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条件CAPM模型是对CAPM模型的改进,它提高了对股市的系统性风险的解释力,但其对市值溢价和账面市值溢价的解释能力仍存疑问。本文通过实证方法检验条件CAPM模型对市值规模溢价和账面市值比溢价的解释能力,以我国沪深A股上市公司为样本,并将其分为1995-2002年和2003-2012年两个阶段,分别设定条件CAPM模型贝塔系数随年度和市场行情变化,采用时间序列和稳健性方法检验,实证结果表明:随年度和市场行情变化的两类条件CAPM模型不能解释我国股票市场的市值溢价和账面市值比溢价。
The conditional CAPM model is an improvement on the CAPM model, which improves the explanatory power of the systematic risk in the stock market, but its ability to explain the market value premium and book market premium is still questionable. This paper examines the CAPM model of the conditional ability to explain the market value of the premium and the book value of the market premium over the empirical method to Shanghai and Shenzhen A-share listed companies in China as a sample, and divided into 1995-2002 and 2003-2012 two stages, Respectively set the conditions CAPM model beta coefficient changes with the annual and market conditions, using time series and robustness test, empirical results show that: with the annual changes in market conditions and two types of conditions CAPM model can not explain the market value of China’s stock market premium and book Market value than the premium.