摘要
对深圳证券市场进行了CAPM实证检验 ,发现深圳证券市场的系统风险与股票收益之间存在着负线性相关关系 ,并且存在其他风险因素影响股票收益。非系统风险也与股票收益存在负线性相关关系。
The CAPM is tested using data of all available stocks in Shenzhen Stock Market from 1997 to 2001. We find that the relationship between return and βis linear and negative. In addition, we find significant evidence to conclude that there are other factors different from βthat are important to predict returns. The relationship between return and nonsystematic risk is also linear and negative. We can conclude that the CAPM doesn't work in Shenzhen Stock Market.
出处
《集美大学学报（哲学社会科学版）》
2004年第3期41-43,共3页
Journal of Jimei University：Philosophy and Social Sciences
