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本文以实证检验的方式,选取我国股票市场的数据,通过两阶段回归以及延伸的二元回归模型,讨论资本资产定价模型(CAPM)在中国市场的有效性。结果发现,我国1997年至2006年的数据支持了CAPM的结论。
This paper selects the data of China’s stock market by means of empirical test, and discusses the effectiveness of Capital Asset Pricing Model (CAPM) in China through two-stage regression and extended dual regression model. The results showed that the data from 1997 to 2006 in our country supported the conclusion of CAPM.