Empirical Study of Investment Performance Based on Monthly Holding Period: The Evidence from Listed Banks in Shanghai Stock Exchange

摘要

When determining the value of a security, we must weigh the relationship between rate of return and its risk. That is, when comparing the rates of return across the securities, we must take into consideration of the corresponding risks. Although so far many models have been developed, Single-factor index model of CAPM often is viewed as the most acceptable one, and the market portfolio is viewed as the benchmark portfolio. After calculating the SML of banking and real yields of banks and comparing them with SML, we come to a conclusion whether the investment performance of banking or its securities are better than that of overall market. The article differ itself from the other studies through evaluating the investment performance based on monthly holding period.