The Application Of CAPM Research

The stock market is the allocation of resources through theprice mechanism to achieve, so the interpretation and study thebehavior of stock prices and pricing efficiency of thefinancial sector has always been one of the most interestinginvestment problems. In this paper, a modern asset pricingtheory (mainly capital asset pricing theory) as the reference,to study the behavior of the Shanghai A-share price as therepresentative of China’s stock market in stocks. China’s stockmarket history is not long, the market mechanism is not perfect,we certainly can not be directly applied in the applicabilityof the theory of the text, to study the differences betweentheory and reality can only use empirical methods. Afterobtaining empirical results, we further analyze the causes ofthe differences, and on this basis, draw basic conclusions ofthis study.Firstly, the empirical study abroad course conductedsubstantially review, while the direction of domesticliterature were summarized. Systematic exposition of thehistory and development of the model theory of empirical modelsand select gives sufficient basis. Empirical process, the first selected as the sample interval2006.6-2010.3, randomly selected from the Shanghai StockExchange24sample stocks, respectively, than thecross-sectional method BJS methods and the relationshipbetween benefits and risks, and addition relations otherfactors that affect stock returns of regression analysis.Innovation of this paper are: an article on the Shanghai StockExchange Composite Index nearly11years empirical test, geta monthly stock returns close to normal and the Chinese stockmarket has reached a weak form of effective conclusion for thefollowing capital assets pricing Model CAPM empirical basis.Second, this paper uses the latest data, the validity of CAPMin Shanghai Stock Market empirical study, a negativecorrelation of the conclusions of systemic risk and expectedreturn rate showed. This conclusion explains the stock markethappens during the economic crisis, high-risk and low return,such an analysis should be the first.