資本資產(chǎn)定價模型理論及其應用研究.pdf

1、武漢理工大學碩士學位論文資本資產(chǎn)定價模型理論及其應用研究姓名：高志剛申請學位級別：碩士專業(yè)：系統(tǒng)工程指導教師：胡則成2003.3.1AbstractCapjlaIAssetsPricingModel(CAPM)hasbeenforwardonthebasisotMafkjwl|z，sportfoliotheorybyAmericaneconomistsSharpe，LintnerandMossin，whichisaequilibrium

2、pricingmodelinpureexchangingeconomyCAPMrevealstherelationshjpbetweenrisksandreturns，whichislinerAnditexplainshowsecurityequilibriumprices，PortfoliiskisdividedintosystematicriskandsystematicriskeAPMthinksthatunsystematicr

3、iskcanbedispelledthroughportfolio’sdiversificationbutsystematicriskcan’tSystematicriskissoimportantpartofportfoliiskthatthereisneedtobeevaluatedcarefullySystematicriskismeasuredbyBeta。Theselectionofinvestmentstrategiesjs

4、alteredwithBeta，valueJfaftjnvestoriswillingtunahigherrisk，hemayselectstockswithhigherBetavalueandatthistimehisexpectedreturnswillisoveraveragemarketexpectedreturns；lfaninvestorlsconservative，hemayselectstockswithlowerBet

5、avalue，ThoughreturnsJessen，hecantakefewetrisksofmarketchangingCAPMisregardedasthespineofmodernpricetheorylnfinancialmarke￡。lthasbeenalreadyappliedwidelytoeconomicanalysis，andresolvesordinaryquestionsofinvestmentdecisions

6、。andhasmaderichfinancialstatisticsdatatobeusedsystematicallyandeffeetivelyParticularlynwestdevelopedcountries。ltscharacteristicsarethatitanswersbrieflyimportantquestionsoftherelationshipsbetweenrisksandreturnsAndCAPMprov

7、idesinvestorswithasystemwhichlnvestorscanselectvarletiesofflnanclalassetsaCCOrdingtosystematicriskbutnofOtariskInvestorsmayuseat／thori扭tireintegrateindextodetermineexpectedreturnsofmarketportfolie，andcomputefactorBetaofs

8、ingleassetselectedAndnvestorsdecidenorariskreturnsontreasurybillsorothersuitablegovernmentbonds1tspracticabili|vssowidelythat；tisthefoundationofdecisionsinvariousfieldsThecentraIideaofCAPMisaboutsecuritypricinginacompeti

9、tiveequilibriumOriginalCAPMdisputedchieflyequilibriumquestionsncapitalmarket，butassumetogetridofthesetealssueslyinginthemarketThenmanyeconomistsadjustthismodeItocontainmanyrealfactorsincapitalmarketFroml970sthenonCAPMisd

10、evelopedfromsingleperiodtointertemporal。andfromittomultiperiodmodel溉stscholarshavedonemanyempiricalstudies，TotallytheseempiricalstudiesshowthatCAPMisperfectlysimilartotheyieldstructureoffinancialmarket1tappliestomanyaspe

11、ctssuchastheevaluationofcapitalcosts，stockreturnsforecasting，thevaluationofportfolieperformanceandeventstudiesManydomesticscholarshaveintroducedforeignstudiesfruitsanddoneempiricaltestsiilourstockmarket。andbroughtforward

12、someuewviewsandtheoriesThispaperwillgeneralizetheoriesandapplicationsofCAPMthatforeignanddomesticscholarsputforwardThenitreviewswhetherourfinancialmarketcorrespondswithCAPMandwhetherCAPMcanevolvetoapplytojtItdoesempirica

13、ltestslnoursecuritymarket，andevaluatesthecharacteristicsoftwostockmarketsItgivessomenewviewsandpolicysuggestionItispracticalsensetodirectourfinanciaImarkettodevelophealthilyKeywords：CAPM：portfoliotsecuritymarketline：fund