Application Of CAPM Based On Chinese SME Board

Since its establishment in June 2004, the main purpose of SME board has been to support the SMEs and the growth enterprises. SME board has long played an important role in China’s capital market. In comparison, the motherboard market services for the relatively mature enterprises which are on a certain dominant position in the national economy, while SME board, which is listed in loose conditions, is suit for SMEs and growth enterprises. At present, domestic researches on the application of the CAPM in SME board are far from satisfied. By studying the theory of Western Asset Pricing, a certain SME board which is suitable for our scientific pricing theory would come out and the risk factors and pricing mechanisms that impact the SME board in our country could be identified. In this way, rational investors could get the scientific investment decisions, which is of great significance for promoting China’s healthy development of capital markets both theoretically and practically.So how about the applicability of the CAPM in the SME board market? This thesis selected the monthly yield data of 63 listed companies in the SME board, for a total of 36 months from January 2011 to December 2014, for the study of the application of this issue.This thesis systematically describes the development process, the theoretical models and relative theories of CAPM. And the empirical analysis and researches from domestic and foreign scholars are summarized in this thesis. The focus in this thesis is the CAPM model.In the empirical analysis, two methods---- the BJS and FM test method are applied respectively to study the applicability of the CAPM and to apprise the relation of benefits and risks, and to find out whether there are other factors or not that impact stock earnings. It was found out that there is a linear relationship between the expected rate of single stock and risk, but the goodness of fitting of the standard CAPM model is quite poor.in addition to systemic risk, there are other factors that affect the stock of non-system benefits in SME board, which indicates that the applicability of CAPM model is not suit to the SME board market。 And the basic conclusions of CAPM market in small plates are not empirical support.