作　　者： ;

机构地区： 广州大学数学与信息科学学院

出　　处： 《甘肃联合大学学报（自然科学版）》 2009年第1期37-41,共5页

摘　　要： 资本资产定价模型(CAPM)主要研究证券市场中资产的预期收益率与风险资产之间的关系,以及均衡价格是如何形成的,它刻画了均衡状态下资产的预期收益率及其与市场风险之间的关系.本文首先阐述CAPM的內涵,β系数与系统风险、非系统风险的关系;随后,通过引用CAPM模型在国内外股票市场的大量实证研究结果,阐述CAPM及其β系数与市场风险的关系,以及CAPM对中国股票市场风险收益均衡关系的解释性和有效性. Abstract：Capital asset pricing model （CAPM） mainly studies the relationship between the expectations yield of securities market assets and risk assets,and studies how the equilibrium priceforms. For equilibrium conditions,it is about the relation of the expected return of the assets and the market risk. This paper firstly expounds the conception of CAPM,the relation between the beta coefficient and the systematical risk, nonsystematical risk. Then,by quoting the empirical study results of CAPM at home and abroad, this text describes the relation between CAPM and market risk, and expounds the market risk relationship with the beta coefficient of CAPM,and describes the CAPM explanatory and effectiveness of risk-return equilibrium relationship in China＇s stock market.

关 键 词： 系数 风险 收益 有效性

领　　域： [理学] [理学]