B-CAPM模型的GMM估计和检验

Abstract

Abstract: B-CAPM model, one of development of capital asset price model (CAPM), should be more suitable to varying capital market. In this paper, firstly, the transform and theoretical implications from CAPM to B-CAPM are analyzed. Then using MLE, the zero-beta expected return of B-CAPM is calculated. Finally the estimation and testing for B-CAPM are constructed empirically using GMM by an example. The conclusion shows that B-CAPM fits to measure the risk and return in security market and to test the efficiency of security market. GMM is a more suitable method.

Key words: CAPM, B-CAPM, GMM, estimation and testing

CLC Number:

ZHANG Wei-dong, GONG Jin-guo. GMM Estimation and Testing for B-CAPM Model[J]. Chinese Journal of Management Science, 2014, 22(3): 20-25.

References

[1] Sharpe W. Capital asset prices: A theory of market equilibrium under conditions of risk[J]. Journal of Finance, 1964, 19 (3): 425-442.

[2] Lintner J.The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets[J]. Review of Economics and Statistics, 1965, 47 (1): 13-37.

[3] 陈小悦, 孙爱军. CAPM 在中国股市的有效性检验[J]. 北京大学学报:哲学社会科学版, 2000, 37(4): 28-37.

[4] 陈浪南, 屈文洲:资本资产定价模型的实证研究[J]. 经济研究, 2000, (4): 26-34.

[5] 朱顺泉. 资本资产定价模型CAPM 在中国资本市场中的实证检验[J].统计与信息论坛, 2010, 8, 95-99.

[6] 李勇, 倪中新, 周影辉. 具有结构变化的资产定价模型的贝叶斯自回归条件异方差检验[J].中国管理科学, 2010, 18(2), 14-18.

[7] 陶利彬, 方兆本.对CAPM模型检验中独立同分布正态假设重要性的实证分析[J]. 数理统计与管理, 2004, 4: 58-62.

[8] Black F.Capital market equilibrium with restricted borrowing[J]. Journal of Business, 1972, 45(3): 444-454.

[9] 高金窑, 李仲飞.模型不确定性条件下的Robust 投资组合有效前沿与CAPM[J].中国管理科学, 2010, 18(6): 1-8.

[10] 约翰.坎贝尔, 安德鲁.罗, 艾.克雷格.麦金雷, 金融市场计量经济学[M] 上海:上海财经大学出版社, 2003.

[11] Gibbons M R. Multivariate tests of financial models: A new approach[J]. Journal of Financial Economics, 1982, 10(1): 3-27.

[12] Kandel S. The likelihood ratio test statistic of mean-variance efficiency without a riskless asset[J]. Journal of Financial Economics, 1984, 13(4): 575-592.

[13] Shanken J. Testing portfolio efficiency when the zero-beta rate is unknown: A note[J]. Journal of Finance 1986, 41, 269-276.

[14] Zhou Guofu. Small sample tests of portfolio efficiency[J]. Journal of Financial Economics, 1991, 30(1): 165-191.

[15] Chou Pinhuang. Alternative tests of the zero-beta CAPM[J]. Journal of Financial Research, 2000, 23(4): 469-493.

[16] Hansen L. Large sample properties of the generalized method of moments estimators[J].Econometrica, 1982, 50: 1029-1054.

[17] Fama E, French K.The cross-section of expected stock returns[J]. Journal of Finance, 1992, 47(6): 427-466.

GMM Estimation and Testing for B-CAPM Model

PDF (PC)

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 12

Metrics

Comments

Recommended 10

[1]	YIN Li-bo, WEI Ya, HAN Fu-ling. Study on Characteristics and Influence Factors of Time-varying Anomalies in China's Stock Market [J]. Chinese Journal of Management Science, 2019, 27(8): 14-25.
[2]	JI Jian-yue, ZHANG Yi, REN Wen-han. Research on the Relationship between Environmental Regulation Intensity and China's Economic Growth Rate——based on Physical Capital and Human Capital Perspective [J]. Chinese Journal of Management Science, 2019, 27(8): 57-65.
[3]	GAO Jin-yao, LI Zhong-fei. On the Robust Portfolio Frontier and CAPM under Model Uncertainty [J]. Chinese Journal of Management Science, 2010, 18(6): 1-8.
[4]	LI Yong, NI Zhong-Xin, ZHOU Ying-hui. Bayesian Testing of ARCH for CAPM with Structural Change [J]. Chinese Journal of Management Science, 2010, 18(2): 14-18.
[5]	DAI Guo-qiang, LI Liang-song. An Empirical Study on Factors Affecting Estimation Results of Term Structure of Interest Rate Model [J]. Chinese Journal of Management Science, 2010, 18(1): 9-17.
[6]	LIU Zhi-dong, CHEN Xiao-jing. Levy Tempered Stable Distributions for Financial Assets Return and Its Method of Estimation by Characteristic Function Based on GMM with a Continuum of Moment Conditions [J]. Chinese Journal of Management Science, 2009, 17(3): 18-26.
[7]	GUO Lei, WU Chong-feng. The Theoretical Explanation of CAPM Anomalies Based on Value Decomposition [J]. Chinese Journal of Management Science, 2005, (1): 14-18.
[8]	ZOU Hui-wen, TANG Bing-yong . Study of Choosing a Substitute for the Market Portfolio of Risk Assets [J]. Chinese Journal of Management Science, 2004, (5): 17-22.
[9]	LIAO Li, SHEN Chao. Using CAPM to Calculate the Cost of Capital of China’s Real Estate Industry [J]. Chinese Journal of Management Science, 2004, (4): 37-42.
[10]	YE A-zhong. Local Linear Estimation by GMM for Nonparametric Simultaneous Equation Models in Econometrics [J]. Chinese Journal of Management Science, 2003, (2): 40-44.
[11]	LIU Si-feng, ZHAO Liang, WANG Zhao-ying, LIN Yi. A New Method for Venturous Capital Pricing [J]. Chinese Journal of Management Science, 2001, (2): 22-26.
[12]	Wang Zhihua, Zhu Jiang. Capital Asset Pricing Model In Incomplete Financial Asset Markets [J]. Chinese Journal of Management Science, 1997, (1): 52-56.