Illation Of The CAPM And Its Empirical Study In Shenzhen Stock Market

The Capital Asset Pricing Model (CAPM) has been test for heaps of times since it was set up. Many researchers in China also tried to make empirical tests of the CAPM in Chinese stock market since the 90's in the twentieth century. But results showed that the CAPM were not the same with the fact in Chinese stock market. This paper try to make an empirical test in the Shenzhen stock market to test the CAPM. After getting the dissatisfactory result, we try to extend the CAPM in two ways: in one hand, we try to release some rigorous assumptions of the CAPM and reckon that it is not only the systemic risk but also the systemic skew ness and kurtosis effect the returning expectation of investors. We try to take the systiemic skew ness and kurtosis into account and get the multi-moment CAPM. In the other hand, we suppose that there are some factors ignored by the original CAPM which effect the returns. We try to find the ignored factors and add them to the CAPM. In this way, we get the multi-factor CAPM. From the regression results of the original CAPM and the two extended CAPMs, we find that the results of the two extended CAPMs are much better than the original CAPM, particularly, the multi-factor CAPM fits the facts much nicely.