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Test Of The Three Moment CAPM: Empirical Results In Shenzhen Stock Market

Posted on:2005-04-13Degree:MasterType:Thesis
Country:ChinaCandidate:F XuFull Text:PDF
GTID:2156360152968213Subject:Business Administration
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The Capital Asset Pricing Model (CAPM or SLB model) of Sharpe (1964), Lintner (1965) and Black (1972) was widely accepted because of its strict deduction and simple result, but the empirical tests of the CAPM got mixed and even reversed results, the interpretation power of to the returns of risky assets was under suspicion. Three moment CAPM releases some rigorous assumptions of the SLB model and reach a new linear pricing model. In China, previous researches focused on SLB model or the Fama-French three-factor model, and the samples were restricted to some relatively short periods. This paper is to test the three moment CAPM in the Shenzhen stock market. And to include more data, we select the weekly returns of the Share A stocks as the sample. We employ the two-period estimation method of Fama and MacBeth (1973) to compute and of every stock and fit them to 25 groups following the two-dimension classification method of Fama and French (1992). From the regression results, we find that had no significant positive correlation with returns. However, we cannot deny that in the 1/1997-6/10/2001 period had significant negative correlation with returns. We also find that the correlation between and the returns disappeared after June 11, 2001, when the holding reduction of the state owned shares was declared. At that time, the ratio of the floating stock value to all value became an important pricing factor. And this factor was still significant after the holding reduction of the state owned shares was paused.
Keywords/Search Tags:SLB model, three moment CAPM, skewness, ratio of floating value to all value
PDF Full Text Request
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