Based on Mobile Platform of Shaoyang Mobile Group Customer Marketing Strategy Optimization
|Keywords||CAPM Systemic risk Validation Beta coefficient Value relevance|
The capital asset pricing model appeared in the1970s, it is one of the mostimportant basic theory of modern finance. It is mainly discussed in the securities marketrisk assets and asset correlations between expected returns and describe the equilibriumstate of market risk and asset returns. In recent years, there are more and more testsabout the validity of the capital asset pricing model in Chinese stock market, a lot of theempirical results show that doesn’t always work, it is often difficult to explain thephenomenon. And domestic scholars in the analysis of data is not the same, the analysisperiod is different, it leads to their conclusions are diverse from each other. At present,the domestic of CAPM in China stock market effectiveness research has not reached aunified conclusion.This article mainly is divided into seven parts. The first part is about the researchbackground, problem is put forward, research purpose and significance, and elaboratesthe main content and innovation points; The second part expounds the capital assetpricing model and its extended model; The third part reviews research achievementsboth at home and abroad, and their research methods and research conclusions areintroduced; The fourth part is the validity of empirical tests of the CAPM in ShanghaiStock Market; The fifth part is an empirical test of the beta value; The sixth part of thetext of conclusions; The seventh part of the CAPM model in China’s securities market isnot strong explanatory power of reason, and some suggestions to reduce the risk of thestock market system. The purpose of this study is the use of the latest data of the stockmarket, Verify the validity of the CAPM in China’s securities market, And to explorethe relationship between accounting earnings and stock returns, in order to provideguidance for the investment behavior of investors.This paper intends to expand the study interval and sample size, collected1999-2012Shanghai stock market data, the use of cross-sectional regression method, thepanel regression methods and econometric analysis means, he Capital Asset PricingModel in the value of China’s securities market effectiveness and beta-related issuessuch as a more comprehensive empirical test. Hope to make up for the lack of previousstudies, and provide a reference to the decisions of securities regulators and investors.In this paper, the cross-sectional regression: weekly closing price of the Shanghaistock market in1999-2012data, The results show that the relationship between stock returns and risk is sometimes related, sometimes negative correlation, beta coefficient isnot robust, The one hand, China’s stock market is not mature, is another example ofsystemic risk on the interpretation of the rate of return is still limited, Non-system riskplays a more important role in the stock pricing. Beta value of empirical tests found thatChina’s securities market book Market Effect and economies of scale, Return on netassets in the stock pricing plays a role, limited Beta interpretation of the yield.