【摘要】 资本资产已实现的收益率和用 β值来衡量的系统性风险之间存在着明显的正相关关系 ,但是 ,实证研究的结果表明真实的收益与资本资产定价模型的预测水平之间总是存在着较大的偏差 ,并由此引发了诸多形形色色的争论。本文探讨了非同步交易现象对至关 CAPM预测水平的 β值的影响 ,得到了一些有益的结论。更多还原

【Abstract】 This paper shows that nonsynchronous trading effects can induce biases in β coefficient of stocks or portfolios which affects the assets’expected returns predicted in CAPM.Meanwhile,this paper draws several conclusions as following:First,nonsynchronous trading only statistically leads to a spurious bias because it does not change the securities’virtual returns.Second,the expected returns of the stocks which always trade promptly when news arrives may be evaluated excessively;contrarily,its expected return will be under valuated if a stock is lazy to trade.Third,nonsynchronous trading effects will be slight if the security market is very efficient;conversely,nonsynchronous trading effects may be great if the security market is a weak-form efficiency market even a ineffciency market.last,according to the definition of nonsynchronous trading,nonsynchronous trading effets are greatly influenced by the length of a period in the time series about stocks’close price.For example,if the length of a period is taken to be one day,then the influence may be greatly stronger than that in which the length is taken to be one month.;更多还原