The Capital Asset Pricing Model When The Beta Coefficient Of Degeneration

William Sharpe (1964) and Lintner (1965)respectively puts forward the reflection on the securities market securities of the relationship between the yield and its risk model, this model is called the capital asset pricing model (CAPM). Its core theory is based on the mean variance theory and capital asset markets exist under the condition of risk-free interest rate, the risk of the securities market is divided into the systemic risk and systemic risk. The author thinks through effective asset portfolio can disperse securities of systemic risk, and securities systemic risk through portfolio is difficult to avoid. This part of the hard to avoid the risk of a systemic risk coefficient, is the beta coefficient (β) of the capital asset pricing model. Investors through the analysis of beta, you can judge the size of a systemic risk securities, and investment decisions. Capital assets in the market for securities of expected return and systemic risk coefficient is linear related to beta.China’s capital asset market development faster and faster, the corresponding capital asset market risk is bigger and bigger, therefore the securities on the market for capital assets risk research is becoming more and more important. Capital asset securities in the market of systemic risk can be spread through effective portfolio, is difficult to disperse the risk of systemic risk, in beta, so the study of the risk of securities market is mainly concentrated on the beta coefficient of systemic risk research. As the beta coefficient is estimate of the future securities systemic risk, and therefore can’t accurately determine the value of beta, beta is only an estimate value. Therefore, research the change process of coefficient of systemic risk coefficient as well as to more accurately predict coefficient, reveals the behavior characteristics of the capital asset market investors, can also reveal the balance of the capital asset market. The securities in the market for capital assets pricing, the effective management of the portfolio, the risk of tradable financial assets measure has very important significance. Paper, therefore, for a period when the beta coefficient under the condition of degeneration and beta coefficient under the condition of inter-temporal degeneration are studied.In view of the present domestic and foreign research on beta coefficient of systemic risk further development, this article assumes that the price of securities in accordance with a first order Markov process, building a model of the single phase under the condition of time-varying beta, under the condition of single phase and the time-varying beta are applied to solve the model, when the beta degeneration on the basis of the forecast of beta. Selection of A share of the top 10 stocks closing price as the research object, the CSI 300 for securities portfolio, using Markov process could be divided into high risk and low stock market risk two states, for instance analysis. The research results show that the introduction of time-varying beta coefficient of the model fitting effect is superior to the classic method of capital asset pricing model.Discovery is the result of systemic risk coefficient of beta finance an important contribution, but in the capital asset pricing model, assuming that systemic risk coefficient beta is a constant, is the same, without considering the beta coefficient is variable, and a large number of empirical studies at home and abroad show that systemic risk coefficient beta is not stable, focus on the empirical test results, there are few scholars to beta coefficient under the condition of inter-temporal degeneration. Accept Sharpe classic is presented in this paper, on the basis of the capital asset pricing assumptions, and assume that the price of securities is a random process, obeying first order Markov process, assuming that investors have inter-temporal investment behavior, inter-temporal time-varying beta time-varying model is set up, and then to solve. Ten kinds of primary industry and the ShenZhen stock exchange index monthly closing price index as a sample, the price of processing, the CSI 300 to represent the portfolio, the empirical results show that the beta of the securities market industry selection in the sample interval is not stable,Markov method gives a systemic risk coefficient of beta time-varying, estimates that can better reveal the time-varying characteristics of systemic risk coefficient, and based on the mean square error (MSE) and mean absolute error compared with the traditional capital asset pricing model of beta coefficient model and time-varying beta model under the condition of inter-temporal method the comparison of advantages and disadvantages. The results showed that under the condition of inter-temporal time-varying beta model for beta estimation has better fitting effect.