套利定价模型在上海股票市场的有效性检验.pdfVIP

19 4 ( ) V o . 19 No . 4 2 0 0 4 1 2 JOU RNAL OF CHAN GSHA U NIVE RSITY OF SCIENCE TE CH NOLOGY( SOCIAL SCIENCE) Dec . 2 0 0 4 张关心, 阳玉香 ( , 4 10076) [ ] 文章以上海股票市场486 家上市公司的数据为样本, 对套利定价模型在我国证券市场的有 性进行了检验 实证结论表明: 公司规模市值与账面价值比以及市盈率对股票收益率没有显著影响, 股票市场价格的变动是随机 的, 即套利定价模型在上海股票市场是无 的 [ ] 套利定价模型; 股票收益率; 公司规模; 市盈率 [ ] F830 [ ] A [ ] 1672- 934X( 2004) 04 - 0065- 03 The Availability Test of APT in Shanghai Stock Market ZHAN G Guanxin, YAN G Yuxiang ( School of Economics, Changsha University of Science and echnology , Changsha, Hunan 410076, China) Abstract: T his paper samp es 486 companies in Shanghai st ock market w it h the t esting of t he A PT mode on the avai abi ity in C hina securi t y market . T h e empirica conc usion show s t hat t he size of a company , t he rat io of marketab e va ue to book va ue, and t he rat io of mar ketab e price per share to net profit per share have no remarkab e ef fect on rat e of ret urn on st ock, and t hat th e change of price in China stock market is a random w a k, that is t o say , the A rbit rary Pricing T heory is unavai ab e in S hanghai st ock market . Key words: APT ( Arbit rary Pricing T heory) ; rat e of ret urn on stock; size; t he rat io of marketab e price per share t o net profit per share SharpeL intner Mossin , , , : [ 2] ( P152) , n R = E + F + i i K K , SharpeL intnerM ossin K = 0 ( CAPM ) : [ 1] ( P335)