【摘要】 从动态角度研究了资本资产定价模型,提出了马尔科夫转换的资本资产定价模型。与经典资本资产定价模型相比较,由似然比说明马尔科夫转换的资本资产定价模型的最大似然估计的参数好于经典资本资产定价模型的参数,并且对7天的股票收益率进行预测,结果平均绝对预测误差较小,估计出的参数β能更好地描述市场风险,以获得最优收益。更多还原

【Abstract】 In this paper, we propose capital asset price model (CAPM) with Markov switching in order to research CAPM in dynamic . Compared with the classical CAPM the parameter of maximum likelihood estimator of CAPM with Markov switching is much better.Then we forecast the stock return ratio of seven days, and find that the average absolute errors are less. The parameter β describes market risk better to get the optimum returns.更多还原