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42 (522) 2012

336.76

capm*

. . ,
,


-mail: ecolena@mail. ru


( - )
. . ,


-mail: aplaksa@mail. ru

.

,
: CAPM . - -
( ()
) ()
. - .

-
CAPM
. , -
[1, 2, 3].
, CAPM.
: , [5, 13,
CAPM, . 14, 15, 16]. CAPM -
.
, --
,
- . -
,
* Capital Asset Pricing Model, CAPM (. . - BE/ME (Book equity/Market Equity .
) . / -
,
.
)

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42 (522) 2012

, ,
BE/ME [8, 9, 10, 11, 12].
, ,
. i ,
, si hi .
BE/ME -
- , si
(, -). hi .
, i -
. .
-
. ,
, CAPM.
[6, 7], - :
. (size);
() / (earning/
, 1993. price);
. / (cash
. flow/price);
[8, 9, 10]: -
E (Ri) = Rf + [E (Rm) Rf] i + siE (SMB) + (book-to-market equity);
+ hiE (HML) + i, (past sales
E(Ri) i- - growth);
;
Rf ; (long-term and
E(Rm) - short-term past return).
;
i i-
-
; .
si i- -
: CAPM
; .
E(SMB)
; ,
hi i- (. 1). -

;
E(HML) 01.01.2009 31.12.2011 [18]. -
; -
i . [17]. -
SMB- - Econometric Views 4- (Eviews 4.0).
( ),
HML-
. , S t.
t, IV
SMB, -
. - . ,
-
HML, . [8, 9, 10].

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42 (522) 2012

1 :
, SMB = 1/3 (SH + SM + SL) 1/3 (BH + BM + BL).
/
HML -
1 AFLT
2 HYDR /
3 IRAO [8, 9, 10]:
4 LKOH
HML = 1/2 (SH + BH) 1/2 (SL + BL).
5 MGNT
6 MRKH
,
7 MSNG , -
8 MTLR -
9 MTSS ARCH,
10 NVTK -
11 OGKA -1 . (
12 OGKB -2 )
13 OGKE -5, ( 1
14 PIKK
) ,
15 RTKM
16 RTKMP
, .
17 SBER GARCH
18 SBERP , * ARCH- , -
19 TATN . .. ,
20 TATNP . .. , [4].
21 URKA
* . GARCH (p, q) -
:
BE/ME - q p
: t2 = + i t2i + i t2i ,
, IV i =1 i =1

t / L; p -
/ ; , -
/ . ;
L t, i ,
-
33% (GARCH-
. , - ).
66% , GARCH (p, q) -
[8, 9,10]. ARCH
(q) -. ,
(. ). , i, j .
GARCH- .
p = 1 q = 1: GARCH (1,1).
H M L GARCH
S SH SM SL (1,1) :
B BH BM BL t2 = + t21 + t21 ,
t21
SMB t1.
-
(SH, SM, SL) - GARCH (1,1) -

(BH, BM, BL) [8, 9,10]. t2 = + t21 + t21 + 2SMB ,t 1 + 2HML ,t 1 ,

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42 (522) 2012

2SMB ,t 1 SMB; GARCH-


2HML ,t 1 HML.
CAPM - , 1.
(. 2).
, - , t. -
1
: .
E (Ri) Rf=1,08 [E (Rm) Rf] + 0,53E (SMB) + (
+ 0,17E (HML) i + 0,0002; (1) )
t2 = 0,0000001 + 0,14t21 + 0,93t21 .
-
0,001 2SMB ,t 1 + 0,03 2HML ,t 1 . (2) .
(1) R2 = 0,95 > 0,7,
(2) : ,
-, I . -
0,0002%; R2
-, 20092011. , 95%
1% - .
- :
1,08%; Prob (F-statistic) = 0,004 < 0,05, -
-, - H0 .
1% - CAPM
:
0,53%; E (Ri) Rf = 1,29 [E (Rm) Rf] + 0,00002; (3)
-, BE/ME -
t2 = 0,0000005 0, 21t21 + 0,95t21 . (4)

(3)

(4) :
0,17%.
-, I
2
0,00002%;

-, 20092011.
CAPM
1% -
CAPM

-
0,0000237 0,000171 1,29%.
(0,9483) (0,3418) GARCH-
1,291606 1,084278
(0,0000) (0,0000) , 1.
s 0,529358
(0,0011)
, t. -
h 0,173607
(0,4716)
1
.
0,0000005 0,0000001 -
(0,6445) (0,9453) .
0,214566 0,143536 R2 = 0,65 < 0,7,
(0,6193) (0,9369) ,
0,947289 0,931244
.
(0,0000) (0,0000)
0,001496
R2 ,
(0,9994) 65%
0,025419 .
(0,9602) :
. z- . Prob (F-statistic) = 0,005 < 0,05. , -

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42 (522) 2012

H0 . ,
SMB
. . -
. 3. , z-
. HML -
- ;
R2 (R2 = 0,95) CAPM ,
(R2 = 0,65), , 95% ,
, -
. .
,
. z- , -
6 HML, SM
. 2. - , .
HML .
. - , - -
, z- R2 , SM. ,
, ,
(. 4). , -
. 4, .
, : -
, , SMB,
, - 4 6 .
3



R2
F- (Prob.. < 0,05) ARCH LM- (Prob > 0,05) Jarque-Bera (rob > 0,05)
0,95 0,004 0,619 0,584
CAPM 0,65 0,005 0,676 0,543

4
, z- R2*
-
a b s h R2
R2
BH 0,000927 1,137463 0,152497 0,499211 0,906193 0,793624
(2,725178) (10,01982) (0,661261) (2,238877)
BM 0,000609 0,741953 0,573129 0,170290 0,911342 0,804951
(-1,571149) (4,878779) (1,909320) (-0,499101)
BL 0,000873 1,155455 0,332255 0,484486 0,920638 0,883404
(1,228963) (5,153285) (0,77562) (1,726923)
SH 0,000053 1,003432 0,969199 0,157973 0,892024 0,762452
(0,130727) (6,605291) (4,345674) (0,494043)
SM 0,764363 0,764363 0,947806 0,236634 0,876286 0,746061
(2,798959) (5,565024) (6,102685) (1,138537)
SL 0,000293 1,186772 0,921047 0,503759 0,929487 0,844871
(0,523526) (6,249563) (2,993721) (1,496459)
* (z- ), R2, R2 , -
: Rp Rf = a + b (Rm Rf) + s SMB + h HML + .

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42 (522) 2012

BE/ME - -
6 . 1,15%;
, -, -
1% -
.
- 0,33%;
, - -,
.
,
. 0,48%.
- -
(. 5). . , GARCH-
R2,
, - , 1.
GARCH (1,1)
. , t. -
- 1
.
JarqueBera. (
- )
. .

6 BL SL:
SL, : , E (Ri) Rf = 1,1867 [E (Rm) Rf] +
, . + 0,9210E (SMB) 0,5037E (HML) i + 0,0003; (7)
- t2 = 0,0000002 0,15t21 + 0,91t21
BL -
0,07 2SMB ,t 1 + 0,05 2HML ,t 1 . (8)
:
(7)
E (Ri) Rf = 1,15 [E (Rm) Rf] 0,33E (SMB)
(8) :
0,48E (HML) i + 0,0008; (5)
2 2 2
-, I
t = 0,0000004 0,34t 1 + 0,92t 1 0,0003%;
0,38 2SMB ,t 1 + 0, 26 2HML ,t 1 . (6) -, 20092011.
(5) 1% -
(6) : -
-, I 1,18%;
0,0008%; -, -
-, 20092011. 1% -
1% -
0,92%;
5 -,
-

-
R2 F- ,% 0,50%.
BH 0,91 8,05 18,06
BM 0,91 8,56 8,30 (
BL 0,92 3,56 28,74
).
SH 0,89 6,88 18,15
SM 0,88 5,90 19,29
, -
SL 0,93 10,98 26,96 -

47
42 (522) 2012

BE/ME. , 6. Daniel K., Titman S., Evidence on the


HML Characteristics of Cross Sectional Variation in Stock
. Returns // The Journal of Finance 56. 1997. 1.
CAPM - 7. Daniel K., Titman S. Wei, Explaining the
, Cross-Section of Stock Returns in Japan: Factors or
Characteristics? // The Journal of Finance 56. 2003.
. 2.
8. Fama E., French K.R. The Cross-Section of
, - Expected Stock Returns // Journal of Finance. 1992.
. 6.
9. Fama E., French K.R. Common Risk Factors in
: SL BL, : The Returns on Stocks and Bonds // Journal of Financial
; Economics 33. 1993. 1.
; 10. F a m a E . , F re n c h K . R . , D a v i s J . L .
. Characteristics, Covariances, and Average Returns:
, 1929 to 1997 // The Journal of Finance 55. 2000. 1.
11. Hamza O., Kortas M., LHer J.F., Roberge M.,
. , Bekaert G., Harvey C. Research in Emerging Markets
- Finance: Looking for the Future // Emerging Markets
, Review. 2002. 3.
. 12. Homsud N., Wasunsakul J., Phuangnark S.,
Joongpong J. A Study of Fama and French Three
Factors Model and Capital Asset Pricing Model in the
1. .. : Stock Exchange of Thailand // International Research
. .: . 2008. Journal of Finance and Economics. 2009.
2. : 13. Korczak P., Bohl M. Empirical Evidence on
22.04.1996 39-. Cross-Listed Stocks of Central and Eastern European
3. - Companies // Emerging Markets Review. 2005. 6.
, 14. Markowitz H. Portfolio Selection // The
: Journal of Finance. 1952 7.
25.02.1999 39-. 15. Strong R. Portfolio construction, management
4. .., .. and protection. 5 edn. Cengage Learning. 2009.
16. Verbeek M. A Guide to Modern Econometrics.
// . 2009. 2. Wiley and Sons. 2002.
5. ., ., . - 17. URL: http://www. cbr. ru.
: . . .: -. 2004. 18. URL: http://www. finam. ru.



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