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论文作者:www.51lunwen.org论文属性:作业 Assignment登出时间:2014-06-11编辑:lzm点击率:11274
论文字数:4566论文编号:org201406111131063033语种:英语 English地区:中国价格:免费论文
关键词:Empirical Testmarket value growth rateempirical test resultscontrolling variablesgrowth rate of the company
摘要:Empirical test doesn’t offer satisfying result as for the explaining power of CAPM in the real world, especially in model 1 without controlling variables for the features of different companies, there are many reasons for this fact, and the most important ones are followings.
Empirical Test for CAPM: 500 Standard Pool data
In this paper, we test the CAPM (Capital Asset Pricing Model) with the data set of Standard Pool 500 index companies in 2006. With SPSS as the soft tool, we estimate the linear model which comes from the basic form of CAPM. Our conclusion tells that the relationships among ROE (Return of Equity), basic interest and market portfolio rate of return seems not exist in the real world, which could be concluded from the theatrical model of CAPM. However, the regression result could be improved to a great extent after some controlling variables are added to primary model, and these controlling variables include market value growth rate, asset growth rate and the debt growth rate of the company.