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本文以我国A股市场奥运板块全部94支股票为研究对象,选取2007年最新的股票数据对资本资产定价模型在奥运板块股票市场的应用进行实证研究。首先采用一次回归模型估计了个股的β系数,然后利用BJS方法和FM模型分别进行时间序列回归和截面回归。实证研究表明,CAPM模型在奥运板块市场应用中存在与理论不相符合的方面。为了消除单个股票的非系统性风险,进一步构造股票投资组合对CAPM模型进行修正检验,得出的β系数能更好地衡量股票组合的风险。
In this paper, all the 94 stocks of the Olympic Games in China’s A-share market are selected as the research object. The latest stock data from 2007 are used to make empirical research on the application of capital asset pricing model in the Olympic stock market. First, a regression model was used to estimate the beta coefficient of individual stocks, and then time series regression and cross-sectional regression were performed using BJS method and FM model respectively. Empirical studies show that, CAPM model in the Olympic plate market there is a theory does not match the area. In order to eliminate the non-systematic risk of a single stock, the paper further constructs the stock portfolio to test the CAPM model. The β coefficient obtained can better measure the risk of stock portfolio.