【摘要】 作为资本资产定价模型(CAPM)的发展之一,B-CAPM模型更适合于复杂多变的现实资本市场。本文首先分析从CAPM到B-CAPM的模型转化及其理论含义,然后迭代求出B-CAPM模型的零贝塔期望收益的极大似然估计值(MLE),最后通过案例,实证运用GMM方法构建B-CAPM的估计和检验。结果表明,B-CAPM模型适用于证券市场收益和风险的度量以及有效性检验,GMM方法更符合实际。更多还原

【Abstract】 B-CAPM model,one of development of capital asset price model(CAPM),should be more suitable to varying capital market.In this paper,firstly,the transform and theoretical implications from CAPM to B-CAPM are analyzed.Then using MLE,the zero-beta expected return of B-CAPM is calculated.Finally the estimation and testing for B-CAPM are constructed empirically using GMM by an example. The conclusion shows that B-CAPM fits to measure the risk and return in security market and to test the efficiency of security market.GMM is a more suitable method.更多还原