扁平证券市场线和融资限制*——中国股票市场的实证检验

经济理论与经济管理

扁平证券市场线和融资限制*——中国股票市场的实证检验

叶天戈1,虞康妮2,Robert FWhitelaw3#br#

1 哥伦比亚大学； 2 西藏东方财富证券； 3 纽约大学斯特恩商学院。

出版日期:2019-06-16 发布日期:2019-06-20

FLATTER SML AND MARGIN CONSTRAINT——An Empirical Test in China s Stock Market

YE Tiange1,YU Kangni2,Robert FWhitelaw3#br#

1Columbia University;2East Money Securities;3Leonard NStern School of Business,New York University

Online:2019-06-16 Published:2019-06-20

摘要/Abstract

摘要：

资本资产定价模型（CAPM)在国际金融市场的实证检验结果往往呈现扁平证券市场线现象。一些学者认为融资限制是该现象的产生原因。本文旨在研究扁平证券市场线现象是否存在于中国股市，同时分析融资限制对中国股市证券市场线的影响。本文采用投资组合分析法对A股主板市场进行实证检验。本文研究发现：（1)扁平的证券市场线现象同样存在于中国股票市场中；（2)在中国股票市场中，融资限制与证券市场线的斜率呈负相关，与截距呈正相关，这符合融资限制理论；（3)以上两点发现同样存在于多因子定价模型中，这表明本文研究结果具有稳健性。

关键词: 资产定价模型 , 证券市场线 , 融资限制 , 中国证券市场

Abstract: Many empirical test results for the CAPM reveal a Flatter Security Market Line (SML) phenomenonSome scholars believe that it is the margin constraint that cause this phenomenonThis paper intends to apply portfolio analysis to examine whether the flatter SML phenomenon exists in the China s stock marketFurther,this paper will empirically test the theory on the impacts of margin constraint on SMLThis paper has following findings as follows: First,the “flatter SML” phenomenon also exists in China s stock marketSecond,the level of margin constraint has a negative effect on the slope of the empirical SML and a positive effect on the intercept of the empirical SMLThird,after extending the asset pricing model from CAPM to multifactors model,the above two findings still exist,which showcases the robustness of the findings

Key words: asset pricing model , security market line , margin constraint , China s stock market

叶天戈1,虞康妮2,Robert FWhitelaw3. 扁平证券市场线和融资限制*——中国股票市场的实证检验[J]. 经济理论与经济管理.

YE Tiange1,YU Kangni2,Robert FWhitelaw3. FLATTER SML AND MARGIN CONSTRAINT——An Empirical Test in China s Stock Market[J]. Economic Theory and Business Management.