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Statistical Analysis of the Capital Asset Pricing Model and the Single Factor Model Parameters

Author: ZhaoJinLong
Tutor: ChenDaoPing
School: Chongqing Normal University
Course: Quantitative Economics
Keywords: capital Asset pricing model Single-factor model Parameter empiricalmodel
CLC: F224
Type: Master's thesis
Year: 2012
Downloads: 149
Quote: 0
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Abstract


Capital asset pricing model of modern finance is the foundation, which is based onthe risk assets (such as stocks) expected profit equilibrium on the basis of the model,the model for the asset risk and the expected rate of return of the relationship betweengiven accurate prediction.With the capital asset pricing model, especially the factor model of single factormodel is also based on the Markowitz portfolio selection model foundation, singlefactor model and the capital asset pricing model can be said to be a coin of two surface.Capital asset pricing model and its parameters that should be zero, and the single factormodel considers the realized value of a historical observable return samples, its averagevalue is zero, but the capital asset pricing model parameter values is an expected value,therefore, this factor models are identical. This article will use the A shares any stockreturn to this conclusion by empirical, is to use the stock for a period of time of daytime-sharing data to the capital asset pricing model and the single factor model isestablished based on form and content are similar but have different empirical models,to estimate the empirical model parameters, i.e. value and risk measurement parameters,through empirical test in Chinese A stock market under the environment of these pricingmodel parameters are consistent and classics, in order to judge whether the use of theseclassic pricing model in China A share market. Through the research, basically aconclusion can be drawn: the capital asset pricing model and the single factor modelapplied to our A stock market.In this paper, another important objective is to use the empirical model parametersin parametric sequence, using statistical methods to identify these parameters sequencesof some statistical laws, on the basis of this, using these statistical regularities,exploration can be used to A stock market more effective short-term speculativeanalysis and method of operation. Study found that, according to the parameters and todetermine the size of a single stock buying and selling opportunity.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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