B-CAPM模型的GMM估计和检验

中国管理科学 ›› 2014, Vol. 22 ›› Issue (3): 20-25.

B-CAPM模型的GMM估计和检验

张卫东, 龚金国

西南财经大学统计学院, 四川成都 610074

收稿日期:2011-10-09 修回日期:2012-08-27 出版日期:2014-03-20 发布日期:2014-03-19
作者简介:张卫东（1966- ），男（汉族），四川成都人，西南财经大学统计学院副教授，经济学博士，研究方向：统计分析方法、计量经济理论与方法.
基金资助:
中央高校基本科研业务费专项资金（JBK120405）；四川省高校人文科学重点研究基地

GMM Estimation and Testing for B-CAPM Model

ZHANG Wei-dong, GONG Jin-guo

School of Statistics, Southwestern University of Finance and Economics, Chengdu 610074, China

Received:2011-10-09 Revised:2012-08-27 Online:2014-03-20 Published:2014-03-19

摘要/Abstract

摘要： 作为资本资产定价模型（CAPM）的发展之一，B-CAPM模型更适合于复杂多变的现实资本市场。本文首先分析从CAPM到B-CAPM的模型转化及其理论含义，然后迭代求出B-CAPM模型的零贝塔期望收益的极大似然估计值（MLE），最后通过案例，实证运用GMM方法构建B-CAPM的估计和检验。结果表明，B-CAPM模型适用于证券市场收益和风险的度量以及有效性检验，GMM方法更符合实际。

关键词: CAPM模型, B-CAPM模型, GMM方法, 估计和检验

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

中图分类号:

张卫东, 龚金国. B-CAPM模型的GMM估计和检验[J]. 中国管理科学, 2014, 22(3): 20-25.

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.

参考文献

[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.