An Empirical Test Of Capital Asset Pricing Model In Shenzhen Stock Market

This article is a combination of theory and practice articles. First, the capitalasset pricing model is one of the core theory of modern finance, is the cornerstone ofall other asset pricing theories. The capital asset pricing model has been establishedfrom1952, there have been fifty or sixty years old, during these time, domesticscholars in the China also made a number of relevant empirical test, but the resultswere different. The authors recognized that it is the rapidly development of China’scapital market, in this context the need for a more comprehensive pricing theory tothe valuation of various financial products, in order to reduce errors brought frompricing mismatch of financial resources to improve efficiency in the use of capital.Therefore, the article will take a different empirical approach, using the latest data ofthe capital markets to re-examine the domestic capital market.The first part of the article will first study the background of the capital assetpricing model, and author will make a more detailed introduction to origin anddevelopment process of the capital asset pricing model. The second part of the articleis the literature review section, introducing the study result of our country and abroad,as well as lists of different empirical methods and the conclusions adopted by thescholars, in order to compare and learn previous research methods. The third part ofthe article is the capital asset pricing model, a more detailed description. Which alsoincludes the indifference curve, separation theorem, the capital market line, securitymarket line theory and so on, this chapter is the theoretical basis of the latter chapters.The fourth part of the article is empirical, that is, the practice part of the article. Thissection will take three different methods to classify the Shenzhen Stock Exchangestocks and then test and analysis for significance test results. The fifth and final part isbased on the empirical results to concluded whether capital asset pricing model isuseful for the China capital market and make some suggestions to the China capitalmarket.