The Market Application Analysis of CAPM Model

Abstract:

CAPM is one of the most important decision-making problems for most organizations in portfolio selection problem. Usually the determination of the capital return on assets is the core issues of CAPM.The paper deeply makes the empirical analysis of CAPM model in Chinese stock market .The result could help Chinese investors understand pricing behavior and effectively guide the formulation of investment strategies in Chinese stock market.As a result, empirical research carried out many problems, especially no any effective test methods exist. From the former empirical test paper, the majority of results show that the CAPM does not apply to the current Chinese stock market. Therefore, Chinese stock market is still in development,not a mature market and far away from a standard market.

• Periodical: Applied Mechanics and Materials (Volumes 380-384)
• Pages: 4422-4425
• DOI: https://doi.org/10.4028/www.scientific.net/AMM.380-384.4422
• Online since: August 2013
• Authors: Peng Zhang, Xiang Huan Meng
• Keywords: CAPM, Investment, Risk, Security

References

[1] Markowitz, H.: Portfolio selection, The Journal of Finance [ J ]. 1952, 7 (1): 77 - 91.

[2] Sharpe ,W. F.: New Evidence on the Capital Asset Pricing Model: Discussion, The Journal of Finance . 1978, 33(3): 917-920.

DOI: 10.2307/2326488

[3] Lintner , J.: The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, The Review of Economics and Statistics. 1965, 47(1): 13-50.

DOI: 10.2307/1924119

[4] Lin,D. Asset pricing theory and the empirical research in Chinese stock market[D]. Tianjin university master degree theses. 2005. 5-40.

[5] Fama , E. F ., French ,K.R.: The Cross-Section of Expected Stock Returns, The Journal of Finance. 1992, 47(2): 427-465.

DOI: 10.1111/j.1540-6261.1992.tb04398.x

[6] Kothari , S . P., Shanken,J., Sloan R.G.: Another Look at the Cross-Section of Expected Stock Returns, Journal of Finance. 1995, 50(1): 185-224.

DOI: 10.1111/j.1540-6261.1995.tb05171.x

[7] Agrawal,M., Mohapatra,D., Empirical evidence against CAPM: Relating alphas and returns to betas[J], IEEE Journal on Selected Topics in Signal Processing. 2012(4): 298-310.

DOI: 10.1109/jstsp.2012.2202635

[8] Zhu S.Q., The empirical research of CAPM in China's capital market [C], Statistics & Information Forum. 2010. 8.

[9] Yang C.J., Security Investment Analysis, Shanghai, Shanghai People's Publishing House. 2002. 264-293.

[10] Yang C.J., Cai,M. C, China's securities market price behavior and risk control, The national natural science fund research report[J]. 2000. 1.