:

361005)

, , CAPM
B, (
)
, B

CAPM
( ) CAPM
Black
Jensen Scholes ( 1972) ,
, , BBlack
Jensen
Scholes( 1972)
CAPM Fama MacBet h( 1973) Black
Jensen Scholes( 1972)

( ) CAP M
Banz( 1981) CAPM , CAPM
, CAPM

F ama F rench( 1992)

, ( BE/ ME)

, Fama French( 1992) Fama MacBeth( 1973) ,

: ,
F ama F rench( 1992)

: B
( ) CAPM
Kot hari, Shanken Sloan( 1995) Fama French( 1992) B
, B
, Amihud, Christ ensen Mendelson( 1992)
, B
Black( 1993) , Banz( 1981)
Jagannat han McGrat t an( 1995)
*

5 6
5 6

5 6 5 6

26

2000 4

( BE/ ME) , F ama F rench( 1992)

Kothat i Shanken Sloan( 1995) , Fama F rench( 1992)
Compustat
Fama French( 1992)
Jaganathan Wang( 1993) , CAPM

CAPM
( )
, B, ,
, ,
( )
11 ( )
: ( 1)
1996 7 1 30 , ,
( 2) CAPM ,

21
, 1994 1 4 1998 12 31 ;
(
) 1

1
( ) T0: 1994 1 4 1998 12 31
( ) T2: 1994 10 14 1995 5 12

( ) T1: 1994 1 4 1994 7 29

( ) T 3: 1996 12 27 1997 5 9

31
,
, , CAPM
, CAPM
41
,
, ,
27

,
( )
T0
T 1
T2
T3

:
pit - pi( t- 1) + Dit
( i= 1, 2, , , , 100)
pi( t- 1)
Rit i t ; Pit i t ; Pi( tR it =

( 1)
1)

t- 1 ; Dit i t

, ,

( )
,
, , Rmt :
Indext - Index t- 1
Index t- 1
: Rmt m t - 1 t ; Indext m t
R mt =

; Indext - 1 m t- 1
( ) ( B)
B: Rit = Ai+ BiRmt+ eit

( 2)

: Rit i t ; Rmt t ;
Ai , Bi ; eit
( 2) , , B Bi
( )
B 10 ,
, /
0,
2R it
N
: Rpit i t ; R it i t ; N
: Rpit =

( ) ( B)
B, CAPM :
R pt - R ft= Ap + Bp ( Rmt- Rft ) + ept
: Rpt t , Rft t , Rmt t
, e pt , Ap , Bp
( ) B
B B CAPM ,
B CAPM B:
11 B B

, , ;
28

2000 4

, , B
B B
B, ,
B B
, B
Bi=

Cov( Rit , R+mt)

Var( R +mt )

Bi =

Cov( Rit , R-mt )

Var( R-mt)

: R+mt t ; R-mt t ;
R it t i
21 2( Scholes2Williams) B
C
C
2 BBi ( S& W - B) , Bi
:
b0i + b0i+ 1 + b0i- 1
1+ 2b0m+ 1
Cov( R m, t + 1. Rmt)
0
: bm+ 1 =
B( )
Var( Rmt )
Cov( Rit. Rmt)
b 0i =
B
Var( R mt )
Cov( Ri, t+ 1. Rmt )
0
b i+ 1 =
B
Var( Rmt)
Cov( Ri, t- 1. Rmt )
b 0i- 1 =
B
Var( Rmt)
C

Bi=

2( nonsynchronous trading) Bi ,

C
S& W- Bi, CAPM
( )
CAPM , B,
B CAPM ,
CAP M :
R p = C0 + C1Bp + ep

( M1)

R p = C0 + C1B + e p
M1

( M3)

Rp = C0 + C1B + ep

( M2)

Rp = C0 + C1Bs&w + ep

( M4)

M2 B

M3 B M4 s& w- B
: Rp ; Bp B; B
B; B B; Bs&w 2( Scholes2Williams) B

( ) B
100 , ( T 0
T 1
T2 T3) 100
B, , B

29

( 1)

( 2)

( 3)

01176663

01 310434

01322782

01054966

01 135744

01 471106

01468902

01225479

01 426554

01 631779

01615022

01761141

01395993

01 717365

10

01 792451

14

01566506

11 008175

17

01 953123

20

01907261

0173702

11 298986

16

11 113795

35

11053381

21

01907533

11 589796

20

11 274467

19

11199501

27

11078047

26

11 880606

13

11 43514

1134562

23

1124856

35

21 171417

11 595812

1149174

11

11419074

22

21 462227

11 756484

- 0111555

( 4)

- 01 15507

T 0 ( 1994111421998112131) 100 , B
( 1) T1T2T3 , , B
, T1 ( 19941114 ) 199417129) 100
, B( 2) T2 ( 1994110114 ) 199515112) 100
, B( 3) T3 ( 1996112127 ) 19971519) 100
, B( 4) T 0 , B
1105 ) 1135 , 71% T1 , B 1107 ) 1142
, 83% T2 , B 1130 ) 1188 ,
49% T3 , B 0179 ) 1127 , 88%
, ,
, ,
, , B
2146, , ,
, B
, (
) B
:
:
T1
T 2 T 3

Df

P2value

Df

121 65

51 34E- 06

297

198

299

199

T 2 T3

30

T1 T2

Df

P2value

191 1

21 05E- 05

T1 T3

P2value

Df

191 17

11 93E- 05

198

198

199

199

P2value

41 5

01 03495

2000 4

: F2, 297, 0105 U1170

F1, 198, 0105 U 1174

, B F
H 0 , T 1
T2 T3 , B,

( )
100 B, 10 , BP 10
, , ( 5
- 8) ,
( 5) T0 ( M1) ( )
Coefficients

T Stat

P2value

Intercept

01 005089

01 006347

01801845

01445805

R Square

01670384

X Variable 1

01 022658

01 005617

41033689

01003769

0139696

( 6)

T1 ( M3) ( )

Coefficients

T Stat

P2value

Intercept

- 01 04971

01 003448

- 1414141

5125E207

R Square

01012265

X Variable 1

- 01 00086

01 002722

- 0131518

01760693

01003905

T 1-

0105/ 2(

8) = 118595

( 7)
Intercept
X Variable 1

8) = 5132

T2 ( M4) ( )

T Stat

P2value

- 01 01402

01 004564

- 31 07149

01015313

R Square

01283939

01112766

01002831

( 8)
Coefficients
01 036671

X Variable 1

0105/ 2 ( 1,

Coefficients

01 008205

Intercept

F1-

- 01 00176

01 004607

11 781074

T3 ( M2) ( )

T Stat

01 003821

91 597251

01 002344

- 01 75226

P2value

1115E205

R Square

01066063

01473448

01006732

( 5) , B
, B T= 41033689> T 1- 0105/ 2 ( 8) = 118598,
, F = 16127065> F1- 0105/ 2 ( 1, 8) = 5132, ( Y) ( B)
2

, R = 01670384, B
( 6) , B- 0100086, T - 0131518< T 1- 0105/ 2 ( 8) = 118595,
F= 01099336< F 1- 0105/ 2( 1, 8) = 5132, R2 = 01012265, T 1 B
R f= - 0104974( T= | - 1414141| > T 1- 0105/ 2 ( 8) =
118595) , B,
, , ,
( 7) , , R2 = 01283939
31

, ( ) , / 0
, ,
, /
0,
( 9)
Intercept
X Variable 1

Coefficients

T Stat

P2value

- 21 66219592

01 225221

- 11182033

71 03531E206

R Square

01922648

01 219289

91 137617

31 86438E205

01097263

21 003785201

( 7) ( 9) , R 2 = 01922648,
, , S& W- B,
S& W- B T2
( 8) , T 3 B T1 B,
B
( )
( M1, M2, M3, M4) 48
, ( T0 ) :
T1

C0

C1

M1

- 01 005031

- 31 238869

- 01 000705

- 0151717

01 032351

01 267462

M2

01 0130879

81 62008

01 0064454

51656649

01 799988

311 99768

M3

- 01 017272

- 91 637802

- 01 003641

- 2127852

01 393556

51 191662

M4

- 01 004273

- 11 80487

- 01 001387

- 0166502

01 052385

01 442251

C0

C1

M1

- 01 018667

- 31 271631

- 0100944

- 11 8906

01 308817

31 574363

M2

01 0268162

M3

- 01 049707

M4

- 01 027782

131 847195
- 141 41413
- 41 216039

010076714

61 603342

01 844974

431 60412

- 01000858

- 01 31518

01 012265

01 099336

- 01001343

- 01 23145

01 006651

01 053567

C0

C1

M1

- 01 133032

- 13141386

010156144

11 801424

01 288581

31 245128

M2

NaN

M3

- 01 154117

- 15141165

M4

- 01 11917

- 14179695

NaN

NaN

NaN

010180349
- 01004564

21 11462

01 358544

41 471619

01 044491

01 372505

32

NaN

- 01 61033

T2

NaN

2000 4

C0

C1

M1

- 01 002119

- 21 426443

010021155

21 560881

01 450478

61 558109

010159823

71 671931

01 880344

581 85853

01 924813

981 40159

M2

01 0055008

21 4318081

M3

- 01 002839

- 11 67772

M4

- 01 002681

- 21 830596

- 0101613

- 91 91976

010026482

21 949634

01 520968

81 70034

C0

C1

M1

- 01 011651

- 31 400292

010057942

11 685942

01 262156

218424

121 011179

010183015

81 256887

01 89498

68117619

M2

01 0273613

M3

- 01 029714

- 81 28561

M4

- 01 014018

- 31 071486

- 0100487

- 11 4438

01 206708

21084565
31172225

010082047

11 781074

01 283939

C0

C1

M1

- 01 070136

- 61 544832

010336363

31 292768

01 575424

10184232

M2

NaN

NaN

M3

- 01 082447

- 91 578854

M4

- 01 073122

- 21 661852

NaN

NaN

- 01015755

- 11 81441

010359222

11 328155

NaN

NaN

01 29154

31292091

01 180663

11763995

T 3 ( M1
M2
M3
M4)

C0

C1

M1

01 0064108

119915112

- 01 000152

- 0104933

01 000304

01 002433

M2

01 0151695

612407383

01 053952

01 456226

01 250769

21 677619

21521256

01 44277

61 356734

01 0014899

M3

- 01 009757

- 31352951

- 01 004771

M4

- 01 003798

- 01943578

01 009808

01675445
- 1163634

C0

C1

M1

01 0272047

101 65402

010025263

11 385621

01 193544

11 919946

M2

01 0366713

01 066063

01 565888

M3
M4

NaN
01 0236557

91 5972513 - 01001763
NaN
51 0398885

NaN
010057226

- 01 75226
NaN
11 670342

NaN
01 258576

NaN
21 790042

, ( ) B
, B B,
, S& W- B, T3 , S& W- B B
, , , , S& WB, B
33

T1 ( ) , B B, F
, , B,
, ,
, B
T3 ( ) , B B,
1996112127 ) 19971519 , ,
B B, M1 M2 T3
,
T1
T 2
T3 , B( M1)
, ,
( M2
M3
M4) ,
,

:
11B, BB
, ,
21 B
B
B S& W- B
B B, 30% ) 50%
B , , ,
B B S& W- B
, , S& W- B
, B,
31 , ( r f < 0)
, ,
Black( 1972) CAPM B: CAP M B
CAPM

Scholes, M yron, and Joseph Williams, / Est imat ing Bet as from Non2Synch ronous Data. 0 Journal of Fi nancial Economi cs, Vol. 5( De2
cember 1977) , PP. 309- 327.
Banz, Rolf W. 1981. T he R elat ionsh ip Between Ret urn and Market Value of Common St ocks. Journal of Fi nanci al Economics 9
( March) : 3- 18.
Jagannat han, Ravi, and Ellen, R. McGrat t an. / The CAPM Debate0 , Federal Reser ve Bank of Mi nneap ol is Quarter ly Review Vol.
19, No. 4. Fall 1995, PP. 2- 17.
Fama, Eugene F. , and French, Kenneth R . 1992, / The Cross2 Sect ion of Expect ed Stock R eturns0 , J our nal of Fi nance 47(June) : 427
- 65.
Fama, Eugen e F. , and MacBet h, Jam es D. 1973, / R isk, Ret urn and Equilibrium: Empirical test s0 , J our nal of Pol it ical Economy 81
( May2June) : 607- 36.

( : ) ( : )
34