早期实证研究表明股票预期收益率由系统风险Beta决定,可用CAPM模型进行预测。然而,最近20多年的研究发现预期收益率并不能由风险系数β单独决定,其它基础变量也有解释作用。针对不同股市的实证研究揭示出类似的结论。比较一致的观点是Beta对预期收益率的解释力比较弱,而一些基 Early empirical studies show that the stock expected rate of return is determined by the system risk Beta, which can be predicted by the CAPM model. However, the recent 20 years of research have found that the expected rate of return can not be determined by the risk coefficient β alone, and other basic variables also explain. Empirical studies of different stock markets reveal similar conclusions. The more consistent view is that Beta’s explanation for the expected rate of return is weak, and some bases