CAJ | 학술논문

本文基于股票历史贝塔值、异质波动风险、股票价格和公司规模四种分组模式，以2007年7月至2011年7月沪市497jK与深市678Y,股票为研究对象，利用似然比检验方法分别对上海证券市场和深圳证券市场进行了零贝塔形式的CAPM有效性检验。实证结果发现，利用历史贝塔值分组，沪市和深市均基本符合CAPM模型，但在其他分组模式下，沪深两市存在不同程度的横截面异象。此外，还进一步根据引入流动性补偿因子的改进FF因素模型对沪深两市溢价效应、横截面异象及其诱因进行了讨论与探究。
본문기우고표역사패탑치、이질파동풍험、고표개격화공사규모사충분조모식，이2007년7월지2011년7월호시497jK여심시678Y,고표위연구대상，이용사연비검험방법분별대상해증권시장화심수증권시장진행료령패탑형식적CAPM유효성검험。실증결과발현，이용역사패탑치분조，호시화심시균기본부합CAPM모형，단재기타분조모식하，호심량시존재불동정도적횡절면이상。차외，환진일보근거인입류동성보상인자적개진FF인소모형대호심량시일개효응、횡절면이상급기유인진행료토론여탐구。
In this paper,we examine the zero-beta CAPM theory in Shanghai and Shenzhen security market based on the likelihood ratio test with the data sample from June.2007 to June.2011 .In the test, we use four different portfolio grouping methods according to the historical βestimator, idiosyncratic volatility risk, stock price and firm size. As the result shows, both two markets mainly follow the CAPM model when using the historical β estimator stock grouping policy, but still with some extent of cross-sectional anomalies due to other grouping technologies. Furthermore, we exploit the risk premiums, anomalies and their causes based on the adjusted FF factor model adding with liquidity compensate factor.