One, the theory of model of price of capital capital fund and model of price of capital fund of capital of applied value 　 (Capital Asset Pricing Model, abbreviation CAPM) it is afterwards breaths out Li Makeweici (Markowitz of Harry M · ) combine theory hind at establishing contemporary capital fund 1952, by Williams · Xia Pu (William · Sharpe) Lin Te of · of peace treaty writing (John Linter) , Jane Mawson (Jan Mossin) wait for a person to found. The model basically studies how even price is formed in security market, will seek the negotiable security that is fixed a price by the mistake in security market with this. It receives wide application in real market, one of main tools that made controller of average investor, fund and investment bank undertake negotiable securities invests. Model of price of capital capital fund is the expectation accrual that is based on venture capital on balanced foundation forecast a model, what what it makes clear is the price of reasonable risk excessive of individual negotiable securities, depend on whole to investor asset sets the venture of individual negotiable securities the contributive degree of the risk. And the venture of individual negotiable securities is formed by systematic risk and blame system risk, be not systematic risk can pass the method that invests diversification to eliminate. Consequently, what the risk of individual negotiable securities contributes to venture of whole asset combination is its systematic risk only, the bulk that contributes degree is measured with β . Namely I=cov of 　 　 β (Ri, rm, ) the opposite risk that I of the β in type of 　 of ／ σ M2 is negotiable securities I; Cov (Ri, rm) the redound that is negotiable securities I and the covariance that market negotiable securities combines redound; σ M2 is group of market negotiable securities the variance of first. The investment that model of price of capital capital fund assumes all investor apply Makeweici combines theory to search investment to combine in significant part, at this moment the accrual of negotiable securities and risk will present the linear concern that gives a kind of clarity, sexual relationship of this kind of line expresses to be: E (Rj) =RF [E (Rm) - this model of 　 of RF] β I is model of price of capital capital fund namely. The E in type (Ri) the expectation yield that leaves in balanced condition for negotiable securities I; RF is calm danger interest rate, show short-term treasury perhaps deposits money commonly interest rate; E (Rm) the expectation yield that sets for market negotiable securities. Investor can combine the estimates value and negotiable securities β of yield to estimate a value according to market negotiable securities, computation gives negotiable security the expectation yield that in the market balanced condition leaves, the expectation yield computation that falls according to this balanced condition next goes out balanced period first the price: Balanced period first price =E (period end price dividend) ／ [ERi) the real market value with 1] will active 　 and balanced period the price undertakes comparative first, if both differ, show market price case to be decided by accident, the value that decides by accident should have recursive demand. Use this, can obtain exceed regular income. The market value when reality under even price when, showing this negotiable securities is cheap negotiable securities, should buy; Contrary, real market value is like prep above even price, should sell this negotiable securities, and turn to capital other and cheap negotiable securities. Model of price of capital capital fund is the cornerstone that modern banking learns, it announced the moving rule with capital primary market, to the market practice and academic research have important sense. It is applied at all sorts of asset on capital market widely not only, with the price that will decide all sorts of asset, for example, negotiable securities how should the emission of one class market fix a price etc; In the meantime, also provided a kind of mechanism for investor, the financial capital that investor can quote to a few kinds of competition according to the systematic risk of asset undertakes choosing. Specifically, investor can decide the expectation yield that entire market sets through definitive aggregate index, calculate accordingly the β coefficient that gives the individual capital fund that can choose for investor, in the meantime, will decide calm danger yield with treasury or other and appropriate government bond. After an investor gets these information, model of price of capital capital fund offerred a kind to estimate the method of its yield to investing a project potentially for investor. When the necessary pay that asks when the investor of expectation yield prep above of some kind of asset is led, buying this kind of property is the rightest investment choice. Such, model of price of capital capital fund got applied extensively in real market. 2, the applied premise 　 of model of price of capital capital fund although model of price of capital capital fund is on capital market one kind of significant venture asset value forecasts a model, and have the characteristic of simple palpability, cause the attention of people all the time and try to apply. But the affected it suppose applicability with strict, overmuch model. The core that its assume basically is security market it is an efficient market, this is the applied premise of this model. In investing practice, investor goes after implementation the biggest gain, seek prep above is average of accrual above quota accrual, but be in theoretic, the chance that investor place gets information is equal, if investor is rational, any investor are obtained impossibly above quota accrual, can think accordingly, right now market is " efficient market " . Visible, the effectiveness of the market is to measure the symbol with whether mature, perfect market. In an efficient market, any new information are mirrorred adequately in the price, i.e. had new information, the price can change. Of the price changing can be already also can be negative, it is around wear what eigenvalue fluctuates randomly. In a completely efficient market, of the price changing is blind almost. Investor can score average gain only normally, get super profit impossibly, want to come to be special difficulty score blazing gain through negotiable securities of buying and selling. Because, when investor is seeking the opportunity that uses temporary inefficient place to bring, at the same time abate also inefficient degree. Accordingly, for the person that poor to those alertness, information is ineffective, wanting to score blazing gain is impossible almost. Of the information that reflects according to place of market price case different, efficient market branch is weak efficient market, half strong efficient market and strong efficient market. In weak efficient market, advance simply of the stock price that the stock price of reality was in the past, present a random feature. Investor cannot pass pair of stock prices to reach its to trade the statistical analysis of the quantity will gain super profit; In half strong efficient market, actual stock price mirrorred all publicity available information, the historical information that these information include to concern a company not only, company is managed and company finance affairs reports, and still include relevant macroscopical economy etc to publish practicable information. Investor passes the analysis that ceases to open letter impossibly to get super profit; In strong efficient market, the information that active stock price reflected the history adequately to get on all publicity and the inside information that still did not publish. So, investor cannot gain super profit through getting inside information. To investor, the information of any histories and inside information do not have value. All investor in the market are right of information get the reflective capacity that has height, the price of the stock can is opposite because of all investor of information mirror and make seasonable adjustment. When trading according to inside information, any investor pass other investor impossibly to gain super profit to the lag report of information. Practice considers to make clear, security market agrees suppose with half strong efficient market commonly. The efficient market that thinks normally so is to point to half strong effective. 3, the time that the security market of the requirement 　 our country to our country security market builds condition of application of model of price of capital capital fund is short, and mix at ceaseless reform perfect in, the viewpoint that arrives from collect looks, researcher points out differently, at present the security market of our country is in weak effective or blame is effective condition, investigate when does its reason have as follows. 1. A of efficient market of low 　 of degree of news be brought into the public main feature is information complete be brought into the public, each investor lest expend,all can get all valuable information, and once market information is made public, will produce an effect to negotiable securities price instantly, come out very quickly through report of negotiable securities price, price mechanism is unapt by twist. Be in our country, the issue that information exposure domain exists is very outstanding still, on one hand code is diseased, information announces, content, time technical blemish causes information to be made public in the round through normal channel hard; On the other hand, the person that a few information show liability is right practise fraud of each market main body, especially a few more current appear on the market company to make our company stock can appreciate, collude with intermediary orgnaization actually, excessive pack our company figure, even inside and outside is strung together seek hype our company stock, misdirect investor. Below this kind of circumstance, all investor are not fair land obtain actual information, and the effect that those false information had misdirect market, negotiable securities price produces serious deviate, the information wire-puller of a few through operating share price gets super profit, make information monopoly brings about market forestall. 2. Information shows the demand of not perfect 　 according to market effectiveness theory, appear on the market the company is all issue with negotiable securities, trade to should be made public in detail opportunity of state of affairs of the management that concerned information data includes historical data, company and financial standing, government, profit as far as possible, must not conceal intentionally, omit. And actually, of our country a lot of appearing on the market the company is a center with self interest, report only the good news, announce favorable to oneself news only, even some companies release false information. Still a few appear on the market the company is intended and protracted of information announce, do not publish financial report on schedule, do not announce on schedule great drop financing matter, entrust item of conduct financial transactions to wait. Such, investor is unavailable comprehensive and accurate information, make proper investment hard decision-making, bring about market loss of efficiency. 3. Investor structure is unreasonable model of price of 　 capital capital fund assumes all investor apply investment of mark dimension Ci to constitute information of theoretical analysis, processing, take same investment attitude thereby, inspect the price mechanism of negotiable securities again on this foundation. Accordingly, the scientific sex with decision-making investor and close sex are model of price of capital capital fund a premise that has stronger applicability to real market. Of investor of our country stock market forming is with the individual investor gives priority to body, orgnaization investor amount to is very few, mature orgnaization investor is fewer. The than developing under abroad greatly efficient market of orgnaization investor amount and individual investor amount. This kind of unreasonable investor structure puts in the problem of two respects: It is quality of most individual investor general and inferior, experience is scant, lack the knowledge of professional respect especially, they contain very big blindness into city, majority does short line to acclaim a spec. Because this asks the understanding with these same to anticipating the covariance between yield, standard deviation, negotiable securities has investor is clear,be not quite actual. 2 it is orgnaization investor little, make the competition between investor not quite intense, the information that lacks high level high quality develops a person with ability, because this lacks the pressure that market information develops and power, reduced the effectiveness of the market. 4. Appear on the market company equity structure is unreasonable 　 our country appears on the market the problem long-standing with company equity unreasonable structure. Concern sectional statistic, up to our country appeared on the market in March 2002 the company amounts to 1122, issue always number is amounted to three hundred and ninety-seven billion three hundred and twelve million, but its China has with legal person share aggregate amount to two hundred and fifty billion two hundred and ninety-six million, occupy total the 63 ％ of a number. The equity of this kind of serious twist writtens guarantee construction becomes two kinds of serious effects: It is state-owned cannot appear on the market with legal person share current, restricted the high fluidity of negotiable securities, lowered the competitive rate of security market; 2 it is a delegate national hold is state-owned national investment main body is not right contributive person, do not have action of adequate dynamical monitoring governor consequently, this increased the information asymmetry of security market on certain level. To raise capital capital fund price model is in our country the applicability of security market, must build the security market of an effective. For this, should notice and had solved the problem of the following respects: One of, perfect information announces a system, strengthen information to show government. Information whether in the market expedite flow is the mark with whether efficient security market, market price case reflects all information adequately only, ability reflects negotiable securities value truly. Face the problem with small efficiency of our country security market, want to perfect information to announce a system above all, from the system demand news exposure is accomplished mix publicly, effectively, in time sufficient, ensure information is announced to all public namely; Ensure the information of an exposure reflects objective fact correctly; Ensure about information fine long hair forthwith gets announcing; Ensure concerned information tries completely to announce. Additional, want to strengthen the superintendency job of information exposure, enhance superintendency strength. On one hand, the principal part that through legislative standard information discloses and news media, information serves the behavior of media; On the other hand, build financial information center of authority, release unified, comprehensive information outwards with the rapiddest rate, reduce information large family the forestall to information. Secondly, breed orgnaization investor energetically, improvement invests main body structure. Invest main body structure to settle our country security market unreasonable problem, answer to breed orgnaization investor from proceed with of the following respects: (L) develop joint fund organization actively. Joint fund is the form that combination of negotiable securities investment uses the most generally, it buys all sorts of appearing on the market with optimizing combination stock, bond or other negotiable securities undertake assorted investment, become assorted divide into equal parts a lot of units next, offer investor. The risk as a result of all sorts of negotiable securities inside joint fund -- accrual gets filtering, combination and balanced, and risk and accrual all are shared jointly by each fund member, offerred a condition to investor disperses and reduce a risk consequently, obtain the function that combines balanced earnings. (2) drive fund of provide for the aged, insurance fund to enter town. Actual strength of fund of fund of insurance fund, provide for the aged is abundant, and the characteristic that has capital stability, once invest the stock market, inevitable body reveals the characteristic that deadline of big, investment grows investment dimensions. And press at present (insurance law) regulation, the other way that the insurance cost of insurance company can use at governmental bond, finance bond, bank deposit and the State Council to appoint only; Also have similar provision to fund of provide for the aged, make the insurance of such mint and fund of provide for the aged long-term besides the gate that wanders in the stock market. Invest main body structure for improvement, be necessary to abolish afore-mentioned provisions. Thirdly, reasonable solution appears on the market definitely the equity construction issue of the company. State-owned, legal person share cannot appear on the market current, it is to cause the main reason of asymmetry of twist of contradiction of supply and demand of our country security market, interest, information, congenial be current. Solve state-owned, legal person share appears on the market current problem, communicate mechanism, improvement with perfect information the market structure, share price signal that because the spec is caused,decreases is screwy, improve the efficiency of our country security market effectively, raise model of price of capital capital fund to be in our country then the applicability of security market. Should begin to solve from the following respects for this appear on the market company equity structure is unreasonable problem: (1) handle affairs by market rule truly, solve be the same as a different price issue, make of all kinds partner stands on same scratch line, begin competition equally, with the management mechanism of normative joint-stock company. (2) build perfect country to have, the measure of form a complete set with current legal person share, and concerned code byelaw, make state-owned, legal person share appears on the market current the law can be depended on. (3) section is executed state-owned, legal person share appears on the market, in order to alleviate market pressure. 　 of 　 of bibliographical reference [1][is beautiful] Xia Pu of · of Williams · P, · of Gordon · J Alexander, geoffrey · V Bei Li. Investment learns (the 5th edition) [M] . Press of Chinese people university, 1998. [2][is beautiful] Bo Di of grow dimension · , alex Kane, allan J · Marcus. 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