【摘要】 检验CAPM应考虑交易制度变化的影响。在不同交易制度下,CAPM的表现特征是不同的。在T+0时期,β系数与组合收益表现为非线性关系,CAPM并非有效的;在T+1时期,非系统风险对股票收益有一定的影响,但系统风险不是投资收益的主要测度标准;在涨跌停板时期,系统性风险与组合收益呈现线性关系,市场风险是股票定价的主要衡量因素。更多还原

【Abstract】 This paper proposes considering the effects of exchange systems when testing CAPM (Capital Asset Pricing Model). The characteristics of CAPM vary in different exchange systems. At T+0 stage, portfolio return is not linearly related to beta coefficient and CAPM is not efficient. At T+1 stage, the nonsystematic risk has effect on stock return to some extent, but systematic risk is not a major standard of investment return. At the pause stage of ceiling or bottom (up 10% limit and down 10% limit), portfolio return is linearly related to systematic risk and market risk is a primary factor in stock pricing.更多还原