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

摘要：

关键词: 资产定价模型 , 证券市场线 , 融资限制 , 中国证券市场