股票每天的实际收益率,之后运用每天的市场相关数据,算出依照CAPM所得出的股票收益率。然后对一段时期内算出的股票每日实际收益率与CAPM算出收益率的相关系数等数据进行分析,以揭示CAPM的解释能力。最后对CAPM为何未能完全解释股票的实际收益率进行分析。并在文末进行总结。
In this paper, the author conducts an empirical research on the actual implementation of Capital Model Pricing Model (CAPM) in the classic model by collecting relevant financial data such as sample stocks and markets in the Shanghai stock market. The author calculates the actual rate of return of the stock under study by way of logarithm, and then calculates the rate of return of the stock according to CAPM by using daily market-related data. Then we analyze the data about the daily real rate of return and the correlation coefficient of the return rate calculated by CAPM over a period of time to reveal the CAPM’s ability to explain. Finally, why CAPM did not fully explain the actual rate of return of the stock for analysis. And concluded at the end of the article.