基于模糊收益率的CAPM实证检验

摘要

首先引入模糊收益率的概念,讨论了基于模糊线性回归模型的资本资产定价模型(CAPM)变化形式.作为应用,随机选取上海证券交易所的一支股票,安徽合力(600761),统计该股票在2009年1月1日至2010年12月31日的周收益率以及同期的市场周收益率,共102个数据,对所取得的数据进行模糊化和平移处理,求出其模糊回归方程.利用2011年的数据对回归方程进行检验,结果显示回归方程的拟合效果符合实际,CAPM在单支股票上是可行的,可用于指导实际的投资操作.%This paper first introduced the concept of fuzzy rate of return, discussed the Capital Asset Pricing Model (CAPM) change form based on fuzzy linear regression model. As application, the author randomly selected the stock Anhui Heli (600761) in the Shanghai stock exchange, and then statistics this stock's weekly return and the market weekly return in January 1, 2009, to December 31, 2010. On the data obtained fuzzification and translation, it found out the fuzzy regression equation. Using the data in 2011 inspection of the regression equation, and the results showed that the fitting results of regression equations were in accord with actual, single stock CAPM made was feasible and could be used to guide the actual investment operation.