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Asset Pricing Model in Shanghai Stock Market

Author: WangXiaoLi
Tutor: ZhouHuiBin
School: Southwestern University of Finance and Economics
Course: Quantitative Economics
Keywords: Capital Asset Pricing Model Arbitrage Pricing Theory Factor Analysis Behavioral Finance
CLC: F830.91
Type: Master's thesis
Year: 2004
Downloads: 712
Quote: 3
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Abstract


The capital asset pricing model (CAPM), arbitrage pricing theory as a cornerstone of modern financial studies, many economists continue to explore after decades been, has developed into a rich content and complete system of asset pricing theory, and play an important role in the actual investment operation. As equilibrium asset pricing is the most important core theories and models proposed so far, they suffer from different markets, different periods of theory and empirical test. Experienced a history of 20 years of economic and financial system reform in China's financial system sound and perfect, the rapid development of the financial markets (stock market), the increase of financial institutions has become an indisputable fact. In this context, those who set off the revolutionary transformation of finance asset pricing theory applicable to the situation on the financial markets in China has become the focus of discussion by many scholars. The analysis of this paper is gradually carried out in this context, analysis of the Chinese stock market, we are trying to be answered the following questions: 1, the traditional theory assumes the premise, CAPM model is established in Shanghai, China's securities market, the market risk measure β is the true measure of a stock or stock portfolio income, or beta coefficient has been \2, a powerful stock portfolio beta is not income to explain, the influencing factors are missing and how to explore, based on whether the APT ideas can find effective explanatory factors? Should these classic mathematical finance pricing theory are negative, how we are going to think the stock pricing? The article logical combing through domestic and foreign capital asset pricing model, arbitrage pricing model and method code related study of the three-factor pricing model, combined with the characteristics of China's financial markets, set up their own study the problem of capital pricing methodology, Empirical Analysis of the Shanghai stock market, draw the following main conclusions: 1 in Shanghai, China's securities market, CAPM model does not hold, and also there is no linear correlation between beta coefficient of the stock portfolio not only failed to yield positive correlation between , that beta is not sufficient to explain the yield of the equity portfolio; 2, according to the ideas of the empirical tests of the APT theory, the use of factor analysis to explore affect revenue lt; WP = gt; public factor and single stock or stock portfolio gains there is a common factor, but not while the macroeconomic factor is difficult to determine. The paper is structured as follows: In the first chapter, concise, clear background, the purpose of this study, and ideas, and the overall framework of the research to be described. Chapter II CAPM and APT model proposed, the background, and the core idea is reviewed, and the differences between the different theories and models comparison and evaluation. Chapter of theory and academia over the years of theoretical and empirical research in asset pricing (in particular, the capital asset pricing model) a more comprehensive review, not only for the classification and comparison of these theories and methods, and the empirical The research was the clear classification and description, and laid the foundation for the determination of the methodology of this article. The fourth chapter is part of the empirical analysis of this paper, and while empirical results, presented empirical results originally expected to go against challenged. The results show that the CAPM model in the Shanghai stock market is not established, and according to this article assume that non-systematic risk should be able to explain the yield is not the case, but the empirical results. Therefore, the author is no longer the model yields the subjective interpretation of factors, but the first use of factor analysis to determine the existence of the public whether it will affect the yield factor. The empirical results show that a combination of stock and stock a public impact factor, but the common factor is very difficult to determine, because really difficult to explore public factors to be able to establish a clear relationship between the number and rate of return. Chapter Chapter empirical analysis based on the reason to produce such empirical results Analysis. And believe that the main reason for the above phenomenon may have two. First, this article is based on test methods such as the Behavioral Finance attacks mathematical finance as into the inspection paradox; Second, the root causes of this difference may be due to the immaturity of China's stock market. Finally, we are trying to introduce a new theory to explain the empirical results. The author introduced this proved to be the January Effect widespread to be explained, perhaps we can not find a common factor to establish the relationship determining stock returns with them, but the existence of this \a traditional pricing theory is that the anti-lt; WP = 5 gt; regular phenomenon, such as the \If you can look squarely at China's securities market presence of the \. Although the empirical results do not support our hypothesis, but he gives us the direction of the follow-up study to explore the need to \. The new findings: 1, CAPM empirical test process, this article not only inherited a combination of traditional inspection time series and cross-section inspection method and summarized and summarizing empirical methods, based on the traditional of BJS somewhat different empirical methods. Mainly CAPM model assumes that the premise of a randomized way to construct a stock portfolio, and not to the general empirical studies of β to classify the stock. By empirical test of this article can be found in the non-systematic risk can not explain the stock's yield did not like the experience expected as fully bear with the interpretation of the yield factors thesis empirical results to this case, I did not rush to start from finding common factor but the first argument if there is the presence of the public factor.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market
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