Study And Empirical Research On Asset Pricing Theories

For most investors, how to choose stocks and which to choose are an important problem and a difficult problem. To solve this problem, finance experts build variable theories. However, to what extent, these perfect theories can be regarded as a guide or uselessness is also a problem. And this problem also increases more and more question and attention. With the development of China stock market for about 20 years, the finance system has become more and more matured. More and more finance institutions have been built and the stock market has gained a significant promotion. So test these theories have become a focus in discussion. This paper focus on the empirical of classical theories and the main content can be concluded as follows:The main of this paper can be regarded as three parts. Firstly, this paper has made an in-depth research, introducing background of modern asset pricing theories, main models and the recent development. Secondly, this paper finds suitable empirical methods, by comparing the empirical researches made by Chinese and foreign. This paper makes test based on 85 stocks of shanghai stock market. The behavior of stock price in Shanghai stock market is examined in order to test if the relationship between risk and return fits with the CAPM theory. The CAPM research is composed of two parts: (1) Empirical test of traditional CAPM about the relationship between average return andβ; (2) Empirical cross sectional test to examine other return affecting factors. Next, this paper makes a test of APT model by the same data. In the third part of this paper, I try to find the reasons for the result of previous test. On the one hand this paper tries to find reasons by reviewing the presuppositions; on the other hand, this paper makes deep analysis from the view of behavior finance.Finally, we can come to the conclusion of this paper. Due to the reasons such as serious restriction of financial pricing theories, the immature of china stock and the irrational factor, we can not say CAPM and APT are apt to the china market.