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Empirical Tests on the CAPM of Shanghai Stock Market

LI He jin, LI Zhan (Management School, Shanghai Jiao Tong University, Shanghai 200030 China)  
In this paper, the empirical test of the CAPM is made in Shanghai stock for the period 1993: 1 1999:12 which included time serial regression and cross sectional regression. At the same time, the risk return relationship and character istic property of Shanghai stock have been studied. Our empirical tests show that the systematic risk is positive correlation with the expected return of security as the CAPM, the risk return relation is non linear and demand of speculation surpasses that of investment, that is to say, attention of investors in not the value of time of capital but high return with high risk.
【Fund】: “中国内地青年会计学者研究支持计划”资助
【CateGory Index】: F832.5
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