摘要金融资产定价问题是金融学重要问题之一，也是资本资产定价模型（CAPM）及行为资产定价模型（BAPM）要解决的关键性问题。本文在总结金融资产定价文献的基础上，从理论及实证两个方面对CAPM及BAPM进行比较和分析，以期深入了解金融资产定价问题。理论方面，分析研究了CAPM及BAPM的理论基础、假设前提及理论公式的阐述等。实证方面，以近两年深市和沪市的数据为主要观察对象，进行时间序列上和横截面上的线性回归，辅之以金融危机期间两年沪深两市及近两年香港H股市的实证结果作对照。研究结果表明：近两年，我国沪市、香港H股市广泛存在噪声交易者风险NTR，而深市噪声交易者风险小；金融危机期间沪深两市普遍存在噪声交易者风险。噪声交易者风险与股票超额收益率之间的相关性并不明确。同等条件下，BAPM模型对股票超额收益率的解释能力比CAPM模型略强。63978

关键词  CAPM  BAPM  金融资产定价 噪声交易者风险 超额收益率

毕业论文 外 文 摘 要

Title    Comparison and Analysis of CAPM and BAPM                     

Abstract One of the important issues of finance is the financial asset pricing problem. It is also a key issue for the capital asset pricing model (CAPM) and behavior asset pricing model (BAPM). Comparison and analysis of CAPM and BAPM were made for understanding the financial asset pricing problem. Reviews and summarizations concerning CAPM and BAPM were presented. CAPM and BAPM were analyzed from two aspects: theory and empirical analysis. The theoretical background, premise for assumptions and formula of the two models were discussed and evaluated. By using empirical data of Shenzhen and Shanghai stock markets in the last two years, the time series linear regression and cross section linear regression were established. Comparison between the empirical data in last two years and the empirical results during financial crisis of Hong Kong stock market were performed. Conclusions can be drawn as following: Firstly, in the last two years, a widespread noise trader risk existed in Shanghai stock market and H shares market, but the noise trader risk was less in Shenzhen stock market. During the financial crisis, the noise trader risk also existed in Shanghai and Shenzhen stock markets. Secondly, the correlation between noise trader risk and stock returns is not yet clear. Finally, explanatory ability of BAPM model for stock yields is better than that of CAPM model.

Keywords  CAPM   BAPM   Financial Asset Pricing   Noise Trader Risk   Abnormal Returns

1 引言                                                             1

2 文献回顾                                                         2

2.1 资本资产定价模型的产生与发展                                   2

2.2 行为金融视角下行为资产定价模型研究                             4

3 CAPM与BAPM的定性比较                                             5

3.1 CAPM及BAPM的理论基础                                           5