Proceedings of the 2014 International Conference on Mechatronics, Electronic, Industrial and Control Engineering

Comparison and Analysis of CAPM and BAPM Models

Authors
Xinke Ju
Corresponding Author
Xinke Ju
Available Online November 2014.
DOI
10.2991/meic-14.2014.15How to use a DOI?
Keywords
CAPM; BAPM; noise trader risk; excess returns; explanatory ability
Abstract

By means of theoretical and empirical analysis, the capital asset pricing model (CAPM) and behavior asset pricing model (BAPM) were evaluated. The time series regression and cross-sectional regression were established with the empirical data from Shenzhen and Shanghai stock markets in the last two years. Comparison of the empirical data between the last two years and the financial crisis as well as the comparison of empirical results among Shenzhen, Shanghai and Hong Kong stock markets were made. A widespread noise trader risk existed in Shanghai stock and Hongkong H shares market in the last two years, but the noise trader risk was less in Shenzhen stock market. During financial crisis, the noise trader risk also existed in Shanghai and Shenzhen stock markets. There is no obvious correlation between noise trader risk and stock returns. The explanatory ability of behavior asset pricing model for stock excess returns is better than capital asset pricing model.

Copyright
© 2014, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2014 International Conference on Mechatronics, Electronic, Industrial and Control Engineering
Series
Advances in Engineering Research
Publication Date
November 2014
ISBN
978-94-62520-42-4
ISSN
2352-5401
DOI
10.2991/meic-14.2014.15How to use a DOI?
Copyright
© 2014, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Xinke Ju
PY  - 2014/11
DA  - 2014/11
TI  - Comparison and Analysis of CAPM and BAPM Models
BT  - Proceedings of the 2014 International Conference on Mechatronics, Electronic, Industrial and Control Engineering
PB  - Atlantis Press
SP  - 62
EP  - 65
SN  - 2352-5401
UR  - https://doi.org/10.2991/meic-14.2014.15
DO  - 10.2991/meic-14.2014.15
ID  - Ju2014/11
ER  -