Effectiveness Analysis of Capital Asset Pricing Model Based on Industry Data

Yiyi Huang ()
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Yiyi Huang: Xiamen University Tan Kah Kee College, School of Accounting and Finance

A chapter in Proceedings of the 2023 International Conference on Economic Management, Financial Innovation and Public Service (EMFIPS 2023), 2024, pp 702-711 from Springer

Abstract: Abstract Capital asset pricing model is an economic model that has been used to study and solve asset pricing problems in financial theory in recent decades. This model has become the basic model of investment pricing because of its wide applicability and practical value. However, due to the limitations and limitations of the model itself, it continues to be challenged by various practical tests. This paper takes China's real estate industry as the research object, selects ten companies in the real estate sector of the A-share market, and uses single-factor cross-sectional regression and multi-factor cross-sectional regression to verify the effectiveness of the capital asset pricing model. The results show that the CAPM model is not applicable to China's real estate industry. This may be caused by the low degree of information disclosure, the irrational structure of investors, and the irrational equity structure of listed companies.

Keywords: Effectiveness analysis; Capital Asset Pricing Model; CAPM; industry data (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-441-9_60

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DOI: 10.2991/978-94-6463-441-9_60

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