Capital Asset Fixed Price Method Evolution And In Shenzhen Stock Market's Empirical Analysis

Since the birth of the capital asset pricing model, the inspection will never stop, many test shows that the stock returns of static CAPM have some problem, the change that makes people not satisfied, scholars to two direction for static CAPM improved model.The first kind is improved application returns on stocks cross-sectional data found only on systemic risk, market is also a beta value is not able to explain the returns on stocks, the capital asset pricing model of residual existing systematic deviation of main factors, so far, the company size, Market profit, ratio of cash flow and price, the yield rate, the net effect of financial indicators of five factors. The second hypothesis conditions, namely beta CAPM model and the market risk premium changes over time. Through a series of formulas derivation conditions the capital asset pricing model, and the formula of formula made inspection.Through the second hypothesis led the static CAPM model into the dynamic CAPM model, that's the condition CAPM model, the condition CAPM model has made up the static CAPM flaw, but its oneself also has this problem, the most main question is in the condition CAPM people suppose the risk asset between the income and the market risk coefficient are beforehand the linear functional relations. Therefore has a part of scholar to make the improvement to the regression function, begins using the non-senate estimate to examine the condition CAPM model.This article separately to the FF three factor capital assets pricing model, Jagannathan &Wang's three beta model and the stochastic discount factor pattern carries on the examination, the inspection capital assets pricing model in Shen Zhen Stock market whether to exist in the same account market value compared to the asset portfolio, the Small company achievement repayment is higher than the big company; In the company size same asset portfolio, Small company's risk is smaller than the big company's risk; As well as human capital factor, economic cycle to property income to be whether influential.Used the stochastic discount factor (SDF) the risk asset excess earnings and the market risk coefficient nonlinear supposition has carried on the examination to the condition capital asset fixed price model, based on this using the non-parameter estimated that has carried on the examination to the FF three factor model, discovered that also had the Small company effect in the Chinese Shenzhen stock market, and saved the estimate the deviation data, the non-parameter estimated that the method must surpass the parameter estimation method.