The Research Of The Capital Asset Pricing Model

The CAPM is one of the most important modern finance theories. Nowadays, security market and financial investment are important parts of our country's social and economical life, so the deep research of the CAPM doubtlessly has paramount theoretical and practical significance.The CAPM has been the front since it emerged, meanwhile, there has been a lot of argument in this field. With the development of the statistics and increasing amount of data, research has been much improved in this field. As a new capital market, whether the investment risk of the Chinese stock market is as what the CAPM describes? This article is trying to research it with the data of the Shanghai stock market.To begin with, this article introduces the correlated theories of theCAPM in detail, importantly two models of modern portfolio theory------Capital Asset Pricing Model and Arbitrage Pricing Theory, meanwhile comparing these two models.Secondly, this article tests the standard CAPM with the shares which are selected from the Shanghai stock market, reaching a conclusion that the CAPM is unsuitable for current Chinese stock market, and there are factors that can't be neglected in the asset pricing process, then gives the reasons and the proposes.Finally, this text briefly introduces the application of the CAPM.