摘要
本文以资本资产定价系列模型对沪深港股市进行研究,选取沪深市场29个行业和港股市场4个行业,对2006年到2018年数据进行实证分析,分别从模型的拟合能力、预测能力及行业配置能力进行比较分析。结果说明,港股市场中西方业界普遍采用多年的CAPM模型作用有效,但与之相比,沪深股市中该模型并没能有效定量风险和对应风险所带来的预测回报率,呈现"风险越大,实际回报率越低"的问题;而CCAPM系列模型能更有效判断资产风险和回报率。
Capital Asset Pricing models and its series models are used to study the stock markets in Shanghai,Shenzhen and Hong Kong.We also performed an analysis at sector level with 29 sectors in the Shanghai and Shenzhen stock markets and 4 sectors in the Hong Kong stock market from 2006 to 2018,in order to compare the fitting ability,prediction ability and industry allocation ability of the model.The results show that the applicability and effectiveness of different models varies across Shanghai,Shenzhen and Hong Kong stock markets.To sum up,we should be judicious and take into account the characteristics of different markets when we chose an appropriate model for asset pricing.
出处
《投资研究》
CSSCI
北大核心
2019年第10期115-132,共18页
Review of Investment Studies
基金
中国博士后基金面上项目(2018M642637)
泰山学者工程专项经费
山东大学基本科研业务费专项资金(2017GN006)资助.
关键词
沪深港股市
行业配置
资本资产定价
消费惯性
Stock Markets
Industry Allocation
Capital Asset Pricing Models
Consumption and Production
