| 实证分析中CAPM理论假设和经验假设初探 |
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| 引用本文： | 赵松山,杨戈.实证分析中CAPM理论假设和经验假设初探[J].哈尔滨商业大学学报(自然科学版),2006,22(1):121-124. |
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| 作者姓名： | 赵松山 杨戈 |
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| 作者单位： | 东北财经大学,数量经济系,辽宁,大连,116025;东北财经大学,数量经济系,辽宁,大连,116025 |
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| 摘 要： | 运用CAPM进行实证分析时,其假设可以分为理论假设和经验假设,理论假设是CAPM理论模型成立的前提条件,而经验假设是实证分析时对经验模型提出的假设.通常,人们容易将某些经验假设和理论假设相混淆,从而导致结论错误.系统地讨论CAPM的理论假设和经验假设,并结合中国证券市场的特点对稳定的收益分布、市场代理、持有期和收益代理等经验假设分别进行详细讨论.
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| 关 键 词： | CAPM 理论假设 经验假设 |
| 文章编号： | 1672-0946(2006)01-0121-04 |
| 修稿时间： | 2004年6月30日 |
Preliminary thoughts on theoretic assumptions and empirical assumptions of CAPM in empirical test |
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| ZHAO Songs-han,YANG Ge.Preliminary thoughts on theoretic assumptions and empirical assumptions of CAPM in empirical test[J].Journal of Harbin University of Commerce :Natural Sciences Edition,2006,22(1):121-124. |
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| Authors: | ZHAO Songs-han YANG Ge |
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| Abstract: | Assumptions of CAPM may be divided into theoretic assumptions and empirical assumptions when CAPM is empirically tested.Theoretic assumptions are the bases of theoretic model of CAPM,while empirical assumptions are specifically assumptions for empirical model of CAPM.Usually,some people confuse theoretic assumptions between empirical assumptions,and they make incorrect conclusions because of confusion.This paper tries to discuss theoretic assumptions and empirical assumptions systematically,and detailedly dissertates empirical assumptions including stationary return distribution assumption,market proxy assumption,holding period assumption and return proxy assumption,according to the real characters of Chinese security market. |
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| Keywords: | capital asset pricing model theoretic assumption empirical assumption |
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