A Research On The Effectiveness Of Stock Capital Asset Pricing Model Under Behavioral Finance And Financial Valuation

As the stock market has grown,the number of people who want to invest their surplus for growth is also on the rise.If an investor entering the market wants to make a rational investment decision,he needs to know whether the current stock price reflects the intrinsic value of the enterprise.The important theoretical basis that can help investors to make accurate investment is the former financial pricing theory and financial valuation theory.However,in the current financial pricing theory models,we can find that most of them do not include financial accounting variables,such as the classical CAPM model,B-S model and so on.And the corresponding financial valuation theory models,such as the residual return model,the excess return model,and so on,are the lack of capital market variables.Therefore,both of these theoretical models are defective due to the omission of key variables,which cannot provide investors with an accurate information of the securities market.Therefore,it is of practical significance to establish a comprehensive stock capital asset pricing model that includes both financial accounting variables and capital market variables to help investment.This article mainly choose on April 6,2012 to June 16,2017 in Shanghai and shenzhen A-share listed companies as samples,then the price model and return rate model derived from the theoretical model are used to carry out the time series regression of the whole A-share listed companies and the time series regression and the panel data regression of different industries.The price model is mainly to prove the effectiveness of the model in this paper,while the return rate model is aim to show that there is no intercept term in the model.The final empirical results have verified the hypotheses proposed in this paper and realized the purpose of this paper.Firstly,through the results of time series regression of the price model for all A-shares,it is found that the change of intrinsic value and the change of liquidity index are positively correlated with the change of stock price,and the goodness of fit of model regression reaches 83.2%,which proves the effectiveness of the model.Then,the time series regression of the return rate model was carried out for all A-shares,and the constant term was found to be 0,indicating that the risk-free return rate term would not exist in the pricing model,which is the biggest difference from CAPM model and b-s model.The subsequent sub-industry regression of the price model and the rate ofreturn model also proved the hypothesis of this paper for many times,indicating the robustness of the model setting and the fact that there is no risk-free rate of return for the construction of the pricing model.This paper links the key factors of classical financial pricing theory,behavioral finance theory and financial valuation theory,and constructs a financial pricing model combining market factors and financial factors.This model will further enrich the existing stock capital asset pricing model and help investors price financial assets more accurately,thus driving the rapid development of the capital market.