基于公因子提取法的CAPM修正模型

统计研究 ›› 2008, Vol. 25 ›› Issue (8): 94-98.

基于公因子提取法的CAPM修正模型

史宇峰张世英

天津大学管理学院

收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2008-08-15 发布日期:2008-08-15

The Corrected CAPM Based on the Common Factor Extraction Method

Shi Yufeng & Zhang Shiying

Received:1900-01-01 Revised:1900-01-01 Online:2008-08-15 Published:2008-08-15

摘要/Abstract

摘要： 大量实证质疑CAPM的定价准确性，这是因为CAPM是建立在投资组合有效前沿基础上的，而实际上这样的有效前沿是不存在的。这说明，CAPM模型是一种理想状态的模型，为此，应用公因子提取的方法来修正CAPM。同时，从沪市随机选取22支股票进行了实证，结果表明，CAPM修正模型较CAPM具有更准确的定价能力。

关键词: CAPM, CAPM修正模型, 公因子提取法

Abstract: The pricing accuracy of CAPM is questioned by the large number of empirical tests, and the reason is that the effective frontier established by CAPM model is not easily found in capital market. The results show that CAPM model is ideal one, therefore, the CAPM model is corrected by common factor extraction method. At the same time, the test is done by the data of 22 random stocks of the Shanghai Stock Market, and the results show that the correct CAPM is more accurate than the CAPM in pricing power.

Key words: CAPM, Corrected CAPM, Common factor extraction method

史宇峰张世英. 基于公因子提取法的CAPM修正模型[J]. 统计研究, 2008, 25(8): 94-98.

Shi Yufeng &Zhang Shiying. The Corrected CAPM Based on the Common Factor Extraction Method[J]. Statistical Research, 2008, 25(8): 94-98.