金融类毕业论文研讨.doc

本科毕业设计论文 -  PAGE 1 - 目 录 摘 要 随着社会经济的发展和金融市场的繁荣，越来越多的人投入到了金融证券的研究当中。而作为三大金融理论之一的资本资产定价模型（CAPM）理所当然地引起了各国学者广泛的关注并积极对其进行实证研究。由于标准的CAPM是不能适应不同金融环境，所以就展开了国内关于CAPM是否适合国内金融市场的争论。资本资产定价模型（CAPM）能否指导现实中的投资行为，取决于对行为资产定价模型的实证检验结果。在此背景下，本文利用我国沪、深两市的市场数据对行为资产定价模型的适用性进行计量检验，探索行为资产定价模型的适用性及其价值。 本文从资本资产定价模型的起源开始，对资本资产定价模型进行逐步的剖析，得到CAPM最本质的研究对象：?系数。从而将复杂的模型简化为对市场风险系数?的研究。在多尺度方面将日交易数据（收盘价???经多尺度变换得到对原交易数据在多个尺度上的逼近，并用来实证检验资本资产定价模型在中国证券市场多个尺度上的拟合程度。本文详细介绍了资本资产定价模型参数及模型的建立、基本假设和行为因素等，并在模型的基础上进行实证检验，选取沪市股票数据进行汇总、分析、对比、计算，以验证该理论模型在我国证券市场的适用与否。得出在中国股票市场上，标准的CAPM是不能与中国金融环境相适应的。 关键词：股票，资本资产定价模型，资产定价，实证研究 ABSTRACT Along with the socio-economic development and prosperity of the financial market, more and more people into the financial securities studies. As one of the three major financial theory of the capital asset pricing model (CAPM) naturally aroused extensive foreign scholars and the concerns of its active empirical research. As is standard CAPM adapt to different financial environment, Therefore, it launched a domestic CAPM on the suitability of the domestic financial markets controversy. The capital asset pricing model (CAPM) could guide the reality of investment behavior, depended on the behavior of asset pricing model Positive test results. In this context, this paper, China Shanghai, Shenzhen stock market data on the behavior of asset pricing model applicability measurement test exploratory behavior Asset Pricing Model applicability and value. This paper from the Capital Asset Pricing Model starts with the origin of the capital asset pricing model for progressive coefficient. Thereby?analysis CAPM is the most essential subjects : study. In multi-scale?simplifying the complex model to market risk factor aspects of daily data (dollar) by the multi-scale transform the original transaction data in a number of the scale approximation and used to empirical testing Capital Asset Pricing Model in Chinas securities market more fitting scale level. This paper describes a capital