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本文主要介绍一种检验投资组合β系数和收益率关系的新方法——Pettengill[1]等人于1995年提出的条件检验法,并以上海股票市场的数据为基础,分别采用传统检验方法和条件检验法进行了实证检验。我们的实证结果表明:条件检验法可以消除传统检验方法的弊端,发现资产组合的β系数和收益率之间的确存在显著的相关关系,从而为投资组合管理人员利用由历史收益数据估计出的β值作为风险度量的做法提供了支持。
This article mainly introduces a new method to test the relationship between the β coefficient and the return rate of the portfolio - the conditional test method proposed by Pettitill [1] et al. In 1995 and based on the data of the Shanghai stock market, using traditional test methods and The condition test method is tested empirically. Our empirical results show that the conditional test method can eliminate the drawbacks of the traditional test methods and find that there is a significant correlation between the β coefficient and the return rate of the asset portfolio so that the portfolio managers can make use of the β estimated by the historical return data The value provided support as a measure of risk.