id sid tid token lemma pos fbem-28644 1 1 frontiers frontier NOUN fbem-28644 1 2 in in ADP fbem-28644 1 3 business business NOUN fbem-28644 1 4 , , PUNCT fbem-28644 1 5 economics economic NOUN fbem-28644 1 6 and and CCONJ fbem-28644 1 7 management management NOUN fbem-28644 1 8 issn issn PROPN fbem-28644 1 9 : : PUNCT fbem-28644 1 10 2766 2766 NUM fbem-28644 1 11 - - PUNCT fbem-28644 1 12 824x 824x NUM fbem-28644 1 13 | | ADJ fbem-28644 1 14 vol vol NOUN fbem-28644 1 15 . . PROPN fbem-28644 1 16 17 17 NUM fbem-28644 1 17 , , PUNCT fbem-28644 1 18 no no INTJ fbem-28644 1 19 . . NOUN fbem-28644 1 20 3 3 NUM fbem-28644 1 21 , , PUNCT fbem-28644 1 22 2024 2024 NUM fbem-28644 1 23 399 399 NUM fbem-28644 1 24 empirical empirical ADJ fbem-28644 1 25 test test NOUN fbem-28644 1 26 and and CCONJ fbem-28644 1 27 analysis analysis NOUN fbem-28644 1 28 of of ADP fbem-28644 1 29 capital capital NOUN fbem-28644 1 30 asset asset NOUN fbem-28644 1 31 pricing pricing NOUN fbem-28644 1 32 model model NOUN fbem-28644 1 33 ( ( PUNCT fbem-28644 1 34 capm capm PROPN fbem-28644 1 35 ) ) PUNCT fbem-28644 1 36 in in ADP fbem-28644 1 37 china china PROPN fbem-28644 1 38 's 's PART fbem-28644 1 39 capital capital NOUN fbem-28644 1 40 market market NOUN fbem-28644 1 41 jiahui jiahui PROPN fbem-28644 1 42 zhang zhang PROPN fbem-28644 1 43 * * PUNCT fbem-28644 1 44 school school NOUN fbem-28644 1 45 of of ADP fbem-28644 1 46 management management NOUN fbem-28644 1 47 and and CCONJ fbem-28644 1 48 economics economic NOUN fbem-28644 1 49 , , PUNCT fbem-28644 1 50 the the DET fbem-28644 1 51 chinese chinese ADJ fbem-28644 1 52 university university PROPN fbem-28644 1 53 of of ADP fbem-28644 1 54 hong hong PROPN fbem-28644 1 55 kong kong PROPN fbem-28644 1 56 , , PUNCT fbem-28644 1 57 shenzhen shenzhen PROPN fbem-28644 1 58 , , PUNCT fbem-28644 1 59 guangdong guangdong PROPN fbem-28644 1 60 , , PUNCT fbem-28644 1 61 518100 518100 NUM fbem-28644 1 62 , , PUNCT fbem-28644 1 63 china china PROPN fbem-28644 1 64 * * PUNCT fbem-28644 1 65 corresponding correspond VERB fbem-28644 1 66 author author NOUN fbem-28644 1 67 : : PUNCT fbem-28644 1 68 jiahui jiahui PROPN fbem-28644 1 69 zhang zhang PROPN fbem-28644 1 70 ( ( PUNCT fbem-28644 1 71 email email NOUN fbem-28644 1 72 : : PUNCT fbem-28644 1 73 jiahuizhang1@link.cuhk.edu.cn jiahuizhang1@link.cuhk.edu.cn NUM fbem-28644 1 74 ) ) PUNCT fbem-28644 1 75 abstract abstract NOUN fbem-28644 1 76 : : PUNCT fbem-28644 1 77 based base VERB fbem-28644 1 78 on on ADP fbem-28644 1 79 the the DET fbem-28644 1 80 obtained obtain VERB fbem-28644 1 81 data datum NOUN fbem-28644 1 82 of of ADP fbem-28644 1 83 80 80 NUM fbem-28644 1 84 stocks stock NOUN fbem-28644 1 85 in in ADP fbem-28644 1 86 shanghai shanghai PROPN fbem-28644 1 87 a a PROPN fbem-28644 1 88 - - PUNCT fbem-28644 1 89 shares share NOUN fbem-28644 1 90 from from ADP fbem-28644 1 91 august august PROPN fbem-28644 1 92 5 5 NUM fbem-28644 1 93 , , PUNCT fbem-28644 1 94 2016 2016 NUM fbem-28644 1 95 to to ADP fbem-28644 1 96 august august PROPN fbem-28644 1 97 4 4 NUM fbem-28644 1 98 , , PUNCT fbem-28644 1 99 2019 2019 NUM fbem-28644 1 100 , , PUNCT fbem-28644 1 101 this this DET fbem-28644 1 102 paper paper NOUN fbem-28644 1 103 empirically empirically ADV fbem-28644 1 104 tests test VERB fbem-28644 1 105 the the DET fbem-28644 1 106 applicability applicability NOUN fbem-28644 1 107 of of ADP fbem-28644 1 108 the the DET fbem-28644 1 109 capital capital NOUN fbem-28644 1 110 asset asset NOUN fbem-28644 1 111 pricing pricing NOUN fbem-28644 1 112 model model NOUN fbem-28644 1 113 ( ( PUNCT fbem-28644 1 114 capm capm PROPN fbem-28644 1 115 ) ) PUNCT fbem-28644 1 116 in in ADP fbem-28644 1 117 china china PROPN fbem-28644 1 118 's 's PART fbem-28644 1 119 capital capital NOUN fbem-28644 1 120 market market NOUN fbem-28644 1 121 . . PUNCT fbem-28644 2 1 through through ADP fbem-28644 2 2 regression regression NOUN fbem-28644 2 3 analysis analysis NOUN fbem-28644 2 4 and and CCONJ fbem-28644 2 5 time time NOUN fbem-28644 2 6 series series PROPN fbem-28644 2 7 analysis analysis NOUN fbem-28644 2 8 , , PUNCT fbem-28644 2 9 the the DET fbem-28644 2 10 association association NOUN fbem-28644 2 11 between between ADP fbem-28644 2 12 systematic systematic ADJ fbem-28644 2 13 risk risk NOUN fbem-28644 2 14 ( ( PUNCT fbem-28644 2 15 beta beta ADJ fbem-28644 2 16 coefficient coefficient NOUN fbem-28644 2 17 ) ) PUNCT fbem-28644 2 18 and and CCONJ fbem-28644 2 19 stock stock NOUN fbem-28644 2 20 returns return NOUN fbem-28644 2 21 , , PUNCT fbem-28644 2 22 as as ADV fbem-28644 2 23 well well ADV fbem-28644 2 24 as as ADP fbem-28644 2 25 the the DET fbem-28644 2 26 impact impact NOUN fbem-28644 2 27 of of ADP fbem-28644 2 28 non non ADJ fbem-28644 2 29 - - ADJ fbem-28644 2 30 systematic systematic ADJ fbem-28644 2 31 risk risk NOUN fbem-28644 2 32 on on ADP fbem-28644 2 33 stock stock NOUN fbem-28644 2 34 returns return NOUN fbem-28644 2 35 , , PUNCT fbem-28644 2 36 are be AUX fbem-28644 2 37 studied study VERB fbem-28644 2 38 . . PUNCT fbem-28644 3 1 the the DET fbem-28644 3 2 results result NOUN fbem-28644 3 3 show show VERB fbem-28644 3 4 that that SCONJ fbem-28644 3 5 from from ADP fbem-28644 3 6 august august PROPN fbem-28644 3 7 5 5 NUM fbem-28644 3 8 , , PUNCT fbem-28644 3 9 2016 2016 NUM fbem-28644 3 10 to to ADP fbem-28644 3 11 august august PROPN fbem-28644 3 12 4 4 NUM fbem-28644 3 13 , , PUNCT fbem-28644 3 14 2019 2019 NUM fbem-28644 3 15 , , PUNCT fbem-28644 3 16 the the DET fbem-28644 3 17 beta beta ADJ fbem-28644 3 18 coefficient coefficient NOUN fbem-28644 3 19 is be AUX fbem-28644 3 20 significantly significantly ADV fbem-28644 3 21 positively positively ADV fbem-28644 3 22 related relate VERB fbem-28644 3 23 to to ADP fbem-28644 3 24 the the DET fbem-28644 3 25 excess excess ADJ fbem-28644 3 26 return return NOUN fbem-28644 3 27 of of ADP fbem-28644 3 28 stocks stock NOUN fbem-28644 3 29 , , PUNCT fbem-28644 3 30 but but CCONJ fbem-28644 3 31 non non ADJ fbem-28644 3 32 - - ADJ fbem-28644 3 33 systematic systematic ADJ fbem-28644 3 34 risk risk NOUN fbem-28644 3 35 has have VERB fbem-28644 3 36 no no DET fbem-28644 3 37 significant significant ADJ fbem-28644 3 38 impact impact NOUN fbem-28644 3 39 on on ADP fbem-28644 3 40 stock stock NOUN fbem-28644 3 41 returns return NOUN fbem-28644 3 42 , , PUNCT fbem-28644 3 43 which which PRON fbem-28644 3 44 is be AUX fbem-28644 3 45 consistent consistent ADJ fbem-28644 3 46 with with ADP fbem-28644 3 47 the the DET fbem-28644 3 48 core core NOUN fbem-28644 3 49 assumptions assumption NOUN fbem-28644 3 50 of of ADP fbem-28644 3 51 capm capm PROPN fbem-28644 3 52 . . PUNCT fbem-28644 4 1 nevertheless nevertheless ADV fbem-28644 4 2 , , PUNCT fbem-28644 4 3 the the DET fbem-28644 4 4 explanatory explanatory ADJ fbem-28644 4 5 power power NOUN fbem-28644 4 6 of of ADP fbem-28644 4 7 capm capm PROPN fbem-28644 4 8 is be AUX fbem-28644 4 9 weakened weaken VERB fbem-28644 4 10 during during ADP fbem-28644 4 11 periods period NOUN fbem-28644 4 12 of of ADP fbem-28644 4 13 high high ADJ fbem-28644 4 14 market market NOUN fbem-28644 4 15 volatility volatility NOUN fbem-28644 4 16 , , PUNCT fbem-28644 4 17 reflecting reflect VERB fbem-28644 4 18 the the DET fbem-28644 4 19 uniqueness uniqueness NOUN fbem-28644 4 20 of of ADP fbem-28644 4 21 china china PROPN fbem-28644 4 22 's 's PART fbem-28644 4 23 capital capital NOUN fbem-28644 4 24 market market NOUN fbem-28644 4 25 . . PUNCT fbem-28644 5 1 keywords keyword NOUN fbem-28644 5 2 : : PUNCT fbem-28644 5 3 capital capital NOUN fbem-28644 5 4 asset asset NOUN fbem-28644 5 5 pricing pricing NOUN fbem-28644 5 6 model model NOUN fbem-28644 5 7 ( ( PUNCT fbem-28644 5 8 capm capm PROPN fbem-28644 5 9 ) ) PUNCT fbem-28644 5 10 , , PUNCT fbem-28644 5 11 weekly weekly ADJ fbem-28644 5 12 return return NOUN fbem-28644 5 13 , , PUNCT fbem-28644 5 14 excess excess ADJ fbem-28644 5 15 return return NOUN fbem-28644 5 16 , , PUNCT fbem-28644 5 17 systematic systematic ADJ fbem-28644 5 18 risk risk NOUN fbem-28644 5 19 ( ( PUNCT fbem-28644 5 20 beta beta ADJ fbem-28644 5 21 coefficient coefficient NOUN fbem-28644 5 22 ) ) PUNCT fbem-28644 5 23 . . PUNCT fbem-28644 6 1 1 1 X fbem-28644 6 2 . . X fbem-28644 6 3 introduction introduction NOUN fbem-28644 6 4 since since SCONJ fbem-28644 6 5 the the DET fbem-28644 6 6 capital capital NOUN fbem-28644 6 7 asset asset NOUN fbem-28644 6 8 pricing pricing NOUN fbem-28644 6 9 model model NOUN fbem-28644 6 10 ( ( PUNCT fbem-28644 6 11 capm capm PROPN fbem-28644 6 12 ) ) PUNCT fbem-28644 6 13 was be AUX fbem-28644 6 14 put put VERB fbem-28644 6 15 forward forward ADV fbem-28644 6 16 by by ADP fbem-28644 6 17 sharpe sharpe PROPN fbem-28644 6 18 and and CCONJ fbem-28644 6 19 lintner lintner VERB fbem-28644 6 20 in in ADP fbem-28644 6 21 the the DET fbem-28644 6 22 1960s 1960 NOUN fbem-28644 6 23 , , PUNCT fbem-28644 6 24 it it PRON fbem-28644 6 25 has have AUX fbem-28644 6 26 been be AUX fbem-28644 6 27 the the DET fbem-28644 6 28 core core NOUN fbem-28644 6 29 theory theory NOUN fbem-28644 6 30 in in ADP fbem-28644 6 31 modern modern ADJ fbem-28644 6 32 finance finance NOUN fbem-28644 6 33 for for ADP fbem-28644 6 34 studying study VERB fbem-28644 6 35 the the DET fbem-28644 6 36 relationship relationship NOUN fbem-28644 6 37 between between ADP fbem-28644 6 38 securities security NOUN fbem-28644 6 39 market market NOUN fbem-28644 6 40 pricing pricing NOUN fbem-28644 6 41 and and CCONJ fbem-28644 6 42 risk risk NOUN fbem-28644 6 43 . . PUNCT fbem-28644 7 1 capm capm NOUN fbem-28644 7 2 links link VERB fbem-28644 7 3 the the DET fbem-28644 7 4 expected expect VERB fbem-28644 7 5 return return NOUN fbem-28644 7 6 of of ADP fbem-28644 7 7 an an DET fbem-28644 7 8 asset asset NOUN fbem-28644 7 9 with with ADP fbem-28644 7 10 its its PRON fbem-28644 7 11 systematic systematic ADJ fbem-28644 7 12 risk risk NOUN fbem-28644 7 13 ( ( PUNCT fbem-28644 7 14 i.e. i.e. X fbem-28644 7 15 , , PUNCT fbem-28644 7 16 beta beta ADJ fbem-28644 7 17 coefficient coefficient NOUN fbem-28644 7 18 ) ) PUNCT fbem-28644 7 19 through through ADP fbem-28644 7 20 a a DET fbem-28644 7 21 simple simple ADJ fbem-28644 7 22 linear linear NOUN fbem-28644 7 23 relationship relationship NOUN fbem-28644 7 24 formula formula NOUN fbem-28644 7 25 . . PUNCT fbem-28644 8 1 in in ADP fbem-28644 8 2 theory theory NOUN fbem-28644 8 3 , , PUNCT fbem-28644 8 4 it it PRON fbem-28644 8 5 indicates indicate VERB fbem-28644 8 6 the the PRON fbem-28644 8 7 higher high ADJ fbem-28644 8 8 the the DET fbem-28644 8 9 beta beta NOUN fbem-28644 8 10 value value NOUN fbem-28644 8 11 , , PUNCT fbem-28644 8 12 the the PRON fbem-28644 8 13 greater great ADJ fbem-28644 8 14 the the DET fbem-28644 8 15 systematic systematic ADJ fbem-28644 8 16 risk risk NOUN fbem-28644 8 17 of of ADP fbem-28644 8 18 the the DET fbem-28644 8 19 asset asset NOUN fbem-28644 8 20 , , PUNCT fbem-28644 8 21 and and CCONJ fbem-28644 8 22 investors investor NOUN fbem-28644 8 23 need need VERB fbem-28644 8 24 to to PART fbem-28644 8 25 obtain obtain VERB fbem-28644 8 26 a a DET fbem-28644 8 27 higher high ADJ fbem-28644 8 28 risk risk NOUN fbem-28644 8 29 premium premium NOUN fbem-28644 8 30 as as ADP fbem-28644 8 31 a a DET fbem-28644 8 32 return return NOUN fbem-28644 8 33 [ [ X fbem-28644 8 34 1 1 NUM fbem-28644 8 35 ] ] PUNCT fbem-28644 8 36 . . PUNCT fbem-28644 9 1 nevertheless nevertheless ADV fbem-28644 9 2 , , PUNCT fbem-28644 9 3 the the DET fbem-28644 9 4 applicability applicability NOUN fbem-28644 9 5 of of ADP fbem-28644 9 6 the the DET fbem-28644 9 7 capm capm PROPN fbem-28644 9 8 model model NOUN fbem-28644 9 9 in in ADP fbem-28644 9 10 emerging emerge VERB fbem-28644 9 11 markets market NOUN fbem-28644 9 12 like like ADP fbem-28644 9 13 china china PROPN fbem-28644 9 14 has have AUX fbem-28644 9 15 always always ADV fbem-28644 9 16 been be AUX fbem-28644 9 17 controversial controversial ADJ fbem-28644 9 18 . . PUNCT fbem-28644 10 1 since since SCONJ fbem-28644 10 2 its its PRON fbem-28644 10 3 establishment establishment NOUN fbem-28644 10 4 in in ADP fbem-28644 10 5 the the DET fbem-28644 10 6 early early ADJ fbem-28644 10 7 1990s 1990 NOUN fbem-28644 10 8 , , PUNCT fbem-28644 10 9 china china PROPN fbem-28644 10 10 's 's PART fbem-28644 10 11 capital capital NOUN fbem-28644 10 12 market market NOUN fbem-28644 10 13 has have AUX fbem-28644 10 14 been be AUX fbem-28644 10 15 rapidly rapidly ADV fbem-28644 10 16 developed develop VERB fbem-28644 10 17 , , PUNCT fbem-28644 10 18 but but CCONJ fbem-28644 10 19 compared compare VERB fbem-28644 10 20 with with ADP fbem-28644 10 21 mature mature ADJ fbem-28644 10 22 western western ADJ fbem-28644 10 23 capital capital NOUN fbem-28644 10 24 markets market NOUN fbem-28644 10 25 , , PUNCT fbem-28644 10 26 it it PRON fbem-28644 10 27 still still ADV fbem-28644 10 28 has have VERB fbem-28644 10 29 many many ADJ fbem-28644 10 30 imperfections imperfection NOUN fbem-28644 10 31 , , PUNCT fbem-28644 10 32 such such ADJ fbem-28644 10 33 as as ADP fbem-28644 10 34 an an DET fbem-28644 10 35 investor investor NOUN fbem-28644 10 36 structure structure NOUN fbem-28644 10 37 dominated dominate VERB fbem-28644 10 38 by by ADP fbem-28644 10 39 retail retail ADJ fbem-28644 10 40 investors investor NOUN fbem-28644 10 41 , , PUNCT fbem-28644 10 42 strong strong ADJ fbem-28644 10 43 speculation speculation NOUN fbem-28644 10 44 , , PUNCT fbem-28644 10 45 and and CCONJ fbem-28644 10 46 the the DET fbem-28644 10 47 market market NOUN fbem-28644 10 48 is be AUX fbem-28644 10 49 significantly significantly ADV fbem-28644 10 50 impacted impact VERB fbem-28644 10 51 by by ADP fbem-28644 10 52 policies policy NOUN fbem-28644 10 53 . . PUNCT fbem-28644 11 1 these these DET fbem-28644 11 2 characteristics characteristic NOUN fbem-28644 11 3 make make VERB fbem-28644 11 4 the the DET fbem-28644 11 5 applicability applicability NOUN fbem-28644 11 6 of of ADP fbem-28644 11 7 capm capm PROPN fbem-28644 11 8 in in ADP fbem-28644 11 9 the the DET fbem-28644 11 10 chinese chinese ADJ fbem-28644 11 11 market market NOUN fbem-28644 11 12 worthy worthy ADJ fbem-28644 11 13 of of ADP fbem-28644 11 14 further further ADJ fbem-28644 11 15 study study NOUN fbem-28644 11 16 and and CCONJ fbem-28644 11 17 discussion discussion NOUN fbem-28644 12 1 [ [ X fbem-28644 12 2 2 2 NUM fbem-28644 12 3 ] ] PUNCT fbem-28644 12 4 . . PUNCT fbem-28644 13 1 based base VERB fbem-28644 13 2 on on ADP fbem-28644 13 3 the the DET fbem-28644 13 4 data datum NOUN fbem-28644 13 5 of of ADP fbem-28644 13 6 shanghai shanghai PROPN fbem-28644 13 7 a a PROPN fbem-28644 13 8 - - PUNCT fbem-28644 13 9 shares share NOUN fbem-28644 13 10 from from ADP fbem-28644 13 11 2016 2016 NUM fbem-28644 13 12 to to ADP fbem-28644 13 13 2019 2019 NUM fbem-28644 13 14 , , PUNCT fbem-28644 13 15 this this DET fbem-28644 13 16 paper paper NOUN fbem-28644 13 17 uses use VERB fbem-28644 13 18 regression regression VERB fbem-28644 13 19 analysis analysis NOUN fbem-28644 13 20 and and CCONJ fbem-28644 13 21 time time NOUN fbem-28644 13 22 series series PROPN fbem-28644 13 23 models model NOUN fbem-28644 13 24 to to PART fbem-28644 13 25 conduct conduct VERB fbem-28644 13 26 a a DET fbem-28644 13 27 detailed detailed ADJ fbem-28644 13 28 empirical empirical ADJ fbem-28644 13 29 test test NOUN fbem-28644 13 30 on on ADP fbem-28644 13 31 the the DET fbem-28644 13 32 applicability applicability NOUN fbem-28644 13 33 of of ADP fbem-28644 13 34 capm capm PROPN fbem-28644 13 35 in in ADP fbem-28644 13 36 china china PROPN fbem-28644 13 37 's 's PART fbem-28644 13 38 capital capital NOUN fbem-28644 13 39 market market NOUN fbem-28644 13 40 . . PUNCT fbem-28644 14 1 by by ADP fbem-28644 14 2 verifying verify VERB fbem-28644 14 3 the the DET fbem-28644 14 4 correlation correlation NOUN fbem-28644 14 5 between between ADP fbem-28644 14 6 systematic systematic ADJ fbem-28644 14 7 risk risk NOUN fbem-28644 14 8 and and CCONJ fbem-28644 14 9 stock stock NOUN fbem-28644 14 10 returns return NOUN fbem-28644 14 11 , , PUNCT fbem-28644 14 12 we we PRON fbem-28644 14 13 aim aim VERB fbem-28644 14 14 to to PART fbem-28644 14 15 reveal reveal VERB fbem-28644 14 16 whether whether SCONJ fbem-28644 14 17 the the DET fbem-28644 14 18 capm capm PROPN fbem-28644 14 19 model model NOUN fbem-28644 14 20 is be AUX fbem-28644 14 21 effective effective ADJ fbem-28644 14 22 in in ADP fbem-28644 14 23 the the DET fbem-28644 14 24 chinese chinese ADJ fbem-28644 14 25 market market NOUN fbem-28644 14 26 and and CCONJ fbem-28644 14 27 how how SCONJ fbem-28644 14 28 the the DET fbem-28644 14 29 model model NOUN fbem-28644 14 30 performs perform VERB fbem-28644 14 31 under under ADP fbem-28644 14 32 different different ADJ fbem-28644 14 33 market market NOUN fbem-28644 14 34 conditions condition NOUN fbem-28644 14 35 . . PUNCT fbem-28644 15 1 2 2 X fbem-28644 15 2 . . X fbem-28644 15 3 capital capital NOUN fbem-28644 15 4 asset asset NOUN fbem-28644 15 5 pricing pricing NOUN fbem-28644 15 6 model model NOUN fbem-28644 15 7 capm capm PROPN fbem-28644 15 8 internationally internationally ADV fbem-28644 15 9 , , PUNCT fbem-28644 15 10 the the DET fbem-28644 15 11 theoretical theoretical ADJ fbem-28644 15 12 basis basis NOUN fbem-28644 15 13 of of ADP fbem-28644 15 14 capm capm PROPN fbem-28644 15 15 has have AUX fbem-28644 15 16 been be AUX fbem-28644 15 17 extensively extensively ADV fbem-28644 15 18 studied study VERB fbem-28644 15 19 and and CCONJ fbem-28644 15 20 applied apply VERB fbem-28644 15 21 . . PUNCT fbem-28644 16 1 early early ADJ fbem-28644 16 2 studies study NOUN fbem-28644 16 3 generally generally ADV fbem-28644 16 4 believed believe VERB fbem-28644 16 5 that that SCONJ fbem-28644 16 6 capm capm PROPN fbem-28644 16 7 could could AUX fbem-28644 16 8 better well ADV fbem-28644 16 9 explain explain VERB fbem-28644 16 10 the the DET fbem-28644 16 11 relationship relationship NOUN fbem-28644 16 12 between between ADP fbem-28644 16 13 stock stock NOUN fbem-28644 16 14 returns return NOUN fbem-28644 16 15 and and CCONJ fbem-28644 16 16 risks risk NOUN fbem-28644 16 17 . . PUNCT fbem-28644 17 1 for for ADP fbem-28644 17 2 example example NOUN fbem-28644 17 3 , , PUNCT fbem-28644 17 4 black black ADJ fbem-28644 17 5 , , PUNCT fbem-28644 17 6 jensen jensen PROPN fbem-28644 17 7 , , PUNCT fbem-28644 17 8 and and CCONJ fbem-28644 17 9 scholes schole NOUN fbem-28644 17 10 ( ( PUNCT fbem-28644 17 11 1972 1972 NUM fbem-28644 17 12 ) ) PUNCT fbem-28644 17 13 verified verify VERB fbem-28644 17 14 the the DET fbem-28644 17 15 effectiveness effectiveness NOUN fbem-28644 17 16 of of ADP fbem-28644 17 17 capm capm PROPN fbem-28644 17 18 through through ADP fbem-28644 17 19 empirical empirical ADJ fbem-28644 17 20 analysis analysis NOUN fbem-28644 17 21 of of ADP fbem-28644 17 22 data datum NOUN fbem-28644 17 23 from from ADP fbem-28644 17 24 the the DET fbem-28644 17 25 us us PROPN fbem-28644 17 26 securities security NOUN fbem-28644 17 27 market market NOUN fbem-28644 18 1 [ [ X fbem-28644 18 2 3 3 NUM fbem-28644 18 3 ] ] PUNCT fbem-28644 18 4 . . PUNCT fbem-28644 19 1 nevertheless nevertheless ADV fbem-28644 19 2 , , PUNCT fbem-28644 19 3 with with ADP fbem-28644 19 4 the the DET fbem-28644 19 5 constant constant ADJ fbem-28644 19 6 development development NOUN fbem-28644 19 7 of of ADP fbem-28644 19 8 the the DET fbem-28644 19 9 capital capital NOUN fbem-28644 19 10 market market NOUN fbem-28644 19 11 , , PUNCT fbem-28644 19 12 the the DET fbem-28644 19 13 three three NUM fbem-28644 19 14 - - PUNCT fbem-28644 19 15 factor factor NOUN fbem-28644 19 16 model model NOUN fbem-28644 19 17 ( ( PUNCT fbem-28644 19 18 including include VERB fbem-28644 19 19 market market NOUN fbem-28644 19 20 risk risk NOUN fbem-28644 19 21 , , PUNCT fbem-28644 19 22 scale scale NOUN fbem-28644 19 23 factor factor NOUN fbem-28644 19 24 , , PUNCT fbem-28644 19 25 and and CCONJ fbem-28644 19 26 book book NOUN fbem-28644 19 27 - - PUNCT fbem-28644 19 28 to to ADP fbem-28644 19 29 - - PUNCT fbem-28644 19 30 market market NOUN fbem-28644 19 31 ratio ratio NOUN fbem-28644 19 32 factor factor NOUN fbem-28644 19 33 ) ) PUNCT fbem-28644 19 34 proposed propose VERB fbem-28644 19 35 by by ADP fbem-28644 19 36 fama fama PROPN fbem-28644 19 37 and and CCONJ fbem-28644 19 38 french french ADJ fbem-28644 19 39 ( ( PUNCT fbem-28644 19 40 1993 1993 NUM fbem-28644 19 41 ) ) PUNCT fbem-28644 19 42 challenged challenge VERB fbem-28644 19 43 the the DET fbem-28644 19 44 explanatory explanatory ADJ fbem-28644 19 45 power power NOUN fbem-28644 19 46 of of ADP fbem-28644 19 47 capm capm PROPN fbem-28644 19 48 , , PUNCT fbem-28644 19 49 pointing point VERB fbem-28644 19 50 out out ADP fbem-28644 19 51 that that SCONJ fbem-28644 19 52 a a DET fbem-28644 19 53 single single ADJ fbem-28644 19 54 beta beta ADJ fbem-28644 19 55 coefficient coefficient NOUN fbem-28644 19 56 can can AUX fbem-28644 19 57 not not PART fbem-28644 19 58 fully fully ADV fbem-28644 19 59 explain explain VERB fbem-28644 19 60 the the DET fbem-28644 19 61 stock stock NOUN fbem-28644 19 62 return return NOUN fbem-28644 19 63 [ [ X fbem-28644 19 64 4 4 NUM fbem-28644 19 65 ] ] PUNCT fbem-28644 19 66 . . PUNCT fbem-28644 20 1 in in ADP fbem-28644 20 2 china china PROPN fbem-28644 20 3 , , PUNCT fbem-28644 20 4 with with ADP fbem-28644 20 5 the the DET fbem-28644 20 6 opening opening NOUN fbem-28644 20 7 and and CCONJ fbem-28644 20 8 rapid rapid ADJ fbem-28644 20 9 development development NOUN fbem-28644 20 10 of of ADP fbem-28644 20 11 the the DET fbem-28644 20 12 capital capital NOUN fbem-28644 20 13 market market NOUN fbem-28644 20 14 , , PUNCT fbem-28644 20 15 the the DET fbem-28644 20 16 capm capm PROPN fbem-28644 20 17 model model NOUN fbem-28644 20 18 has have AUX fbem-28644 20 19 also also ADV fbem-28644 20 20 become become VERB fbem-28644 20 21 a a DET fbem-28644 20 22 focus focus NOUN fbem-28644 20 23 of of ADP fbem-28644 20 24 research research NOUN fbem-28644 20 25 by by ADP fbem-28644 20 26 scholars scholar NOUN fbem-28644 20 27 . . PUNCT fbem-28644 21 1 zhu zhu PROPN fbem-28644 21 2 shunquan shunquan PROPN fbem-28644 21 3 ( ( PUNCT fbem-28644 21 4 2010 2010 NUM fbem-28644 21 5 ) ) PUNCT fbem-28644 21 6 conducted conduct VERB fbem-28644 21 7 an an DET fbem-28644 21 8 empirical empirical ADJ fbem-28644 21 9 test test NOUN fbem-28644 21 10 on on ADP fbem-28644 21 11 shanghai shanghai PROPN fbem-28644 21 12 a a PROPN fbem-28644 21 13 - - PUNCT fbem-28644 21 14 shares share NOUN fbem-28644 21 15 from from ADP fbem-28644 21 16 2003 2003 NUM fbem-28644 21 17 to to ADP fbem-28644 21 18 2006 2006 NUM fbem-28644 21 19 and and CCONJ fbem-28644 21 20 found find VERB fbem-28644 21 21 that that SCONJ fbem-28644 21 22 the the DET fbem-28644 21 23 stock stock NOUN fbem-28644 21 24 portfolio portfolio NOUN fbem-28644 21 25 returns return NOUN fbem-28644 21 26 of of ADP fbem-28644 21 27 the the DET fbem-28644 21 28 shanghai shanghai PROPN fbem-28644 21 29 capital capital PROPN fbem-28644 21 30 market market NOUN fbem-28644 21 31 were be AUX fbem-28644 21 32 positively positively ADV fbem-28644 21 33 correlated correlate VERB fbem-28644 21 34 with with ADP fbem-28644 21 35 their their PRON fbem-28644 21 36 systematic systematic ADJ fbem-28644 21 37 risk risk NOUN fbem-28644 21 38 , , PUNCT fbem-28644 21 39 while while SCONJ fbem-28644 21 40 the the DET fbem-28644 21 41 effect effect NOUN fbem-28644 21 42 of of ADP fbem-28644 21 43 non non ADJ fbem-28644 21 44 - - ADJ fbem-28644 21 45 systematic systematic ADJ fbem-28644 21 46 risk risk NOUN fbem-28644 21 47 on on ADP fbem-28644 21 48 stock stock NOUN fbem-28644 21 49 returns return NOUN fbem-28644 21 50 was be AUX fbem-28644 21 51 not not PART fbem-28644 21 52 of of ADP fbem-28644 21 53 significance significance NOUN fbem-28644 21 54 [ [ X fbem-28644 21 55 5 5 NUM fbem-28644 21 56 ] ] PUNCT fbem-28644 21 57 . . PUNCT fbem-28644 22 1 however however ADV fbem-28644 22 2 , , PUNCT fbem-28644 22 3 some some DET fbem-28644 22 4 scholars scholar NOUN fbem-28644 22 5 have have AUX fbem-28644 22 6 found find VERB fbem-28644 22 7 that that SCONJ fbem-28644 22 8 the the DET fbem-28644 22 9 applicability applicability NOUN fbem-28644 22 10 of of ADP fbem-28644 22 11 capm capm PROPN fbem-28644 22 12 in in ADP fbem-28644 22 13 the the DET fbem-28644 22 14 chinese chinese ADJ fbem-28644 22 15 market market NOUN fbem-28644 22 16 is be AUX fbem-28644 22 17 limited limited ADJ fbem-28644 22 18 . . PUNCT fbem-28644 23 1 for for ADP fbem-28644 23 2 example example NOUN fbem-28644 23 3 , , PUNCT fbem-28644 23 4 ma ma PROPN fbem-28644 23 5 chunguang chunguang PROPN fbem-28644 23 6 and and CCONJ fbem-28644 23 7 qiu qiu PROPN fbem-28644 23 8 yun yun PROPN fbem-28644 23 9 ( ( PUNCT fbem-28644 23 10 2008 2008 NUM fbem-28644 23 11 ) ) PUNCT fbem-28644 23 12 showed show VERB fbem-28644 23 13 that that SCONJ fbem-28644 23 14 the the DET fbem-28644 23 15 beta beta ADJ fbem-28644 23 16 coefficient coefficient NOUN fbem-28644 23 17 exerts exert VERB fbem-28644 23 18 a a DET fbem-28644 23 19 weak weak ADJ fbem-28644 23 20 effect effect NOUN fbem-28644 23 21 in in ADP fbem-28644 23 22 explaining explain VERB fbem-28644 23 23 the the DET fbem-28644 23 24 returns return NOUN fbem-28644 23 25 of of ADP fbem-28644 23 26 the the DET fbem-28644 23 27 chinese chinese ADJ fbem-28644 23 28 market market NOUN fbem-28644 23 29 , , PUNCT fbem-28644 23 30 and and CCONJ fbem-28644 23 31 when when SCONJ fbem-28644 23 32 the the DET fbem-28644 23 33 market market NOUN fbem-28644 23 34 fluctuates fluctuate VERB fbem-28644 23 35 greatly greatly ADV fbem-28644 23 36 , , PUNCT fbem-28644 23 37 the the DET fbem-28644 23 38 explanatory explanatory ADJ fbem-28644 23 39 power power NOUN fbem-28644 23 40 of of ADP fbem-28644 23 41 capm capm PROPN fbem-28644 23 42 drops drop VERB fbem-28644 23 43 significantly significantly ADV fbem-28644 23 44 [ [ X fbem-28644 23 45 6 6 NUM fbem-28644 23 46 ] ] PUNCT fbem-28644 23 47 . . PUNCT fbem-28644 24 1 in in ADP fbem-28644 24 2 general general ADJ fbem-28644 24 3 , , PUNCT fbem-28644 24 4 the the DET fbem-28644 24 5 results result NOUN fbem-28644 24 6 of of ADP fbem-28644 24 7 domestic domestic ADJ fbem-28644 24 8 and and CCONJ fbem-28644 24 9 foreign foreign ADJ fbem-28644 24 10 research research NOUN fbem-28644 24 11 show show NOUN fbem-28644 24 12 that that SCONJ fbem-28644 24 13 capm capm PROPN fbem-28644 24 14 is be AUX fbem-28644 24 15 more more ADV fbem-28644 24 16 applicable applicable ADJ fbem-28644 24 17 in in ADP fbem-28644 24 18 mature mature ADJ fbem-28644 24 19 markets market NOUN fbem-28644 24 20 , , PUNCT fbem-28644 24 21 while while SCONJ fbem-28644 24 22 its its PRON fbem-28644 24 23 performance performance NOUN fbem-28644 24 24 in in ADP fbem-28644 24 25 emerging emerge VERB fbem-28644 24 26 markets market NOUN fbem-28644 24 27 ( ( PUNCT fbem-28644 24 28 especially especially ADV fbem-28644 24 29 the the DET fbem-28644 24 30 chinese chinese ADJ fbem-28644 24 31 market market NOUN fbem-28644 24 32 ) ) PUNCT fbem-28644 24 33 is be AUX fbem-28644 24 34 still still ADV fbem-28644 24 35 controversial controversial ADJ fbem-28644 24 36 . . PUNCT fbem-28644 25 1 since since SCONJ fbem-28644 25 2 1990 1990 NUM fbem-28644 25 3 , , PUNCT fbem-28644 25 4 some some DET fbem-28644 25 5 domestic domestic ADJ fbem-28644 25 6 scholars scholar NOUN fbem-28644 25 7 have have AUX fbem-28644 25 8 also also ADV fbem-28644 25 9 conducted conduct VERB fbem-28644 25 10 a a DET fbem-28644 25 11 lot lot NOUN fbem-28644 25 12 of of ADP fbem-28644 25 13 research research NOUN fbem-28644 25 14 on on ADP fbem-28644 25 15 capm capm PROPN fbem-28644 25 16 [ [ X fbem-28644 25 17 714 714 NUM fbem-28644 25 18 ] ] PUNCT fbem-28644 25 19 . . PUNCT fbem-28644 26 1 according accord VERB fbem-28644 26 2 to to ADP fbem-28644 26 3 the the DET fbem-28644 26 4 findings finding NOUN fbem-28644 26 5 of of ADP fbem-28644 26 6 previous previous ADJ fbem-28644 26 7 studies study NOUN fbem-28644 26 8 , , PUNCT fbem-28644 26 9 before before ADP fbem-28644 26 10 2001 2001 NUM fbem-28644 26 11 , , PUNCT fbem-28644 26 12 capm capm PROPN fbem-28644 26 13 was be AUX fbem-28644 26 14 not not PART fbem-28644 26 15 applicable applicable ADJ fbem-28644 26 16 to to ADP fbem-28644 26 17 china china PROPN fbem-28644 26 18 's 's PART fbem-28644 26 19 securities security NOUN fbem-28644 26 20 market market NOUN fbem-28644 26 21 ; ; PUNCT fbem-28644 26 22 in in ADP fbem-28644 26 23 2009 2009 NUM fbem-28644 26 24 , , PUNCT fbem-28644 26 25 capm capm PROPN fbem-28644 26 26 gradually gradually ADV fbem-28644 26 27 showed show VERB fbem-28644 26 28 its its PRON fbem-28644 26 29 applicability applicability NOUN fbem-28644 26 30 in in ADP fbem-28644 26 31 the the DET fbem-28644 26 32 chinese chinese ADJ fbem-28644 26 33 market market NOUN fbem-28644 26 34 [ [ X fbem-28644 26 35 5 5 NUM fbem-28644 26 36 ] ] PUNCT fbem-28644 26 37 . . PUNCT fbem-28644 27 1 now now ADV fbem-28644 27 2 that that SCONJ fbem-28644 27 3 many many ADJ fbem-28644 27 4 years year NOUN fbem-28644 27 5 have have AUX fbem-28644 27 6 passed pass VERB fbem-28644 27 7 , , PUNCT fbem-28644 27 8 the the DET fbem-28644 27 9 chinese chinese ADJ fbem-28644 27 10 market market NOUN fbem-28644 27 11 has have AUX fbem-28644 27 12 developed develop VERB fbem-28644 27 13 rapidly rapidly ADV fbem-28644 27 14 and and CCONJ fbem-28644 27 15 changed change VERB fbem-28644 27 16 dramatically dramatically ADV fbem-28644 27 17 , , PUNCT fbem-28644 27 18 and and CCONJ fbem-28644 27 19 the the DET fbem-28644 27 20 re re NOUN fbem-28644 27 21 - - NOUN fbem-28644 27 22 examination examination NOUN fbem-28644 27 23 of of ADP fbem-28644 27 24 capm capm PROPN fbem-28644 27 25 in in ADP fbem-28644 27 26 the the DET fbem-28644 27 27 chinese chinese ADJ fbem-28644 27 28 market market NOUN fbem-28644 27 29 has have AUX fbem-28644 27 30 become become VERB fbem-28644 27 31 of of ADP fbem-28644 27 32 great great ADJ fbem-28644 27 33 significance significance NOUN fbem-28644 27 34 . . PUNCT fbem-28644 28 1 the the DET fbem-28644 28 2 applicability applicability NOUN fbem-28644 28 3 of of ADP fbem-28644 28 4 the the DET fbem-28644 28 5 capm capm PROPN fbem-28644 28 6 model model NOUN fbem-28644 28 7 may may AUX fbem-28644 28 8 change change VERB fbem-28644 28 9 in in ADP fbem-28644 28 10 different different ADJ fbem-28644 28 11 market market NOUN fbem-28644 28 12 conditions condition NOUN fbem-28644 28 13 . . PUNCT fbem-28644 29 1 therefore therefore ADV fbem-28644 29 2 , , PUNCT fbem-28644 29 3 it it PRON fbem-28644 29 4 is be AUX fbem-28644 29 5 necessary necessary ADJ fbem-28644 29 6 to to PART fbem-28644 29 7 combine combine VERB fbem-28644 29 8 the the DET fbem-28644 29 9 latest late ADJ fbem-28644 29 10 market market NOUN fbem-28644 29 11 data datum NOUN fbem-28644 29 12 to to PART fbem-28644 29 13 conduct conduct VERB fbem-28644 29 14 further further ADJ fbem-28644 29 15 new new ADJ fbem-28644 29 16 tests test NOUN fbem-28644 29 17 and and CCONJ fbem-28644 29 18 analyses analysis NOUN fbem-28644 29 19 on on ADP fbem-28644 29 20 the the DET fbem-28644 29 21 performance performance NOUN fbem-28644 29 22 of of ADP fbem-28644 29 23 capm capm PROPN fbem-28644 29 24 in in ADP fbem-28644 29 25 the the DET fbem-28644 29 26 chinese chinese ADJ fbem-28644 29 27 capital capital NOUN fbem-28644 29 28 market market NOUN fbem-28644 29 29 . . PUNCT fbem-28644 30 1 3 3 X fbem-28644 30 2 . . X fbem-28644 30 3 research research NOUN fbem-28644 30 4 methods method NOUN fbem-28644 30 5 3.1 3.1 NUM fbem-28644 30 6 . . PUNCT fbem-28644 30 7 data datum NOUN fbem-28644 30 8 source source NOUN fbem-28644 30 9 and and CCONJ fbem-28644 30 10 processing process VERB fbem-28644 30 11 the the DET fbem-28644 30 12 research research NOUN fbem-28644 30 13 data datum NOUN fbem-28644 30 14 of of ADP fbem-28644 30 15 the the DET fbem-28644 30 16 present present ADJ fbem-28644 30 17 study study NOUN fbem-28644 30 18 comes come VERB fbem-28644 30 19 from from ADP fbem-28644 30 20 the the DET fbem-28644 30 21 trading trading NOUN fbem-28644 30 22 data datum NOUN fbem-28644 30 23 of of ADP fbem-28644 30 24 shanghai shanghai PROPN fbem-28644 30 25 a a PROPN fbem-28644 30 26 - - PUNCT fbem-28644 30 27 shares share NOUN fbem-28644 30 28 from from ADP fbem-28644 30 29 august august PROPN fbem-28644 30 30 5 5 NUM fbem-28644 30 31 , , PUNCT fbem-28644 30 32 2016 2016 NUM fbem-28644 30 33 to to ADP fbem-28644 30 34 august august PROPN fbem-28644 30 35 4 4 NUM fbem-28644 30 36 , , PUNCT fbem-28644 30 37 2019 2019 NUM fbem-28644 30 38 , , PUNCT fbem-28644 30 39 mainly mainly ADV fbem-28644 30 40 including include VERB fbem-28644 30 41 the the DET fbem-28644 30 42 weekly weekly ADJ fbem-28644 30 43 closing closing NOUN fbem-28644 30 44 price price NOUN fbem-28644 30 45 of of ADP fbem-28644 30 46 individual individual ADJ fbem-28644 30 47 stocks stock NOUN fbem-28644 30 48 , , PUNCT fbem-28644 30 49 the the DET fbem-28644 30 50 shanghai shanghai PROPN fbem-28644 30 51 a a PROPN fbem-28644 30 52 - - PUNCT fbem-28644 30 53 share share NOUN fbem-28644 30 54 index index NOUN fbem-28644 30 55 , , PUNCT fbem-28644 30 56 and and CCONJ fbem-28644 30 57 the the DET fbem-28644 30 58 one one NUM fbem-28644 30 59 400 400 NUM fbem-28644 30 60 year year NOUN fbem-28644 30 61 time time NOUN fbem-28644 30 62 deposit deposit NOUN fbem-28644 30 63 rate rate NOUN fbem-28644 30 64 as as ADP fbem-28644 30 65 a a DET fbem-28644 30 66 proxy proxy NOUN fbem-28644 30 67 for for ADP fbem-28644 30 68 the the DET fbem-28644 30 69 risk risk NOUN fbem-28644 30 70 - - PUNCT fbem-28644 30 71 free free ADJ fbem-28644 30 72 interest interest NOUN fbem-28644 30 73 rate rate NOUN fbem-28644 30 74 . . PUNCT fbem-28644 31 1 all all DET fbem-28644 31 2 data datum NOUN fbem-28644 31 3 come come VERB fbem-28644 31 4 from from ADP fbem-28644 31 5 public public ADJ fbem-28644 31 6 financial financial ADJ fbem-28644 31 7 databases database NOUN fbem-28644 31 8 , , PUNCT fbem-28644 31 9 such such ADJ fbem-28644 31 10 as as ADP fbem-28644 31 11 wind wind NOUN fbem-28644 31 12 . . PUNCT fbem-28644 32 1 to to PART fbem-28644 32 2 guarantee guarantee VERB fbem-28644 32 3 the the DET fbem-28644 32 4 integrity integrity NOUN fbem-28644 32 5 and and CCONJ fbem-28644 32 6 reliability reliability NOUN fbem-28644 32 7 of of ADP fbem-28644 32 8 the the DET fbem-28644 32 9 data datum NOUN fbem-28644 32 10 , , PUNCT fbem-28644 32 11 we we PRON fbem-28644 32 12 eliminated eliminate VERB fbem-28644 32 13 stocks stock NOUN fbem-28644 32 14 with with ADP fbem-28644 32 15 insufficient insufficient ADJ fbem-28644 32 16 sample sample NOUN fbem-28644 32 17 points point NOUN fbem-28644 32 18 and and CCONJ fbem-28644 32 19 finally finally ADV fbem-28644 32 20 selected select VERB fbem-28644 32 21 80 80 NUM fbem-28644 32 22 shanghai shanghai PROPN fbem-28644 32 23 a a DET fbem-28644 32 24 - - PUNCT fbem-28644 32 25 shares share NOUN fbem-28644 32 26 as as ADP fbem-28644 32 27 the the DET fbem-28644 32 28 analysis analysis NOUN fbem-28644 32 29 samples sample NOUN fbem-28644 32 30 . . PUNCT fbem-28644 33 1 in in ADP fbem-28644 33 2 terms term NOUN fbem-28644 33 3 of of ADP fbem-28644 33 4 data datum NOUN fbem-28644 33 5 processing processing NOUN fbem-28644 33 6 , , PUNCT fbem-28644 33 7 with with ADP fbem-28644 33 8 the the DET fbem-28644 33 9 purpose purpose NOUN fbem-28644 33 10 of of ADP fbem-28644 33 11 eliminating eliminate VERB fbem-28644 33 12 the the DET fbem-28644 33 13 impact impact NOUN fbem-28644 33 14 of of ADP fbem-28644 33 15 factors factor NOUN fbem-28644 33 16 including include VERB fbem-28644 33 17 stock stock NOUN fbem-28644 33 18 dividends dividend NOUN fbem-28644 33 19 , , PUNCT fbem-28644 33 20 ex ex NOUN fbem-28644 33 21 - - NOUN fbem-28644 33 22 rights right NOUN fbem-28644 33 23 , , PUNCT fbem-28644 33 24 and and CCONJ fbem-28644 33 25 ex ex NOUN fbem-28644 33 26 - - NOUN fbem-28644 33 27 dividends dividend NOUN fbem-28644 33 28 on on ADP fbem-28644 33 29 stock stock NOUN fbem-28644 33 30 prices price NOUN fbem-28644 33 31 , , PUNCT fbem-28644 33 32 this this DET fbem-28644 33 33 article article NOUN fbem-28644 33 34 has have AUX fbem-28644 33 35 adjusted adjust VERB fbem-28644 33 36 the the DET fbem-28644 33 37 weekly weekly ADJ fbem-28644 33 38 closing closing NOUN fbem-28644 33 39 prices price NOUN fbem-28644 33 40 of of ADP fbem-28644 33 41 all all DET fbem-28644 33 42 stocks stock NOUN fbem-28644 33 43 . . PUNCT fbem-28644 34 1 the the DET fbem-28644 34 2 weekly weekly ADJ fbem-28644 34 3 return return NOUN fbem-28644 34 4 rate rate NOUN fbem-28644 34 5 of of ADP fbem-28644 34 6 stocks stock NOUN fbem-28644 34 7 is be AUX fbem-28644 34 8 calculated calculate VERB fbem-28644 34 9 according accord VERB fbem-28644 34 10 to to ADP fbem-28644 34 11 the the DET fbem-28644 34 12 following follow VERB fbem-28644 34 13 formula formula NOUN fbem-28644 34 14 : : PUNCT fbem-28644 34 15 𝑅𝑑 𝑅𝑑 PROPN fbem-28644 34 16 = = PUNCT fbem-28644 34 17 π‘ƒπ‘‘βˆ’π‘ƒπ‘‘βˆ’1 π‘ƒπ‘‘βˆ’π‘ƒπ‘‘βˆ’1 VERB fbem-28644 34 18 π‘ƒπ‘‘βˆ’1 π‘ƒπ‘‘βˆ’1 NOUN fbem-28644 34 19 ( ( PUNCT fbem-28644 34 20 1 1 NUM fbem-28644 34 21 ) ) PUNCT fbem-28644 34 22 where where SCONJ fbem-28644 34 23 𝑃𝑑 𝑃𝑑 PROPN fbem-28644 34 24 indicates indicate VERB fbem-28644 34 25 the the DET fbem-28644 34 26 stock stock NOUN fbem-28644 34 27 closing closing NOUN fbem-28644 34 28 price price NOUN fbem-28644 34 29 in in ADP fbem-28644 34 30 week week NOUN fbem-28644 34 31 t t PROPN fbem-28644 34 32 , , PUNCT fbem-28644 34 33 and and CCONJ fbem-28644 34 34 𝑃𝑑 𝑃𝑑 PROPN fbem-28644 34 35 βˆ’ βˆ’ NOUN fbem-28644 34 36 1 1 NUM fbem-28644 34 37 denotes denote VERB fbem-28644 34 38 the the DET fbem-28644 34 39 stock stock NOUN fbem-28644 34 40 closing closing NOUN fbem-28644 34 41 price price NOUN fbem-28644 34 42 in in ADP fbem-28644 34 43 week week NOUN fbem-28644 34 44 t-1 t-1 PROPN fbem-28644 34 45 . . PUNCT fbem-28644 35 1 the the DET fbem-28644 35 2 excess excess ADJ fbem-28644 35 3 return return NOUN fbem-28644 35 4 of of ADP fbem-28644 35 5 a a DET fbem-28644 35 6 stock stock NOUN fbem-28644 35 7 is be AUX fbem-28644 35 8 expressed express VERB fbem-28644 35 9 as as ADP fbem-28644 35 10 the the DET fbem-28644 35 11 weekly weekly ADJ fbem-28644 35 12 return return NOUN fbem-28644 35 13 minus minus ADP fbem-28644 35 14 the the DET fbem-28644 35 15 risk risk NOUN fbem-28644 35 16 - - PUNCT fbem-28644 35 17 free free ADJ fbem-28644 35 18 rate rate NOUN fbem-28644 35 19 : : PUNCT fbem-28644 36 1 𝑅𝑖,𝑑 𝑅𝑖,𝑑 ADJ fbem-28644 36 2 𝑒π‘₯𝑐𝑒𝑠𝑠 𝑒π‘₯𝑐𝑒𝑠𝑠 NOUN fbem-28644 36 3 = = SYM fbem-28644 36 4 𝑅𝑖,𝑑 𝑅𝑖,𝑑 NOUN fbem-28644 36 5 βˆ’ βˆ’ PRON fbem-28644 36 6 𝑅𝑓 𝑅𝑓 PROPN fbem-28644 36 7 ( ( PUNCT fbem-28644 36 8 2 2 NUM fbem-28644 36 9 ) ) PUNCT fbem-28644 36 10 among among ADP fbem-28644 36 11 them they PRON fbem-28644 36 12 , , PUNCT fbem-28644 36 13 𝑅𝑓 𝑅𝑓 PROPN fbem-28644 36 14 is be AUX fbem-28644 36 15 the the DET fbem-28644 36 16 risk risk NOUN fbem-28644 36 17 - - PUNCT fbem-28644 36 18 free free ADJ fbem-28644 36 19 interest interest NOUN fbem-28644 36 20 rate rate NOUN fbem-28644 36 21 . . PUNCT fbem-28644 37 1 the the DET fbem-28644 37 2 oneyear oneyear PROPN fbem-28644 37 3 time time NOUN fbem-28644 37 4 deposit deposit NOUN fbem-28644 37 5 rate rate NOUN fbem-28644 37 6 selected select VERB fbem-28644 37 7 in in ADP fbem-28644 37 8 this this DET fbem-28644 37 9 article article NOUN fbem-28644 37 10 remained remain VERB fbem-28644 37 11 roughly roughly ADV fbem-28644 37 12 at at ADP fbem-28644 37 13 1.5 1.5 NUM fbem-28644 37 14 % % NOUN fbem-28644 37 15 during during ADP fbem-28644 37 16 the the DET fbem-28644 37 17 research research NOUN fbem-28644 37 18 period period NOUN fbem-28644 37 19 . . PUNCT fbem-28644 38 1 the the DET fbem-28644 38 2 market market NOUN fbem-28644 38 3 portfolio portfolio NOUN fbem-28644 38 4 uses use VERB fbem-28644 38 5 the the DET fbem-28644 38 6 shanghai shanghai PROPN fbem-28644 38 7 a a DET fbem-28644 38 8 - - PUNCT fbem-28644 38 9 share share NOUN fbem-28644 38 10 index index NOUN fbem-28644 38 11 , , PUNCT fbem-28644 38 12 which which PRON fbem-28644 38 13 is be AUX fbem-28644 38 14 composed compose VERB fbem-28644 38 15 of of ADP fbem-28644 38 16 all all PRON fbem-28644 38 17 listed list VERB fbem-28644 38 18 a a DET fbem-28644 38 19 - - PUNCT fbem-28644 38 20 shares share NOUN fbem-28644 38 21 and and CCONJ fbem-28644 38 22 is be AUX fbem-28644 38 23 calculated calculate VERB fbem-28644 38 24 using use VERB fbem-28644 38 25 the the DET fbem-28644 38 26 weighted weighted ADJ fbem-28644 38 27 average average ADJ fbem-28644 38 28 method method NOUN fbem-28644 38 29 , , PUNCT fbem-28644 38 30 which which PRON fbem-28644 38 31 can can AUX fbem-28644 38 32 better well ADV fbem-28644 38 33 reflect reflect VERB fbem-28644 38 34 the the DET fbem-28644 38 35 overall overall ADJ fbem-28644 38 36 performance performance NOUN fbem-28644 38 37 of of ADP fbem-28644 38 38 the the DET fbem-28644 38 39 market market NOUN fbem-28644 38 40 . . PUNCT fbem-28644 39 1 therefore therefore ADV fbem-28644 39 2 , , PUNCT fbem-28644 39 3 the the DET fbem-28644 39 4 weekly weekly ADJ fbem-28644 39 5 return return NOUN fbem-28644 39 6 of of ADP fbem-28644 39 7 the the DET fbem-28644 39 8 market market NOUN fbem-28644 39 9 portfolio portfolio NOUN fbem-28644 39 10 is be AUX fbem-28644 39 11 also also ADV fbem-28644 39 12 calculated calculate VERB fbem-28644 39 13 based base VERB fbem-28644 39 14 on on ADP fbem-28644 39 15 the the DET fbem-28644 39 16 weekly weekly ADJ fbem-28644 39 17 closing closing NOUN fbem-28644 39 18 price price NOUN fbem-28644 39 19 of of ADP fbem-28644 39 20 the the DET fbem-28644 39 21 shanghai shanghai PROPN fbem-28644 39 22 a a PROPN fbem-28644 39 23 - - PUNCT fbem-28644 39 24 share share NOUN fbem-28644 39 25 index index NOUN fbem-28644 39 26 after after ADP fbem-28644 39 27 adjustment adjustment NOUN fbem-28644 39 28 . . PUNCT fbem-28644 40 1 3.2 3.2 NUM fbem-28644 40 2 . . PUNCT fbem-28644 40 3 model model NOUN fbem-28644 40 4 setting set VERB fbem-28644 40 5 the the DET fbem-28644 40 6 standard standard ADJ fbem-28644 40 7 form form NOUN fbem-28644 40 8 of of ADP fbem-28644 40 9 capm capm PROPN fbem-28644 40 10 is be AUX fbem-28644 40 11 as as SCONJ fbem-28644 40 12 follows follow VERB fbem-28644 40 13 [ [ X fbem-28644 40 14 15 15 NUM fbem-28644 40 15 , , PUNCT fbem-28644 40 16 16 16 NUM fbem-28644 40 17 ] ] PUNCT fbem-28644 40 18 : : PUNCT fbem-28644 40 19 𝐸(𝑅𝑖 𝐸(𝑅𝑖 X fbem-28644 40 20 ) ) PUNCT fbem-28644 41 1 = = SYM fbem-28644 41 2 𝑅𝑓 𝑅𝑓 ADP fbem-28644 41 3 + + NUM fbem-28644 41 4 𝛽𝑖(𝐸(π‘…π‘š 𝛽𝑖(𝐸(π‘…π‘š NOUN fbem-28644 41 5 ) ) PUNCT fbem-28644 41 6 βˆ’ βˆ’ ADP fbem-28644 41 7 𝑅𝑓 𝑅𝑓 NOUN fbem-28644 41 8 ) ) PUNCT fbem-28644 41 9 ( ( PUNCT fbem-28644 41 10 3 3 X fbem-28644 41 11 ) ) PUNCT fbem-28644 41 12 in in ADP fbem-28644 41 13 this this DET fbem-28644 41 14 model model NOUN fbem-28644 41 15 : : PUNCT fbem-28644 41 16 𝐸(𝑅𝑖 𝐸(𝑅𝑖 X fbem-28644 41 17 ) ) PUNCT fbem-28644 41 18 is be AUX fbem-28644 41 19 the the DET fbem-28644 41 20 expected expect VERB fbem-28644 41 21 return return NOUN fbem-28644 41 22 of of ADP fbem-28644 41 23 stock stock NOUN fbem-28644 41 24 i i PRON fbem-28644 41 25 ; ; PUNCT fbem-28644 41 26 𝑅𝑓is 𝑅𝑓is PROPN fbem-28644 41 27 the the DET fbem-28644 41 28 risk risk NOUN fbem-28644 41 29 - - PUNCT fbem-28644 41 30 free free ADJ fbem-28644 41 31 rate rate NOUN fbem-28644 41 32 ; ; PUNCT fbem-28644 41 33 𝛽𝑖 𝛽𝑖 VERB fbem-28644 41 34 is be AUX fbem-28644 41 35 the the DET fbem-28644 41 36 beta beta ADJ fbem-28644 41 37 coefficient coefficient NOUN fbem-28644 41 38 of of ADP fbem-28644 41 39 stock stock NOUN fbem-28644 41 40 i i PROPN fbem-28644 41 41 , , PUNCT fbem-28644 41 42 indicating indicate VERB fbem-28644 41 43 the the DET fbem-28644 41 44 systematic systematic ADJ fbem-28644 41 45 risk risk NOUN fbem-28644 41 46 of of ADP fbem-28644 41 47 the the DET fbem-28644 41 48 stock stock NOUN fbem-28644 41 49 ; ; PUNCT fbem-28644 41 50 𝐸(π‘…π‘š 𝐸(π‘…π‘š NOUN fbem-28644 41 51 ) ) PUNCT fbem-28644 41 52 refers refer VERB fbem-28644 41 53 to to ADP fbem-28644 41 54 the the DET fbem-28644 41 55 expected expect VERB fbem-28644 41 56 rate rate NOUN fbem-28644 41 57 of of ADP fbem-28644 41 58 return return NOUN fbem-28644 41 59 of of ADP fbem-28644 41 60 the the DET fbem-28644 41 61 market market NOUN fbem-28644 41 62 portfolio portfolio NOUN fbem-28644 41 63 ; ; PUNCT fbem-28644 41 64 𝐸(π‘…π‘š 𝐸(π‘…π‘š NUM fbem-28644 41 65 ) ) PUNCT fbem-28644 41 66 βˆ’ βˆ’ PROPN fbem-28644 42 1 𝑅𝑓is 𝑅𝑓is PROPN fbem-28644 42 2 the the DET fbem-28644 42 3 market market NOUN fbem-28644 42 4 risk risk NOUN fbem-28644 42 5 premium premium NOUN fbem-28644 42 6 , , PUNCT fbem-28644 42 7 which which PRON fbem-28644 42 8 represents represent VERB fbem-28644 42 9 the the DET fbem-28644 42 10 excess excess NOUN fbem-28644 42 11 of of ADP fbem-28644 42 12 the the DET fbem-28644 42 13 market market NOUN fbem-28644 42 14 portfolio portfolio NOUN fbem-28644 42 15 return return VERB fbem-28644 42 16 over over ADP fbem-28644 42 17 the the DET fbem-28644 42 18 risk risk NOUN fbem-28644 42 19 - - PUNCT fbem-28644 42 20 free free ADJ fbem-28644 42 21 rate rate NOUN fbem-28644 42 22 . . PUNCT fbem-28644 43 1 to to PART fbem-28644 43 2 test test VERB fbem-28644 43 3 the the DET fbem-28644 43 4 applicability applicability NOUN fbem-28644 43 5 of of ADP fbem-28644 43 6 capm capm PROPN fbem-28644 43 7 in in ADP fbem-28644 43 8 china china PROPN fbem-28644 43 9 's 's PART fbem-28644 43 10 capital capital NOUN fbem-28644 43 11 market market NOUN fbem-28644 43 12 , , PUNCT fbem-28644 43 13 this this DET fbem-28644 43 14 paper paper NOUN fbem-28644 43 15 adopts adopt VERB fbem-28644 43 16 time time NOUN fbem-28644 43 17 series series PROPN fbem-28644 43 18 regression regression PROPN fbem-28644 43 19 model model NOUN fbem-28644 43 20 and and CCONJ fbem-28644 43 21 crosssectional crosssectional ADJ fbem-28644 43 22 regression regression NOUN fbem-28644 43 23 analysis analysis NOUN fbem-28644 43 24 . . PUNCT fbem-28644 44 1 the the DET fbem-28644 44 2 specific specific ADJ fbem-28644 44 3 method method NOUN fbem-28644 44 4 includes include VERB fbem-28644 44 5 two two NUM fbem-28644 44 6 steps step NOUN fbem-28644 44 7 : : PUNCT fbem-28644 44 8 first first ADV fbem-28644 44 9 , , PUNCT fbem-28644 44 10 the the DET fbem-28644 44 11 beta beta ADJ fbem-28644 44 12 value value NOUN fbem-28644 44 13 of of ADP fbem-28644 44 14 each each DET fbem-28644 44 15 stock stock NOUN fbem-28644 44 16 can can AUX fbem-28644 44 17 be be AUX fbem-28644 44 18 estimated estimate VERB fbem-28644 44 19 through through ADP fbem-28644 44 20 the the DET fbem-28644 44 21 time time NOUN fbem-28644 44 22 series series PROPN fbem-28644 44 23 regression regression PROPN fbem-28644 44 24 model model NOUN fbem-28644 44 25 , , PUNCT fbem-28644 44 26 and and CCONJ fbem-28644 44 27 its its PRON fbem-28644 44 28 linear linear ADJ fbem-28644 44 29 relationship relationship NOUN fbem-28644 44 30 with with ADP fbem-28644 44 31 stock stock NOUN fbem-28644 44 32 returns return NOUN fbem-28644 44 33 is be AUX fbem-28644 44 34 tested test VERB fbem-28644 44 35 ; ; PUNCT fbem-28644 44 36 second second X fbem-28644 44 37 , , PUNCT fbem-28644 44 38 the the DET fbem-28644 44 39 correlation correlation NOUN fbem-28644 44 40 between between ADP fbem-28644 44 41 the the DET fbem-28644 44 42 beta beta NOUN fbem-28644 44 43 value value NOUN fbem-28644 44 44 and and CCONJ fbem-28644 44 45 the the DET fbem-28644 44 46 excess excess ADJ fbem-28644 44 47 return return NOUN fbem-28644 44 48 of of ADP fbem-28644 44 49 the the DET fbem-28644 44 50 stock stock NOUN fbem-28644 44 51 portfolio portfolio NOUN fbem-28644 44 52 is be AUX fbem-28644 44 53 analyzed analyze VERB fbem-28644 44 54 through through ADP fbem-28644 44 55 the the DET fbem-28644 44 56 cross cross ADJ fbem-28644 44 57 - - ADJ fbem-28644 44 58 sectional sectional ADJ fbem-28644 44 59 regression regression NOUN fbem-28644 44 60 model model NOUN fbem-28644 44 61 to to PART fbem-28644 44 62 verify verify VERB fbem-28644 44 63 whether whether SCONJ fbem-28644 44 64 the the DET fbem-28644 44 65 assumptions assumption NOUN fbem-28644 44 66 of of ADP fbem-28644 44 67 capm capm PROPN fbem-28644 44 68 are be AUX fbem-28644 44 69 valid valid ADJ fbem-28644 44 70 under under ADP fbem-28644 44 71 different different ADJ fbem-28644 44 72 market market NOUN fbem-28644 44 73 conditions condition NOUN fbem-28644 44 74 . . PUNCT fbem-28644 45 1 3.3 3.3 NUM fbem-28644 45 2 . . PUNCT fbem-28644 45 3 time time PROPN fbem-28644 45 4 series series PROPN fbem-28644 45 5 regression regression PROPN fbem-28644 45 6 model model NOUN fbem-28644 45 7 to to PART fbem-28644 45 8 verify verify VERB fbem-28644 45 9 the the DET fbem-28644 45 10 relationship relationship NOUN fbem-28644 45 11 between between ADP fbem-28644 45 12 systematic systematic ADJ fbem-28644 45 13 risk risk NOUN fbem-28644 45 14 and and CCONJ fbem-28644 45 15 stock stock NOUN fbem-28644 45 16 returns return NOUN fbem-28644 45 17 , , PUNCT fbem-28644 45 18 this this DET fbem-28644 45 19 paper paper NOUN fbem-28644 45 20 uses use VERB fbem-28644 45 21 the the DET fbem-28644 45 22 following following ADJ fbem-28644 45 23 time time NOUN fbem-28644 45 24 series series PROPN fbem-28644 45 25 capm capm PROPN fbem-28644 45 26 regression regression PROPN fbem-28644 45 27 model model NOUN fbem-28644 45 28 : : PUNCT fbem-28644 46 1 𝑅𝑖,𝑑 𝑅𝑖,𝑑 ADJ fbem-28644 46 2 𝑒π‘₯𝑐𝑒𝑠𝑠 𝑒π‘₯𝑐𝑒𝑠𝑠 NOUN fbem-28644 46 3 = = PUNCT fbem-28644 46 4 𝛼 𝛼 NOUN fbem-28644 46 5 + + CCONJ fbem-28644 46 6 π›½π‘–π‘…π‘š,𝑑 π›½π‘–π‘…π‘š,𝑑 ADJ fbem-28644 46 7 𝑒π‘₯𝑐𝑒𝑠𝑠 𝑒π‘₯𝑐𝑒𝑠𝑠 NOUN fbem-28644 46 8 + + CCONJ fbem-28644 46 9 πœ€π‘‘ πœ€π‘‘ NOUN fbem-28644 46 10 ( ( PUNCT fbem-28644 46 11 4 4 NUM fbem-28644 46 12 ) ) PUNCT fbem-28644 46 13 in in ADP fbem-28644 46 14 this this DET fbem-28644 46 15 model model NOUN fbem-28644 46 16 : : PUNCT fbem-28644 46 17 𝑅𝑖,𝑑 𝑅𝑖,𝑑 ADJ fbem-28644 46 18 𝑒π‘₯𝑐𝑒𝑠𝑠 𝑒π‘₯𝑐𝑒𝑠𝑠 NOUN fbem-28644 46 19 is be AUX fbem-28644 46 20 the the DET fbem-28644 46 21 excess excess ADJ fbem-28644 46 22 return return NOUN fbem-28644 46 23 of of ADP fbem-28644 46 24 stock stock NOUN fbem-28644 46 25 i i PRON fbem-28644 46 26 in in ADP fbem-28644 46 27 week week NOUN fbem-28644 46 28 t t PROPN fbem-28644 46 29 ; ; PUNCT fbem-28644 46 30 π‘…π‘š,𝑑 π‘…π‘š,𝑑 PROPN fbem-28644 46 31 𝑒π‘₯𝑐𝑒𝑠𝑠 𝑒π‘₯𝑐𝑒𝑠𝑠 NOUN fbem-28644 46 32 is be AUX fbem-28644 46 33 the the DET fbem-28644 46 34 excess excess ADJ fbem-28644 46 35 return return NOUN fbem-28644 46 36 of of ADP fbem-28644 46 37 the the DET fbem-28644 46 38 market market NOUN fbem-28644 46 39 portfolio portfolio NOUN fbem-28644 46 40 ; ; PUNCT fbem-28644 46 41 𝛽𝑖 𝛽𝑖 VERB fbem-28644 46 42 is be AUX fbem-28644 46 43 the the DET fbem-28644 46 44 beta beta ADJ fbem-28644 46 45 coefficient coefficient NOUN fbem-28644 46 46 of of ADP fbem-28644 46 47 a a DET fbem-28644 46 48 stock stock NOUN fbem-28644 46 49 , , PUNCT fbem-28644 46 50 indicating indicate VERB fbem-28644 46 51 the the DET fbem-28644 46 52 intensity intensity NOUN fbem-28644 46 53 of of ADP fbem-28644 46 54 systematic systematic ADJ fbem-28644 46 55 risk risk NOUN fbem-28644 46 56 ; ; PUNCT fbem-28644 46 57 πœ€π‘‘ πœ€π‘‘ NOUN fbem-28644 46 58 is be AUX fbem-28644 46 59 the the DET fbem-28644 46 60 random random ADJ fbem-28644 46 61 error error NOUN fbem-28644 46 62 term term NOUN fbem-28644 46 63 , , PUNCT fbem-28644 46 64 which which PRON fbem-28644 46 65 represents represent VERB fbem-28644 46 66 the the DET fbem-28644 46 67 nonsystematic nonsystematic ADJ fbem-28644 46 68 risk risk NOUN fbem-28644 46 69 . . PUNCT fbem-28644 47 1 to to PART fbem-28644 47 2 further far ADV fbem-28644 47 3 test test VERB fbem-28644 47 4 the the DET fbem-28644 47 5 impact impact NOUN fbem-28644 47 6 of of ADP fbem-28644 47 7 non non ADJ fbem-28644 47 8 - - ADJ fbem-28644 47 9 systematic systematic ADJ fbem-28644 47 10 risk risk NOUN fbem-28644 47 11 on on ADP fbem-28644 47 12 stock stock NOUN fbem-28644 47 13 returns return NOUN fbem-28644 47 14 , , PUNCT fbem-28644 47 15 this this DET fbem-28644 47 16 paper paper NOUN fbem-28644 47 17 introduces introduce VERB fbem-28644 47 18 the the DET fbem-28644 47 19 residual residual ADJ fbem-28644 47 20 standard standard ADJ fbem-28644 47 21 deviation deviation NOUN fbem-28644 47 22 𝑆𝑖as 𝑆𝑖as PROPN fbem-28644 47 23 a a DET fbem-28644 47 24 proxy proxy NOUN fbem-28644 47 25 variable variable NOUN fbem-28644 47 26 for for ADP fbem-28644 47 27 non non ADJ fbem-28644 47 28 - - ADJ fbem-28644 47 29 systematic systematic ADJ fbem-28644 47 30 risk risk NOUN fbem-28644 47 31 and and CCONJ fbem-28644 47 32 expands expand VERB fbem-28644 47 33 the the DET fbem-28644 47 34 regression regression NOUN fbem-28644 47 35 model model NOUN fbem-28644 47 36 : : PUNCT fbem-28644 48 1 𝑅𝑖,𝑑 𝑅𝑖,𝑑 ADJ fbem-28644 48 2 𝑒π‘₯𝑐𝑒𝑠𝑠 𝑒π‘₯𝑐𝑒𝑠𝑠 NOUN fbem-28644 48 3 = = PUNCT fbem-28644 48 4 𝛼 𝛼 NOUN fbem-28644 48 5 + + CCONJ fbem-28644 48 6 π›½π‘–π‘…π‘š,𝑑 π›½π‘–π‘…π‘š,𝑑 ADJ fbem-28644 48 7 𝑒π‘₯𝑐𝑒𝑠𝑠 𝑒π‘₯𝑐𝑒𝑠𝑠 NOUN fbem-28644 48 8 + + CCONJ fbem-28644 48 9 𝛾𝑆𝑖 𝛾𝑆𝑖 NOUN fbem-28644 48 10 + + CCONJ fbem-28644 48 11 πœ€π‘‘ πœ€π‘‘ NOUN fbem-28644 48 12 ( ( PUNCT fbem-28644 48 13 5 5 NUM fbem-28644 48 14 ) ) PUNCT fbem-28644 48 15 where where SCONJ fbem-28644 48 16 Ξ³ Ξ³ PROPN fbem-28644 48 17 refers refer VERB fbem-28644 48 18 to to ADP fbem-28644 48 19 the the DET fbem-28644 48 20 coefficient coefficient NOUN fbem-28644 48 21 of of ADP fbem-28644 48 22 non non ADJ fbem-28644 48 23 - - ADJ fbem-28644 48 24 systematic systematic ADJ fbem-28644 48 25 risk risk NOUN fbem-28644 48 26 . . PUNCT fbem-28644 49 1 if if SCONJ fbem-28644 49 2 Ξ³ Ξ³ X fbem-28644 49 3 is be AUX fbem-28644 49 4 not not PART fbem-28644 49 5 of of ADP fbem-28644 49 6 significance significance NOUN fbem-28644 49 7 , , PUNCT fbem-28644 49 8 it it PRON fbem-28644 49 9 means mean VERB fbem-28644 49 10 that that SCONJ fbem-28644 49 11 non non ADJ fbem-28644 49 12 - - ADJ fbem-28644 49 13 systematic systematic ADJ fbem-28644 49 14 risk risk NOUN fbem-28644 49 15 has have VERB fbem-28644 49 16 little little ADJ fbem-28644 49 17 impact impact NOUN fbem-28644 49 18 on on ADP fbem-28644 49 19 stock stock NOUN fbem-28644 49 20 returns return NOUN fbem-28644 49 21 , , PUNCT fbem-28644 49 22 which which PRON fbem-28644 49 23 supports support VERB fbem-28644 49 24 the the DET fbem-28644 49 25 establishment establishment NOUN fbem-28644 49 26 of of ADP fbem-28644 49 27 the the DET fbem-28644 49 28 capm capm PROPN fbem-28644 49 29 model model NOUN fbem-28644 49 30 hypothesis hypothesis NOUN fbem-28644 49 31 . . PUNCT fbem-28644 50 1 4 4 X fbem-28644 50 2 . . X fbem-28644 50 3 empirical empirical ADJ fbem-28644 50 4 analysis analysis NOUN fbem-28644 50 5 this this DET fbem-28644 50 6 study study NOUN fbem-28644 50 7 applies apply VERB fbem-28644 50 8 the the DET fbem-28644 50 9 weekly weekly ADJ fbem-28644 50 10 return return NOUN fbem-28644 50 11 data datum NOUN fbem-28644 50 12 of of ADP fbem-28644 50 13 80 80 NUM fbem-28644 50 14 a a DET fbem-28644 50 15 - - PUNCT fbem-28644 50 16 share share NOUN fbem-28644 50 17 stocks stock NOUN fbem-28644 50 18 in in ADP fbem-28644 50 19 the the DET fbem-28644 50 20 shanghai shanghai PROPN fbem-28644 50 21 stock stock PROPN fbem-28644 50 22 exchange exchange PROPN fbem-28644 50 23 from from ADP fbem-28644 50 24 august august PROPN fbem-28644 50 25 5 5 NUM fbem-28644 50 26 , , PUNCT fbem-28644 50 27 2016 2016 NUM fbem-28644 50 28 to to ADP fbem-28644 50 29 august august PROPN fbem-28644 50 30 4 4 NUM fbem-28644 50 31 , , PUNCT fbem-28644 50 32 2019 2019 NUM fbem-28644 50 33 , , PUNCT fbem-28644 50 34 combined combine VERB fbem-28644 50 35 with with ADP fbem-28644 50 36 the the DET fbem-28644 50 37 weekly weekly ADJ fbem-28644 50 38 return return NOUN fbem-28644 50 39 of of ADP fbem-28644 50 40 the the DET fbem-28644 50 41 shanghai shanghai PROPN fbem-28644 50 42 stock stock PROPN fbem-28644 50 43 exchange exchange PROPN fbem-28644 50 44 a a DET fbem-28644 50 45 - - PUNCT fbem-28644 50 46 share share NOUN fbem-28644 50 47 index index NOUN fbem-28644 50 48 and and CCONJ fbem-28644 50 49 the the DET fbem-28644 50 50 one one NUM fbem-28644 50 51 - - PUNCT fbem-28644 50 52 year year NOUN fbem-28644 50 53 time time NOUN fbem-28644 50 54 deposit deposit NOUN fbem-28644 50 55 rate rate NOUN fbem-28644 50 56 as as ADP fbem-28644 50 57 a a DET fbem-28644 50 58 proxy proxy NOUN fbem-28644 50 59 for for ADP fbem-28644 50 60 the the DET fbem-28644 50 61 risk risk NOUN fbem-28644 50 62 - - PUNCT fbem-28644 50 63 free free ADJ fbem-28644 50 64 interest interest NOUN fbem-28644 50 65 rate rate NOUN fbem-28644 50 66 , , PUNCT fbem-28644 50 67 to to PART fbem-28644 50 68 conduct conduct VERB fbem-28644 50 69 an an DET fbem-28644 50 70 empirical empirical ADJ fbem-28644 50 71 test test NOUN fbem-28644 50 72 on on ADP fbem-28644 50 73 the the DET fbem-28644 50 74 capital capital NOUN fbem-28644 50 75 asset asset NOUN fbem-28644 50 76 pricing pricing NOUN fbem-28644 50 77 model model NOUN fbem-28644 50 78 ( ( PUNCT fbem-28644 50 79 capm capm PROPN fbem-28644 50 80 ) ) PUNCT fbem-28644 50 81 . . PUNCT fbem-28644 51 1 the the DET fbem-28644 51 2 empirical empirical ADJ fbem-28644 51 3 analysis analysis NOUN fbem-28644 51 4 has have VERB fbem-28644 51 5 the the DET fbem-28644 51 6 following follow VERB fbem-28644 51 7 two two NUM fbem-28644 51 8 parts part NOUN fbem-28644 51 9 : : PUNCT fbem-28644 51 10 one one NUM fbem-28644 51 11 is be AUX fbem-28644 51 12 the the DET fbem-28644 51 13 test test NOUN fbem-28644 51 14 of of ADP fbem-28644 51 15 the the DET fbem-28644 51 16 correlation correlation NOUN fbem-28644 51 17 between between ADP fbem-28644 51 18 the the DET fbem-28644 51 19 beta beta ADJ fbem-28644 51 20 coefficient coefficient NOUN fbem-28644 51 21 and and CCONJ fbem-28644 51 22 stock stock NOUN fbem-28644 51 23 returns return NOUN fbem-28644 51 24 , , PUNCT fbem-28644 51 25 and and CCONJ fbem-28644 51 26 the the DET fbem-28644 51 27 other other ADJ fbem-28644 51 28 is be AUX fbem-28644 51 29 the the DET fbem-28644 51 30 test test NOUN fbem-28644 51 31 of of ADP fbem-28644 51 32 the the DET fbem-28644 51 33 impact impact NOUN fbem-28644 51 34 of of ADP fbem-28644 51 35 non non ADJ fbem-28644 51 36 - - ADJ fbem-28644 51 37 systematic systematic ADJ fbem-28644 51 38 risk risk NOUN fbem-28644 51 39 . . PUNCT fbem-28644 52 1 through through ADP fbem-28644 52 2 these these DET fbem-28644 52 3 analyses analysis NOUN fbem-28644 52 4 , , PUNCT fbem-28644 52 5 we we PRON fbem-28644 52 6 can can AUX fbem-28644 52 7 evaluate evaluate VERB fbem-28644 52 8 the the DET fbem-28644 52 9 applicability applicability NOUN fbem-28644 52 10 of of ADP fbem-28644 52 11 the the DET fbem-28644 52 12 capm capm PROPN fbem-28644 52 13 model model NOUN fbem-28644 52 14 in in ADP fbem-28644 52 15 china china PROPN fbem-28644 52 16 's 's PART fbem-28644 52 17 capital capital NOUN fbem-28644 52 18 market market NOUN fbem-28644 52 19 . . PUNCT fbem-28644 53 1 4.1 4.1 NUM fbem-28644 53 2 . . PUNCT fbem-28644 53 3 testing test VERB fbem-28644 53 4 the the DET fbem-28644 53 5 correlation correlation NOUN fbem-28644 53 6 between between ADP fbem-28644 53 7 beta beta ADJ fbem-28644 53 8 coefficient coefficient NOUN fbem-28644 53 9 estimation estimation NOUN fbem-28644 53 10 and and CCONJ fbem-28644 53 11 stock stock NOUN fbem-28644 53 12 returns return NOUN fbem-28644 53 13 the the DET fbem-28644 53 14 core core NOUN fbem-28644 53 15 assumption assumption NOUN fbem-28644 53 16 of of ADP fbem-28644 53 17 capm capm PROPN fbem-28644 53 18 is be AUX fbem-28644 53 19 that that SCONJ fbem-28644 53 20 the the DET fbem-28644 53 21 expected expect VERB fbem-28644 53 22 return return NOUN fbem-28644 53 23 of of ADP fbem-28644 53 24 a a DET fbem-28644 53 25 stock stock NOUN fbem-28644 53 26 is be AUX fbem-28644 53 27 in in ADP fbem-28644 53 28 proportion proportion NOUN fbem-28644 53 29 to to ADP fbem-28644 53 30 its its PRON fbem-28644 53 31 systematic systematic ADJ fbem-28644 53 32 risk risk NOUN fbem-28644 53 33 ( ( PUNCT fbem-28644 53 34 beta beta ADJ fbem-28644 53 35 coefficient coefficient NOUN fbem-28644 53 36 ) ) PUNCT fbem-28644 53 37 . . PUNCT fbem-28644 54 1 it it PRON fbem-28644 54 2 indicates indicate VERB fbem-28644 54 3 the the DET fbem-28644 54 4 higher high ADJ fbem-28644 54 5 the the DET fbem-28644 54 6 beta beta ADJ fbem-28644 54 7 coefficient coefficient NOUN fbem-28644 54 8 , , PUNCT fbem-28644 54 9 the the PRON fbem-28644 54 10 higher high ADJ fbem-28644 54 11 the the DET fbem-28644 54 12 expected expected ADJ fbem-28644 54 13 excess excess ADJ fbem-28644 54 14 return return NOUN fbem-28644 54 15 of of ADP fbem-28644 54 16 the the DET fbem-28644 54 17 stock stock NOUN fbem-28644 54 18 . . PUNCT fbem-28644 55 1 therefore therefore ADV fbem-28644 55 2 , , PUNCT fbem-28644 55 3 this this DET fbem-28644 55 4 study study NOUN fbem-28644 55 5 first first ADV fbem-28644 55 6 estimates estimate VERB fbem-28644 55 7 the the DET fbem-28644 55 8 beta beta ADJ fbem-28644 55 9 coefficient coefficient NOUN fbem-28644 55 10 of of ADP fbem-28644 55 11 each each DET fbem-28644 55 12 stock stock NOUN fbem-28644 55 13 and and CCONJ fbem-28644 55 14 then then ADV fbem-28644 55 15 examines examine VERB fbem-28644 55 16 the the DET fbem-28644 55 17 relationship relationship NOUN fbem-28644 55 18 between between ADP fbem-28644 55 19 the the DET fbem-28644 55 20 beta beta NOUN fbem-28644 55 21 value value NOUN fbem-28644 55 22 and and CCONJ fbem-28644 55 23 the the DET fbem-28644 55 24 stock stock NOUN fbem-28644 55 25 's 's PART fbem-28644 55 26 excess excess ADJ fbem-28644 55 27 return return NOUN fbem-28644 55 28 . . PUNCT fbem-28644 56 1 4.1.1 4.1.1 X fbem-28644 56 2 . . PUNCT fbem-28644 56 3 data datum NOUN fbem-28644 56 4 processing processing NOUN fbem-28644 56 5 and and CCONJ fbem-28644 56 6 calculation calculation NOUN fbem-28644 56 7 we we PRON fbem-28644 56 8 use use VERB fbem-28644 56 9 the the DET fbem-28644 56 10 weekly weekly ADJ fbem-28644 56 11 stock stock NOUN fbem-28644 56 12 prices price NOUN fbem-28644 56 13 and and CCONJ fbem-28644 56 14 the the DET fbem-28644 56 15 adjusted adjust VERB fbem-28644 56 16 prices price NOUN fbem-28644 56 17 of of ADP fbem-28644 56 18 the the DET fbem-28644 56 19 market market NOUN fbem-28644 56 20 index index NOUN fbem-28644 56 21 ( ( PUNCT fbem-28644 56 22 shanghai shanghai PROPN fbem-28644 56 23 a a PROPN fbem-28644 56 24 - - PUNCT fbem-28644 56 25 share share NOUN fbem-28644 56 26 index index NOUN fbem-28644 56 27 ) ) PUNCT fbem-28644 56 28 to to PART fbem-28644 56 29 calculate calculate VERB fbem-28644 56 30 the the DET fbem-28644 56 31 weekly weekly ADJ fbem-28644 56 32 returns return NOUN fbem-28644 56 33 of of ADP fbem-28644 56 34 stocks stock NOUN fbem-28644 56 35 and and CCONJ fbem-28644 56 36 the the DET fbem-28644 56 37 market market NOUN fbem-28644 56 38 . . PUNCT fbem-28644 57 1 the the DET fbem-28644 57 2 calculation calculation NOUN fbem-28644 57 3 formula formula NOUN fbem-28644 57 4 is be AUX fbem-28644 57 5 presented present VERB fbem-28644 57 6 as as SCONJ fbem-28644 57 7 follows follow VERB fbem-28644 57 8 : : PUNCT fbem-28644 57 9 𝑅𝑖,𝑑 𝑅𝑖,𝑑 ADJ fbem-28644 57 10 = = PUNCT fbem-28644 57 11 𝑃𝑖,π‘‘βˆ’π‘ƒπ‘–,π‘‘βˆ’1 𝑃𝑖,π‘‘βˆ’π‘ƒπ‘–,π‘‘βˆ’1 PROPN fbem-28644 57 12 𝑃𝑖,π‘‘βˆ’1 𝑃𝑖,π‘‘βˆ’1 PROPN fbem-28644 57 13 ( ( PUNCT fbem-28644 57 14 6 6 NUM fbem-28644 57 15 ) ) PUNCT fbem-28644 57 16 among among ADP fbem-28644 57 17 them they PRON fbem-28644 57 18 , , PUNCT fbem-28644 57 19 𝑅𝑖,𝑑 𝑅𝑖,𝑑 NOUN fbem-28644 57 20 is be AUX fbem-28644 57 21 the the DET fbem-28644 57 22 rate rate NOUN fbem-28644 57 23 of of ADP fbem-28644 57 24 return return NOUN fbem-28644 57 25 of of ADP fbem-28644 57 26 stock stock NOUN fbem-28644 57 27 i i PRON fbem-28644 57 28 in in ADP fbem-28644 57 29 week week NOUN fbem-28644 57 30 t t PROPN fbem-28644 57 31 , , PUNCT fbem-28644 57 32 is be AUX fbem-28644 57 33 𝑃𝑖,𝑑 𝑃𝑖,𝑑 VERB fbem-28644 57 34 the the DET fbem-28644 57 35 closing closing NOUN fbem-28644 57 36 price price NOUN fbem-28644 57 37 of of ADP fbem-28644 57 38 𝑃𝑖,π‘‘βˆ’1 𝑃𝑖,π‘‘βˆ’1 PROPN fbem-28644 57 39 the the DET fbem-28644 57 40 stock stock NOUN fbem-28644 57 41 in in ADP fbem-28644 57 42 that that DET fbem-28644 57 43 week week NOUN fbem-28644 57 44 , , PUNCT fbem-28644 57 45 and and CCONJ fbem-28644 57 46 refers refer VERB fbem-28644 57 47 to to ADP fbem-28644 57 48 the the DET fbem-28644 57 49 closing closing NOUN fbem-28644 57 50 price price NOUN fbem-28644 57 51 of of ADP fbem-28644 57 52 the the DET fbem-28644 57 53 previous previous ADJ fbem-28644 57 54 week week NOUN fbem-28644 57 55 . . PUNCT fbem-28644 58 1 the the DET fbem-28644 58 2 weekly weekly ADJ fbem-28644 58 3 rate rate NOUN fbem-28644 58 4 of of ADP fbem-28644 58 5 return return NOUN fbem-28644 58 6 of of ADP fbem-28644 58 7 the the DET fbem-28644 58 8 market market NOUN fbem-28644 58 9 π‘…π‘š,𝑑is π‘…π‘š,𝑑is PUNCT fbem-28644 58 10 calculated calculate VERB fbem-28644 58 11 using use VERB fbem-28644 58 12 the the DET fbem-28644 58 13 same same ADJ fbem-28644 58 14 formula formula NOUN fbem-28644 58 15 . . PUNCT fbem-28644 59 1 then then ADV fbem-28644 59 2 , , PUNCT fbem-28644 59 3 the the DET fbem-28644 59 4 excess excess ADJ fbem-28644 59 5 return return NOUN fbem-28644 59 6 of of ADP fbem-28644 59 7 a a DET fbem-28644 59 8 stock stock NOUN fbem-28644 59 9 is be AUX fbem-28644 59 10 defined define VERB fbem-28644 59 11 as as ADP fbem-28644 59 12 : : PUNCT fbem-28644 59 13 𝑅i 𝑅i PROPN fbem-28644 59 14 , , PUNCT fbem-28644 59 15 t t NOUN fbem-28644 59 16 excess excess ADJ fbem-28644 59 17 = = SYM fbem-28644 59 18 𝑅𝑖,𝑑 𝑅𝑖,𝑑 NOUN fbem-28644 59 19 βˆ’ βˆ’ PRON fbem-28644 59 20 𝑅𝑓 𝑅𝑓 PROPN fbem-28644 59 21 ( ( PUNCT fbem-28644 59 22 7 7 NUM fbem-28644 59 23 ) ) PUNCT fbem-28644 59 24 where where SCONJ fbem-28644 59 25 𝑅𝑓 𝑅𝑓 PROPN fbem-28644 59 26 is be AUX fbem-28644 59 27 the the DET fbem-28644 59 28 risk risk NOUN fbem-28644 59 29 - - PUNCT fbem-28644 59 30 free free ADJ fbem-28644 59 31 rate rate NOUN fbem-28644 59 32 . . PUNCT fbem-28644 60 1 this this DET fbem-28644 60 2 article article NOUN fbem-28644 60 3 uses use VERB fbem-28644 60 4 the the DET fbem-28644 60 5 oneyear oneyear ADJ fbem-28644 60 6 time time NOUN fbem-28644 60 7 deposit deposit NOUN fbem-28644 60 8 rate rate NOUN fbem-28644 60 9 of of ADP fbem-28644 60 10 1.5 1.5 NUM fbem-28644 60 11 % % NOUN fbem-28644 60 12 as as ADP fbem-28644 60 13 a a DET fbem-28644 60 14 proxy proxy NOUN fbem-28644 60 15 for for ADP fbem-28644 60 16 the the DET fbem-28644 60 17 riskfree riskfree NOUN fbem-28644 60 18 rate rate NOUN fbem-28644 60 19 and and CCONJ fbem-28644 60 20 converts convert VERB fbem-28644 60 21 it it PRON fbem-28644 60 22 into into ADP fbem-28644 60 23 a a DET fbem-28644 60 24 weekly weekly ADJ fbem-28644 60 25 interest interest NOUN fbem-28644 60 26 rate rate NOUN fbem-28644 60 27 : : PUNCT fbem-28644 61 1 𝑅𝑓 𝑅𝑓 ADP fbem-28644 61 2 = = NOUN fbem-28644 61 3 1.5 1.5 NUM fbem-28644 61 4 % % NOUN fbem-28644 61 5 52 52 NUM fbem-28644 61 6 = = SYM fbem-28644 61 7 0.0288 0.0288 NUM fbem-28644 61 8 % % NOUN fbem-28644 61 9 ( ( PUNCT fbem-28644 61 10 8) 8) NUM fbem-28644 61 11 4.1.2 4.1.2 NUM fbem-28644 61 12 . . PUNCT fbem-28644 62 1 beta beta ADJ fbem-28644 62 2 coefficient coefficient NOUN fbem-28644 62 3 estimation estimation NOUN fbem-28644 62 4 to to PART fbem-28644 62 5 estimate estimate VERB fbem-28644 62 6 the the DET fbem-28644 62 7 beta beta NOUN fbem-28644 62 8 of of ADP fbem-28644 62 9 each each DET fbem-28644 62 10 stock stock NOUN fbem-28644 62 11 , , PUNCT fbem-28644 62 12 the the DET fbem-28644 62 13 following follow VERB fbem-28644 62 14 capm capm PROPN fbem-28644 62 15 regression regression NOUN fbem-28644 62 16 model model NOUN fbem-28644 62 17 is be AUX fbem-28644 62 18 used use VERB fbem-28644 62 19 : : PUNCT fbem-28644 62 20 401 401 NUM fbem-28644 63 1 𝑅𝑖,𝑑 𝑅𝑖,𝑑 VERB fbem-28644 63 2 𝑒π‘₯𝑐𝑒𝑠𝑠 𝑒π‘₯𝑐𝑒𝑠𝑠 NOUN fbem-28644 63 3 = = PUNCT fbem-28644 63 4 𝛼 𝛼 NOUN fbem-28644 63 5 + + CCONJ fbem-28644 63 6 π›½π‘–π‘…π‘š,𝑑 π›½π‘–π‘…π‘š,𝑑 ADJ fbem-28644 63 7 𝑒π‘₯𝑐𝑒𝑠𝑠 𝑒π‘₯𝑐𝑒𝑠𝑠 NOUN fbem-28644 63 8 + + CCONJ fbem-28644 63 9 πœ€π‘‘ πœ€π‘‘ NOUN fbem-28644 63 10 ( ( PUNCT fbem-28644 63 11 9 9 NUM fbem-28644 63 12 ) ) PUNCT fbem-28644 63 13 among among ADP fbem-28644 63 14 them they PRON fbem-28644 63 15 , , PUNCT fbem-28644 63 16 π‘…π‘š,𝑑 π‘…π‘š,𝑑 PROPN fbem-28644 63 17 𝑒π‘₯𝑐𝑒𝑠𝑠 𝑒π‘₯𝑐𝑒𝑠𝑠 NOUN fbem-28644 63 18 is be AUX fbem-28644 63 19 the the DET fbem-28644 63 20 excess excess ADJ fbem-28644 63 21 return return NOUN fbem-28644 63 22 of of ADP fbem-28644 63 23 the the DET fbem-28644 63 24 market market NOUN fbem-28644 63 25 , , PUNCT fbem-28644 63 26 𝛽𝑖is 𝛽𝑖i VERB fbem-28644 63 27 the the DET fbem-28644 63 28 beta beta ADJ fbem-28644 63 29 coefficient coefficient NOUN fbem-28644 63 30 of of ADP fbem-28644 63 31 stock stock NOUN fbem-28644 63 32 i i PRON fbem-28644 63 33 , , PUNCT fbem-28644 63 34 𝛼 𝛼 PROPN fbem-28644 63 35 represents represent VERB fbem-28644 63 36 the the DET fbem-28644 63 37 constant constant ADJ fbem-28644 63 38 term term NOUN fbem-28644 63 39 , , PUNCT fbem-28644 63 40 and and CCONJ fbem-28644 63 41 πœ€π‘‘is πœ€π‘‘is VERB fbem-28644 63 42 the the DET fbem-28644 63 43 residual residual NOUN fbem-28644 63 44 . . PUNCT fbem-28644 64 1 the the DET fbem-28644 64 2 estimation estimation NOUN fbem-28644 64 3 results result NOUN fbem-28644 64 4 of of ADP fbem-28644 64 5 the the DET fbem-28644 64 6 beta beta ADJ fbem-28644 64 7 coefficient coefficient NOUN fbem-28644 64 8 show show VERB fbem-28644 64 9 that that SCONJ fbem-28644 64 10 the the DET fbem-28644 64 11 beta beta ADJ fbem-28644 64 12 values value NOUN fbem-28644 64 13 of of ADP fbem-28644 64 14 different different ADJ fbem-28644 64 15 stocks stock NOUN fbem-28644 64 16 vary vary VERB fbem-28644 64 17 greatly greatly ADV fbem-28644 64 18 , , PUNCT fbem-28644 64 19 reflecting reflect VERB fbem-28644 64 20 the the DET fbem-28644 64 21 different different ADJ fbem-28644 64 22 sensitivities sensitivity NOUN fbem-28644 64 23 of of ADP fbem-28644 64 24 different different ADJ fbem-28644 64 25 stocks stock NOUN fbem-28644 64 26 to to ADP fbem-28644 64 27 market market NOUN fbem-28644 64 28 fluctuations fluctuation NOUN fbem-28644 64 29 . . PUNCT fbem-28644 65 1 table table NOUN fbem-28644 65 2 1 1 NUM fbem-28644 65 3 shows show VERB fbem-28644 65 4 the the DET fbem-28644 65 5 regression regression NOUN fbem-28644 65 6 results result NOUN fbem-28644 65 7 for for ADP fbem-28644 65 8 some some DET fbem-28644 65 9 stocks stock NOUN fbem-28644 65 10 , , PUNCT fbem-28644 65 11 including include VERB fbem-28644 65 12 the the DET fbem-28644 65 13 estimated estimate VERB fbem-28644 65 14 beta beta ADJ fbem-28644 65 15 values value NOUN fbem-28644 65 16 and and CCONJ fbem-28644 65 17 the the DET fbem-28644 65 18 goodness goodness NOUN fbem-28644 65 19 of of ADP fbem-28644 65 20 fit fit NOUN fbem-28644 65 21 of of ADP fbem-28644 65 22 the the DET fbem-28644 65 23 regression regression NOUN fbem-28644 65 24 model model NOUN fbem-28644 65 25 𝑅2 𝑅2 NOUN fbem-28644 65 26 . . PUNCT fbem-28644 66 1 table table NOUN fbem-28644 66 2 1 1 NUM fbem-28644 66 3 . . PUNCT fbem-28644 67 1 the the DET fbem-28644 67 2 regression regression NOUN fbem-28644 67 3 results result VERB fbem-28644 67 4 for for ADP fbem-28644 67 5 some some DET fbem-28644 67 6 stocks stock NOUN fbem-28644 67 7 stock stock NOUN fbem-28644 67 8 code code PROPN fbem-28644 67 9 beta beta PROPN fbem-28644 67 10 coefficient coefficient NOUN fbem-28644 67 11 𝛼 𝛼 ADP fbem-28644 67 12 𝑅2 𝑅2 NOUN fbem-28644 67 13 600000 600000 NUM fbem-28644 67 14 1.02 1.02 NUM fbem-28644 67 15 0.0012 0.0012 NUM fbem-28644 67 16 0.65 0.65 NUM fbem-28644 67 17 600004 600004 NUM fbem-28644 67 18 0.85 0.85 NUM fbem-28644 67 19 0.0009 0.0009 NUM fbem-28644 67 20 0.58 0.58 NUM fbem-28644 67 21 600009 600009 NUM fbem-28644 67 22 1.10 1.10 NUM fbem-28644 67 23 0.0016 0.0016 NUM fbem-28644 67 24 0.70 0.70 NUM fbem-28644 67 25 600016 600016 NUM fbem-28644 67 26 0.75 0.75 NUM fbem-28644 67 27 0.0005 0.0005 NUM fbem-28644 67 28 0.52 0.52 NUM fbem-28644 67 29 600028 600028 NUM fbem-28644 67 30 1.20 1.20 NUM fbem-28644 67 31 0.0021 0.0021 NUM fbem-28644 67 32 0.75 0.75 NUM fbem-28644 67 33 600030 600030 NUM fbem-28644 67 34 0.95 0.95 NUM fbem-28644 67 35 0.0010 0.0010 NUM fbem-28644 67 36 0.62 0.62 NUM fbem-28644 67 37 based base VERB fbem-28644 67 38 on on ADP fbem-28644 67 39 table table NOUN fbem-28644 67 40 1 1 NUM fbem-28644 67 41 , , PUNCT fbem-28644 67 42 the the DET fbem-28644 67 43 beta beta ADJ fbem-28644 67 44 coefficient coefficient NOUN fbem-28644 67 45 is be AUX fbem-28644 67 46 associated associate VERB fbem-28644 67 47 with with ADP fbem-28644 67 48 the the DET fbem-28644 67 49 market market NOUN fbem-28644 67 50 volatility volatility NOUN fbem-28644 67 51 of of ADP fbem-28644 67 52 stocks stock NOUN fbem-28644 67 53 . . PUNCT fbem-28644 68 1 the the DET fbem-28644 68 2 excess excess ADJ fbem-28644 68 3 returns return NOUN fbem-28644 68 4 of of ADP fbem-28644 68 5 high high ADJ fbem-28644 68 6 - - PUNCT fbem-28644 68 7 beta beta NOUN fbem-28644 68 8 stocks stock NOUN fbem-28644 68 9 such such ADJ fbem-28644 68 10 as as ADP fbem-28644 68 11 600028 600028 NUM fbem-28644 68 12 ( ( PUNCT fbem-28644 68 13 beta beta ADJ fbem-28644 68 14 coefficient coefficient NOUN fbem-28644 68 15 1.20 1.20 NUM fbem-28644 68 16 ) ) PUNCT fbem-28644 68 17 are be AUX fbem-28644 68 18 highly highly ADV fbem-28644 68 19 correlated correlate VERB fbem-28644 68 20 with with ADP fbem-28644 68 21 market market NOUN fbem-28644 68 22 volatility volatility NOUN fbem-28644 68 23 , , PUNCT fbem-28644 68 24 while while SCONJ fbem-28644 68 25 low low ADJ fbem-28644 68 26 - - PUNCT fbem-28644 68 27 beta beta NOUN fbem-28644 68 28 stocks stock NOUN fbem-28644 68 29 such such ADJ fbem-28644 68 30 as as ADP fbem-28644 68 31 600016 600016 NUM fbem-28644 68 32 ( ( PUNCT fbem-28644 68 33 beta beta ADJ fbem-28644 68 34 coefficient coefficient NOUN fbem-28644 68 35 0.75 0.75 NUM fbem-28644 68 36 ) ) PUNCT fbem-28644 68 37 are be AUX fbem-28644 68 38 relatively relatively ADV fbem-28644 68 39 stable stable ADJ fbem-28644 68 40 . . PUNCT fbem-28644 69 1 in in ADP fbem-28644 69 2 addition addition NOUN fbem-28644 69 3 , , PUNCT fbem-28644 69 4 𝑅2 𝑅2 SCONJ fbem-28644 69 5 the the DET fbem-28644 69 6 values value NOUN fbem-28644 69 7 of of ADP fbem-28644 69 8 all all DET fbem-28644 69 9 stocks stock NOUN fbem-28644 69 10 are be AUX fbem-28644 69 11 above above ADP fbem-28644 69 12 0.50 0.50 NUM fbem-28644 69 13 , , PUNCT fbem-28644 69 14 suggesting suggest VERB fbem-28644 69 15 that that SCONJ fbem-28644 69 16 the the DET fbem-28644 69 17 model model NOUN fbem-28644 69 18 has have VERB fbem-28644 69 19 a a DET fbem-28644 69 20 strong strong ADJ fbem-28644 69 21 explanatory explanatory ADJ fbem-28644 69 22 power power NOUN fbem-28644 69 23 for for ADP fbem-28644 69 24 stock stock NOUN fbem-28644 69 25 returns return NOUN fbem-28644 69 26 . . PUNCT fbem-28644 70 1 4.1.3 4.1.3 X fbem-28644 70 2 . . PUNCT fbem-28644 70 3 stock stock NOUN fbem-28644 70 4 portfolio portfolio NOUN fbem-28644 70 5 analysis analysis NOUN fbem-28644 70 6 to to PART fbem-28644 70 7 further far ADV fbem-28644 70 8 verify verify VERB fbem-28644 70 9 the the DET fbem-28644 70 10 relationship relationship NOUN fbem-28644 70 11 between between ADP fbem-28644 70 12 beta beta NOUN fbem-28644 70 13 and and CCONJ fbem-28644 70 14 stock stock NOUN fbem-28644 70 15 returns return NOUN fbem-28644 70 16 , , PUNCT fbem-28644 70 17 we we PRON fbem-28644 70 18 divide divide VERB fbem-28644 70 19 stocks stock NOUN fbem-28644 70 20 into into ADP fbem-28644 70 21 three three NUM fbem-28644 70 22 groups group NOUN fbem-28644 70 23 in in ADP fbem-28644 70 24 accordance accordance NOUN fbem-28644 70 25 with with ADP fbem-28644 70 26 their their PRON fbem-28644 70 27 beta beta ADJ fbem-28644 70 28 values value NOUN fbem-28644 70 29 : : PUNCT fbem-28644 70 30 low low ADJ fbem-28644 70 31 beta beta NOUN fbem-28644 70 32 group group NOUN fbem-28644 70 33 ( ( PUNCT fbem-28644 70 34 𝛽 𝛽 NOUN fbem-28644 70 35 < < X fbem-28644 70 36 0.7 0.7 NUM fbem-28644 70 37 ) ) PUNCT fbem-28644 70 38 , , PUNCT fbem-28644 70 39 medium medium ADJ fbem-28644 70 40 beta beta NOUN fbem-28644 70 41 group group NOUN fbem-28644 70 42 ( ( PUNCT fbem-28644 70 43 0.7 0.7 NUM fbem-28644 70 44 ≀ ≀ NUM fbem-28644 70 45 𝛽 𝛽 NOUN fbem-28644 70 46 ≀ ≀ ADV fbem-28644 70 47 1.0 1.0 NUM fbem-28644 70 48 ) ) PUNCT fbem-28644 70 49 , , PUNCT fbem-28644 70 50 and and CCONJ fbem-28644 70 51 high high ADJ fbem-28644 70 52 beta beta NOUN fbem-28644 70 53 group group NOUN fbem-28644 70 54 ( ( PUNCT fbem-28644 70 55 𝛽 𝛽 NOUN fbem-28644 70 56 > > X fbem-28644 70 57 1.0 1.0 NUM fbem-28644 70 58 ) ) PUNCT fbem-28644 70 59 . . PUNCT fbem-28644 71 1 then then ADV fbem-28644 71 2 we we PRON fbem-28644 71 3 calculate calculate VERB fbem-28644 71 4 the the DET fbem-28644 71 5 average average ADJ fbem-28644 71 6 beta beta NOUN fbem-28644 71 7 value value NOUN fbem-28644 71 8 and and CCONJ fbem-28644 71 9 average average ADJ fbem-28644 71 10 excess excess ADJ fbem-28644 71 11 return return NOUN fbem-28644 71 12 of of ADP fbem-28644 71 13 each each DET fbem-28644 71 14 group group NOUN fbem-28644 71 15 of of ADP fbem-28644 71 16 stocks stock NOUN fbem-28644 71 17 , , PUNCT fbem-28644 71 18 and and CCONJ fbem-28644 71 19 perform perform VERB fbem-28644 71 20 regression regression NOUN fbem-28644 71 21 analysis analysis NOUN fbem-28644 71 22 in in ADP fbem-28644 71 23 order order NOUN fbem-28644 71 24 to to PART fbem-28644 71 25 test test VERB fbem-28644 71 26 the the DET fbem-28644 71 27 linear linear ADJ fbem-28644 71 28 relationship relationship NOUN fbem-28644 71 29 between between ADP fbem-28644 71 30 beta beta NOUN fbem-28644 71 31 and and CCONJ fbem-28644 71 32 returns return NOUN fbem-28644 71 33 . . PUNCT fbem-28644 72 1 the the DET fbem-28644 72 2 results result NOUN fbem-28644 72 3 are be AUX fbem-28644 72 4 as as SCONJ fbem-28644 72 5 table table NOUN fbem-28644 72 6 2 2 NUM fbem-28644 72 7 follows follow VERB fbem-28644 72 8 : : PUNCT fbem-28644 72 9 table table NOUN fbem-28644 72 10 2 2 NUM fbem-28644 72 11 . . PUNCT fbem-28644 73 1 the the DET fbem-28644 73 2 average average ADJ fbem-28644 73 3 beta beta NOUN fbem-28644 73 4 value value NOUN fbem-28644 73 5 and and CCONJ fbem-28644 73 6 average average ADJ fbem-28644 73 7 excess excess ADJ fbem-28644 73 8 return return NOUN fbem-28644 73 9 of of ADP fbem-28644 73 10 each each DET fbem-28644 73 11 group group NOUN fbem-28644 73 12 of of ADP fbem-28644 73 13 stocks stock NOUN fbem-28644 73 14 group group NOUN fbem-28644 73 15 average average ADJ fbem-28644 73 16 beta beta ADJ fbem-28644 73 17 average average ADJ fbem-28644 73 18 excess excess ADJ fbem-28644 73 19 return return NOUN fbem-28644 73 20 ( ( PUNCT fbem-28644 73 21 % % INTJ fbem-28644 73 22 ) ) PUNCT fbem-28644 73 23 low low ADJ fbem-28644 73 24 beta beta NOUN fbem-28644 73 25 group group NOUN fbem-28644 73 26 0.55 0.55 NUM fbem-28644 73 27 0.02 0.02 NUM fbem-28644 73 28 medium medium NOUN fbem-28644 73 29 beta beta NOUN fbem-28644 73 30 group group NOUN fbem-28644 73 31 0.85 0.85 NUM fbem-28644 73 32 0.08 0.08 NUM fbem-28644 73 33 high high ADJ fbem-28644 73 34 beta beta NOUN fbem-28644 73 35 group group NOUN fbem-28644 73 36 1.15 1.15 NUM fbem-28644 73 37 0.15 0.15 NUM fbem-28644 73 38 the the DET fbem-28644 73 39 regression regression NOUN fbem-28644 73 40 results result NOUN fbem-28644 73 41 show show VERB fbem-28644 73 42 that that SCONJ fbem-28644 73 43 beta beta NOUN fbem-28644 73 44 value value NOUN fbem-28644 73 45 and and CCONJ fbem-28644 73 46 the the DET fbem-28644 73 47 excess excess ADJ fbem-28644 73 48 return return NOUN fbem-28644 73 49 of of ADP fbem-28644 73 50 stocks stock NOUN fbem-28644 73 51 are be AUX fbem-28644 73 52 significantly significantly ADV fbem-28644 73 53 positively positively ADV fbem-28644 73 54 correlated correlate VERB fbem-28644 73 55 . . PUNCT fbem-28644 74 1 the the DET fbem-28644 74 2 average average ADJ fbem-28644 74 3 excess excess ADJ fbem-28644 74 4 return return NOUN fbem-28644 74 5 of of ADP fbem-28644 74 6 stocks stock NOUN fbem-28644 74 7 in in ADP fbem-28644 74 8 the the DET fbem-28644 74 9 high high ADJ fbem-28644 74 10 beta beta NOUN fbem-28644 74 11 group group NOUN fbem-28644 74 12 is be AUX fbem-28644 74 13 0.15 0.15 NUM fbem-28644 74 14 % % NOUN fbem-28644 74 15 , , PUNCT fbem-28644 74 16 much much ADV fbem-28644 74 17 higher high ADJ fbem-28644 74 18 than than ADP fbem-28644 74 19 the the DET fbem-28644 74 20 0.02 0.02 NUM fbem-28644 74 21 % % NOUN fbem-28644 74 22 of of ADP fbem-28644 74 23 the the DET fbem-28644 74 24 low low ADJ fbem-28644 74 25 beta beta NOUN fbem-28644 74 26 group group NOUN fbem-28644 74 27 . . PUNCT fbem-28644 75 1 this this DET fbem-28644 75 2 result result NOUN fbem-28644 75 3 supports support VERB fbem-28644 75 4 the the DET fbem-28644 75 5 basic basic ADJ fbem-28644 75 6 assumption assumption NOUN fbem-28644 75 7 of of ADP fbem-28644 75 8 capm capm PROPN fbem-28644 75 9 : : PUNCT fbem-28644 75 10 stocks stock NOUN fbem-28644 75 11 with with ADP fbem-28644 75 12 higher high ADJ fbem-28644 75 13 systematic systematic ADJ fbem-28644 75 14 risks risk NOUN fbem-28644 75 15 ( ( PUNCT fbem-28644 75 16 i.e. i.e. X fbem-28644 75 17 , , PUNCT fbem-28644 75 18 stocks stock NOUN fbem-28644 75 19 with with ADP fbem-28644 75 20 higher high ADJ fbem-28644 75 21 beta beta NOUN fbem-28644 75 22 values value NOUN fbem-28644 75 23 ) ) PUNCT fbem-28644 75 24 should should AUX fbem-28644 75 25 obtain obtain VERB fbem-28644 75 26 higher high ADJ fbem-28644 75 27 excess excess ADJ fbem-28644 75 28 returns return NOUN fbem-28644 75 29 . . PUNCT fbem-28644 76 1 4.1.4 4.1.4 X fbem-28644 76 2 . . PUNCT fbem-28644 77 1 regression regression NOUN fbem-28644 77 2 results result NOUN fbem-28644 77 3 of of ADP fbem-28644 77 4 the the DET fbem-28644 77 5 association association NOUN fbem-28644 77 6 between between ADP fbem-28644 77 7 beta beta NOUN fbem-28644 77 8 and and CCONJ fbem-28644 77 9 returns return NOUN fbem-28644 77 10 to to PART fbem-28644 77 11 further far ADV fbem-28644 77 12 quantify quantify VERB fbem-28644 77 13 the the DET fbem-28644 77 14 relationship relationship NOUN fbem-28644 77 15 between between ADP fbem-28644 77 16 beta beta NOUN fbem-28644 77 17 and and CCONJ fbem-28644 77 18 stock stock NOUN fbem-28644 77 19 returns return NOUN fbem-28644 77 20 , , PUNCT fbem-28644 77 21 we we PRON fbem-28644 77 22 performed perform VERB fbem-28644 77 23 regression regression NOUN fbem-28644 77 24 analysis analysis NOUN fbem-28644 77 25 on on ADP fbem-28644 77 26 the the DET fbem-28644 77 27 three three NUM fbem-28644 77 28 groups group NOUN fbem-28644 77 29 of of ADP fbem-28644 77 30 stocks stock NOUN fbem-28644 77 31 . . PUNCT fbem-28644 78 1 the the DET fbem-28644 78 2 results result NOUN fbem-28644 78 3 are be AUX fbem-28644 78 4 as as ADP fbem-28644 78 5 table table NOUN fbem-28644 78 6 3 3 NUM fbem-28644 78 7 follows follow VERB fbem-28644 78 8 : : PUNCT fbem-28644 78 9 table table NOUN fbem-28644 78 10 3 3 NUM fbem-28644 78 11 . . PUNCT fbem-28644 79 1 the the DET fbem-28644 79 2 regression regression NOUN fbem-28644 79 3 analysis analysis NOUN fbem-28644 79 4 on on ADP fbem-28644 79 5 the the DET fbem-28644 79 6 three three NUM fbem-28644 79 7 groups group NOUN fbem-28644 79 8 of of ADP fbem-28644 79 9 stocks stock NOUN fbem-28644 79 10 group group NOUN fbem-28644 79 11 regression regression NOUN fbem-28644 79 12 coefficient coefficient NOUN fbem-28644 79 13 t t PROPN fbem-28644 79 14 statistic statistic PROPN fbem-28644 79 15 𝑅2 𝑅2 ADV fbem-28644 79 16 low low ADJ fbem-28644 79 17 beta beta NOUN fbem-28644 79 18 group group NOUN fbem-28644 79 19 0.55 0.55 NUM fbem-28644 79 20 2.15 2.15 NUM fbem-28644 79 21 0.45 0.45 NUM fbem-28644 79 22 medium medium NOUN fbem-28644 79 23 beta beta NOUN fbem-28644 79 24 group group NOUN fbem-28644 79 25 0.85 0.85 NUM fbem-28644 79 26 3.50 3.50 NUM fbem-28644 79 27 0.58 0.58 NUM fbem-28644 79 28 high high ADJ fbem-28644 79 29 beta beta NOUN fbem-28644 79 30 group group NOUN fbem-28644 79 31 1.15 1.15 NUM fbem-28644 79 32 4.75 4.75 NUM fbem-28644 79 33 0.72 0.72 NUM fbem-28644 79 34 from from ADP fbem-28644 79 35 the the DET fbem-28644 79 36 regression regression NOUN fbem-28644 79 37 results result NOUN fbem-28644 79 38 , , PUNCT fbem-28644 79 39 we we PRON fbem-28644 79 40 can can AUX fbem-28644 79 41 see see VERB fbem-28644 79 42 that that SCONJ fbem-28644 79 43 the the DET fbem-28644 79 44 regression regression NOUN fbem-28644 79 45 coefficient coefficient NOUN fbem-28644 79 46 and and CCONJ fbem-28644 79 47 t t NOUN fbem-28644 79 48 - - PUNCT fbem-28644 79 49 statistic statistic NOUN fbem-28644 79 50 of of ADP fbem-28644 79 51 the the DET fbem-28644 79 52 high high ADJ fbem-28644 79 53 beta beta NOUN fbem-28644 79 54 group group NOUN fbem-28644 79 55 are be AUX fbem-28644 79 56 both both ADV fbem-28644 79 57 significant significant ADJ fbem-28644 79 58 , , PUNCT fbem-28644 79 59 indicating indicate VERB fbem-28644 79 60 that that SCONJ fbem-28644 79 61 the the DET fbem-28644 79 62 linear linear ADJ fbem-28644 79 63 relationship relationship NOUN fbem-28644 79 64 between between ADP fbem-28644 79 65 beta beta NOUN fbem-28644 79 66 value value NOUN fbem-28644 79 67 and and CCONJ fbem-28644 79 68 stock stock NOUN fbem-28644 79 69 excess excess ADJ fbem-28644 79 70 return return NOUN fbem-28644 79 71 is be AUX fbem-28644 79 72 strong strong ADJ fbem-28644 79 73 , , PUNCT fbem-28644 79 74 supporting support VERB fbem-28644 79 75 the the DET fbem-28644 79 76 assumption assumption NOUN fbem-28644 79 77 of of ADP fbem-28644 79 78 capm capm PROPN fbem-28644 79 79 . . PUNCT fbem-28644 80 1 𝑅2the 𝑅2the DET fbem-28644 80 2 value value NOUN fbem-28644 80 3 of of ADP fbem-28644 80 4 the the DET fbem-28644 80 5 high high ADJ fbem-28644 80 6 beta beta NOUN fbem-28644 80 7 group group NOUN fbem-28644 80 8 is be AUX fbem-28644 80 9 0.72 0.72 NUM fbem-28644 80 10 , , PUNCT fbem-28644 80 11 suggesting suggest VERB fbem-28644 80 12 that that SCONJ fbem-28644 80 13 the the DET fbem-28644 80 14 model model NOUN fbem-28644 80 15 can can AUX fbem-28644 80 16 account account VERB fbem-28644 80 17 for for ADP fbem-28644 80 18 most most ADJ fbem-28644 80 19 of of ADP fbem-28644 80 20 the the DET fbem-28644 80 21 fluctuations fluctuation NOUN fbem-28644 80 22 in in ADP fbem-28644 80 23 stock stock NOUN fbem-28644 80 24 returns return NOUN fbem-28644 80 25 . . PUNCT fbem-28644 81 1 4.2 4.2 NUM fbem-28644 81 2 . . PUNCT fbem-28644 81 3 unsystematic unsystematic ADJ fbem-28644 81 4 risk risk NOUN fbem-28644 81 5 test test NOUN fbem-28644 81 6 unsystematic unsystematic ADJ fbem-28644 81 7 risk risk NOUN fbem-28644 81 8 refers refer VERB fbem-28644 81 9 to to ADP fbem-28644 81 10 risk risk NOUN fbem-28644 81 11 factors factor NOUN fbem-28644 81 12 that that PRON fbem-28644 81 13 only only ADV fbem-28644 81 14 affect affect VERB fbem-28644 81 15 individual individual ADJ fbem-28644 81 16 stocks stock NOUN fbem-28644 81 17 or or CCONJ fbem-28644 81 18 a a DET fbem-28644 81 19 small small ADJ fbem-28644 81 20 number number NOUN fbem-28644 81 21 of of ADP fbem-28644 81 22 stocks stock NOUN fbem-28644 81 23 . . PUNCT fbem-28644 82 1 unlike unlike ADP fbem-28644 82 2 market market NOUN fbem-28644 82 3 systematic systematic ADJ fbem-28644 82 4 risk risk NOUN fbem-28644 82 5 , , PUNCT fbem-28644 82 6 it it PRON fbem-28644 82 7 can can AUX fbem-28644 82 8 not not PART fbem-28644 82 9 be be AUX fbem-28644 82 10 eliminated eliminate VERB fbem-28644 82 11 through through ADP fbem-28644 82 12 holding hold VERB fbem-28644 82 13 a a DET fbem-28644 82 14 diversified diversified ADJ fbem-28644 82 15 portfolio portfolio NOUN fbem-28644 82 16 . . PUNCT fbem-28644 83 1 according accord VERB fbem-28644 83 2 to to ADP fbem-28644 83 3 the the DET fbem-28644 83 4 assumptions assumption NOUN fbem-28644 83 5 of of ADP fbem-28644 83 6 capm capm PROPN fbem-28644 83 7 , , PUNCT fbem-28644 83 8 investors investor NOUN fbem-28644 83 9 should should AUX fbem-28644 83 10 not not PART fbem-28644 83 11 receive receive VERB fbem-28644 83 12 additional additional ADJ fbem-28644 83 13 risk risk NOUN fbem-28644 83 14 premiums premium NOUN fbem-28644 83 15 for for ADP fbem-28644 83 16 taking take VERB fbem-28644 83 17 unsystematic unsystematic ADJ fbem-28644 83 18 risk risk NOUN fbem-28644 83 19 , , PUNCT fbem-28644 83 20 so so CCONJ fbem-28644 83 21 the the DET fbem-28644 83 22 effect effect NOUN fbem-28644 83 23 of of ADP fbem-28644 83 24 unsystematic unsystematic ADJ fbem-28644 83 25 risk risk NOUN fbem-28644 83 26 on on ADP fbem-28644 83 27 stock stock NOUN fbem-28644 83 28 returns return NOUN fbem-28644 83 29 should should AUX fbem-28644 83 30 be be AUX fbem-28644 83 31 small small ADJ fbem-28644 83 32 . . PUNCT fbem-28644 84 1 in in ADP fbem-28644 84 2 order order NOUN fbem-28644 84 3 to to PART fbem-28644 84 4 test test VERB fbem-28644 84 5 this this DET fbem-28644 84 6 hypothesis hypothesis NOUN fbem-28644 84 7 , , PUNCT fbem-28644 84 8 this this DET fbem-28644 84 9 paper paper NOUN fbem-28644 84 10 introduces introduce VERB fbem-28644 84 11 the the DET fbem-28644 84 12 residual residual ADJ fbem-28644 84 13 standard standard ADJ fbem-28644 84 14 deviation deviation NOUN fbem-28644 84 15 𝑆𝑖 𝑆𝑖 PROPN fbem-28644 84 16 as as ADP fbem-28644 84 17 a a DET fbem-28644 84 18 proxy proxy NOUN fbem-28644 84 19 variable variable NOUN fbem-28644 84 20 for for ADP fbem-28644 84 21 unsystematic unsystematic ADJ fbem-28644 84 22 risk risk NOUN fbem-28644 84 23 and and CCONJ fbem-28644 84 24 analyzes analyze VERB fbem-28644 84 25 its its PRON fbem-28644 84 26 impact impact NOUN fbem-28644 84 27 on on ADP fbem-28644 84 28 stock stock NOUN fbem-28644 84 29 returns return NOUN fbem-28644 84 30 . . PUNCT fbem-28644 85 1 4.2.1 4.2.1 NOUN fbem-28644 85 2 . . PUNCT fbem-28644 85 3 data datum NOUN fbem-28644 85 4 processing processing NOUN fbem-28644 85 5 and and CCONJ fbem-28644 85 6 variable variable NOUN fbem-28644 85 7 setting set VERB fbem-28644 85 8 first first ADV fbem-28644 85 9 , , PUNCT fbem-28644 85 10 this this DET fbem-28644 85 11 paper paper NOUN fbem-28644 85 12 uses use VERB fbem-28644 85 13 a a DET fbem-28644 85 14 linear linear ADJ fbem-28644 85 15 regression regression NOUN fbem-28644 85 16 model model NOUN fbem-28644 85 17 between between ADP fbem-28644 85 18 each each DET fbem-28644 85 19 stock stock NOUN fbem-28644 85 20 and and CCONJ fbem-28644 85 21 the the DET fbem-28644 85 22 market market NOUN fbem-28644 85 23 portfolio portfolio NOUN fbem-28644 85 24 to to PART fbem-28644 85 25 estimate estimate VERB fbem-28644 85 26 the the DET fbem-28644 85 27 correlation correlation NOUN fbem-28644 85 28 between between ADP fbem-28644 85 29 the the DET fbem-28644 85 30 stock stock NOUN fbem-28644 85 31 's 's PART fbem-28644 85 32 excess excess ADJ fbem-28644 85 33 return return NOUN fbem-28644 85 34 and and CCONJ fbem-28644 85 35 the the DET fbem-28644 85 36 market market NOUN fbem-28644 85 37 's 's PART fbem-28644 85 38 excess excess ADJ fbem-28644 85 39 return return NOUN fbem-28644 85 40 ( ( PUNCT fbem-28644 85 41 9 9 NUM fbem-28644 85 42 ): ): PUNCT fbem-28644 85 43 among among ADP fbem-28644 85 44 them they PRON fbem-28644 85 45 , , PUNCT fbem-28644 85 46 πœ€π‘‘ πœ€π‘‘ PRON fbem-28644 85 47 represents represent VERB fbem-28644 85 48 the the DET fbem-28644 85 49 random random ADJ fbem-28644 85 50 error error NOUN fbem-28644 85 51 term term NOUN fbem-28644 85 52 in in ADP fbem-28644 85 53 the the DET fbem-28644 85 54 regression regression NOUN fbem-28644 85 55 , , PUNCT fbem-28644 85 56 which which PRON fbem-28644 85 57 is be AUX fbem-28644 85 58 usually usually ADV fbem-28644 85 59 considered consider VERB fbem-28644 85 60 to to PART fbem-28644 85 61 include include VERB fbem-28644 85 62 the the DET fbem-28644 85 63 unsystematic unsystematic ADJ fbem-28644 85 64 risk risk NOUN fbem-28644 85 65 of of ADP fbem-28644 85 66 the the DET fbem-28644 85 67 stock stock NOUN fbem-28644 85 68 . . PUNCT fbem-28644 86 1 in in ADP fbem-28644 86 2 order order NOUN fbem-28644 86 3 to to PART fbem-28644 86 4 further far ADV fbem-28644 86 5 quantify quantify VERB fbem-28644 86 6 the the DET fbem-28644 86 7 unsystematic unsystematic ADJ fbem-28644 86 8 risk risk NOUN fbem-28644 86 9 , , PUNCT fbem-28644 86 10 we we PRON fbem-28644 86 11 use use VERB fbem-28644 86 12 the the DET fbem-28644 86 13 standard standard ADJ fbem-28644 86 14 deviation deviation NOUN fbem-28644 86 15 of of ADP fbem-28644 86 16 the the DET fbem-28644 86 17 regression regression NOUN fbem-28644 86 18 residual residual ADJ fbem-28644 86 19 of of ADP fbem-28644 86 20 each each DET fbem-28644 86 21 stock stock NOUN fbem-28644 86 22 𝑆𝑖 𝑆𝑖 PROPN fbem-28644 86 23 as as ADP fbem-28644 86 24 a a DET fbem-28644 86 25 proxy proxy NOUN fbem-28644 86 26 variable variable NOUN fbem-28644 86 27 for for ADP fbem-28644 86 28 unsystematic unsystematic ADJ fbem-28644 86 29 risk risk NOUN fbem-28644 86 30 , , PUNCT fbem-28644 86 31 that that PRON fbem-28644 86 32 is be AUX fbem-28644 86 33 : : PUNCT fbem-28644 86 34 𝑆𝑖 𝑆𝑖 PROPN fbem-28644 86 35 = = PUNCT fbem-28644 86 36 √ √ ADP fbem-28644 86 37 1 1 NUM fbem-28644 86 38 𝑇 𝑇 PROPN fbem-28644 86 39 βˆ‘ βˆ‘ PUNCT fbem-28644 86 40 πœ€π‘–,𝑑 πœ€π‘–,𝑑 ADJ fbem-28644 86 41 2𝑇 2𝑇 PROPN fbem-28644 86 42 𝑑=1 𝑑=1 PROPN fbem-28644 86 43 ( ( PUNCT fbem-28644 86 44 10 10 NUM fbem-28644 86 45 ) ) PUNCT fbem-28644 86 46 among among ADP fbem-28644 86 47 them they PRON fbem-28644 86 48 , , PUNCT fbem-28644 86 49 t t PROPN fbem-28644 86 50 refers refer VERB fbem-28644 86 51 to to ADP fbem-28644 86 52 the the DET fbem-28644 86 53 total total ADJ fbem-28644 86 54 number number NOUN fbem-28644 86 55 of of ADP fbem-28644 86 56 weeks week NOUN fbem-28644 86 57 in in ADP fbem-28644 86 58 the the DET fbem-28644 86 59 observation observation NOUN fbem-28644 86 60 period period NOUN fbem-28644 86 61 , , PUNCT fbem-28644 86 62 which which PRON fbem-28644 86 63 is be AUX fbem-28644 86 64 156 156 NUM fbem-28644 86 65 weeks week NOUN fbem-28644 86 66 of of ADP fbem-28644 86 67 data datum NOUN fbem-28644 86 68 in in ADP fbem-28644 86 69 this this DET fbem-28644 86 70 article article NOUN fbem-28644 86 71 ( ( PUNCT fbem-28644 86 72 august august PROPN fbem-28644 86 73 2016 2016 NUM fbem-28644 86 74 to to ADP fbem-28644 86 75 august august PROPN fbem-28644 86 76 2019 2019 NUM fbem-28644 86 77 ) ) PUNCT fbem-28644 86 78 . . PUNCT fbem-28644 87 1 then then ADV fbem-28644 87 2 , , PUNCT fbem-28644 87 3 we we PRON fbem-28644 87 4 introduce introduce VERB fbem-28644 87 5 the the DET fbem-28644 87 6 residual residual ADJ fbem-28644 87 7 standard standard ADJ fbem-28644 87 8 deviation deviation NOUN fbem-28644 87 9 𝑆𝑖into 𝑆𝑖into PROPN fbem-28644 87 10 the the DET fbem-28644 87 11 extended extend VERB fbem-28644 87 12 regression regression NOUN fbem-28644 87 13 model model NOUN fbem-28644 87 14 to to PART fbem-28644 87 15 test test VERB fbem-28644 87 16 its its PRON fbem-28644 87 17 impact impact NOUN fbem-28644 87 18 on on ADP fbem-28644 87 19 stock stock NOUN fbem-28644 87 20 returns return NOUN fbem-28644 87 21 . . PUNCT fbem-28644 88 1 the the DET fbem-28644 88 2 extended extend VERB fbem-28644 88 3 regression regression NOUN fbem-28644 88 4 model model NOUN fbem-28644 88 5 is be AUX fbem-28644 88 6 as as SCONJ fbem-28644 88 7 follows follow VERB fbem-28644 88 8 : : PUNCT fbem-28644 89 1 𝑅𝑖,𝑑 𝑅𝑖,𝑑 VERB fbem-28644 89 2 𝑒π‘₯𝑐𝑒𝑠𝑠 𝑒π‘₯𝑐𝑒𝑠𝑠 NOUN fbem-28644 89 3 = = PUNCT fbem-28644 89 4 𝛼 𝛼 NOUN fbem-28644 89 5 + + CCONJ fbem-28644 89 6 π›½π‘–π‘…π‘š,𝑑 π›½π‘–π‘…π‘š,𝑑 ADJ fbem-28644 89 7 𝑒π‘₯𝑐𝑒𝑠𝑠 𝑒π‘₯𝑐𝑒𝑠𝑠 NOUN fbem-28644 89 8 + + CCONJ fbem-28644 89 9 𝛾𝑆𝑖 𝛾𝑆𝑖 NOUN fbem-28644 89 10 + + CCONJ fbem-28644 89 11 πœ€π‘‘ πœ€π‘‘ NOUN fbem-28644 89 12 ( ( PUNCT fbem-28644 89 13 11 11 NUM fbem-28644 89 14 ) ) PUNCT fbem-28644 89 15 among among ADP fbem-28644 89 16 them they PRON fbem-28644 89 17 , , PUNCT fbem-28644 89 18 Ξ³ Ξ³ X fbem-28644 89 19 is be AUX fbem-28644 89 20 the the DET fbem-28644 89 21 regression regression NOUN fbem-28644 89 22 coefficient coefficient NOUN fbem-28644 89 23 of of ADP fbem-28644 89 24 nonsystematic nonsystematic ADJ fbem-28644 89 25 risk risk NOUN fbem-28644 89 26 . . PUNCT fbem-28644 90 1 if if SCONJ fbem-28644 90 2 Ξ³ Ξ³ X fbem-28644 90 3 is be AUX fbem-28644 90 4 not not PART fbem-28644 90 5 significant significant ADJ fbem-28644 90 6 or or CCONJ fbem-28644 90 7 close close ADJ fbem-28644 90 8 to to ADP fbem-28644 90 9 zero zero NUM fbem-28644 90 10 , , PUNCT fbem-28644 90 11 it it PRON fbem-28644 90 12 indicates indicate VERB fbem-28644 90 13 that that SCONJ fbem-28644 90 14 non non ADJ fbem-28644 90 15 - - ADJ fbem-28644 90 16 systematic systematic ADJ fbem-28644 90 17 risk risk NOUN fbem-28644 90 18 has have VERB fbem-28644 90 19 no no DET fbem-28644 90 20 significant significant ADJ fbem-28644 90 21 impact impact NOUN fbem-28644 90 22 on on ADP fbem-28644 90 23 stock stock NOUN fbem-28644 90 24 returns return NOUN fbem-28644 90 25 , , PUNCT fbem-28644 90 26 which which PRON fbem-28644 90 27 is be AUX fbem-28644 90 28 consistent consistent ADJ fbem-28644 90 29 with with ADP fbem-28644 90 30 the the DET fbem-28644 90 31 assumption assumption NOUN fbem-28644 90 32 of of ADP fbem-28644 90 33 capm capm PROPN fbem-28644 90 34 . . PUNCT fbem-28644 91 1 4.2.2 4.2.2 X fbem-28644 91 2 . . PUNCT fbem-28644 91 3 empirical empirical ADJ fbem-28644 91 4 regression regression NOUN fbem-28644 91 5 results result NOUN fbem-28644 91 6 in in ADP fbem-28644 91 7 the the DET fbem-28644 91 8 empirical empirical ADJ fbem-28644 91 9 analysis analysis NOUN fbem-28644 91 10 of of ADP fbem-28644 91 11 this this DET fbem-28644 91 12 paper paper NOUN fbem-28644 91 13 , , PUNCT fbem-28644 91 14 we we PRON fbem-28644 91 15 conduct conduct VERB fbem-28644 91 16 regression regression NOUN fbem-28644 91 17 analysis analysis NOUN fbem-28644 91 18 on on ADP fbem-28644 91 19 80 80 NUM fbem-28644 91 20 shanghai shanghai PROPN fbem-28644 91 21 a a DET fbem-28644 91 22 - - PUNCT fbem-28644 91 23 share share NOUN fbem-28644 91 24 stocks stock NOUN fbem-28644 91 25 and and CCONJ fbem-28644 91 26 calculate calculate VERB fbem-28644 91 27 the the DET fbem-28644 91 28 beta beta ADJ fbem-28644 91 29 coefficient coefficient NOUN fbem-28644 91 30 and and CCONJ fbem-28644 91 31 residual residual ADJ fbem-28644 91 32 standard standard ADJ fbem-28644 91 33 deviation deviation NOUN fbem-28644 91 34 of of ADP fbem-28644 91 35 each each DET fbem-28644 91 36 stock stock NOUN fbem-28644 91 37 . . PUNCT fbem-28644 92 1 then then ADV fbem-28644 92 2 , , PUNCT fbem-28644 92 3 based base VERB fbem-28644 92 4 on on ADP fbem-28644 92 5 the the DET fbem-28644 92 6 extended extended ADJ fbem-28644 92 7 regression regression NOUN fbem-28644 92 8 model model NOUN fbem-28644 92 9 , , PUNCT fbem-28644 92 10 we we PRON fbem-28644 92 11 estimate estimate VERB fbem-28644 92 12 the the DET fbem-28644 92 13 Ξ³ Ξ³ PROPN fbem-28644 92 14 coefficient coefficient NOUN fbem-28644 92 15 and and CCONJ fbem-28644 92 16 test test VERB fbem-28644 92 17 whether whether SCONJ fbem-28644 92 18 non non ADJ fbem-28644 92 19 - - ADJ fbem-28644 92 20 systematic systematic ADJ fbem-28644 92 21 risk risk NOUN fbem-28644 92 22 significantly significantly ADV fbem-28644 92 23 affects affect VERB fbem-28644 92 24 stock stock NOUN fbem-28644 92 25 returns return NOUN fbem-28644 92 26 . . PUNCT fbem-28644 93 1 the the DET fbem-28644 93 2 following follow VERB fbem-28644 93 3 table table NOUN fbem-28644 93 4 4 4 NUM fbem-28644 93 5 presents present VERB fbem-28644 93 6 the the DET fbem-28644 93 7 regression regression NOUN fbem-28644 93 8 results result NOUN fbem-28644 93 9 of of ADP fbem-28644 93 10 some some DET fbem-28644 93 11 stocks stock NOUN fbem-28644 93 12 , , PUNCT fbem-28644 93 13 including include VERB fbem-28644 93 14 the the DET fbem-28644 93 15 beta beta ADJ fbem-28644 93 16 coefficient coefficient NOUN fbem-28644 93 17 , , PUNCT fbem-28644 93 18 residual residual ADJ fbem-28644 93 19 standard standard ADJ fbem-28644 93 20 deviation deviation NOUN fbem-28644 93 21 𝑆𝑖 𝑆𝑖 PROPN fbem-28644 93 22 , , PUNCT fbem-28644 93 23 Ξ³ Ξ³ NOUN fbem-28644 93 24 coefficient coefficient NOUN fbem-28644 93 25 and and CCONJ fbem-28644 93 26 its its PRON fbem-28644 93 27 significance significance NOUN fbem-28644 93 28 test test NOUN fbem-28644 93 29 results result NOUN fbem-28644 93 30 : : PUNCT fbem-28644 93 31 402 402 NUM fbem-28644 93 32 table table NOUN fbem-28644 93 33 4 4 NUM fbem-28644 93 34 . . PUNCT fbem-28644 94 1 the the DET fbem-28644 94 2 regression regression NOUN fbem-28644 94 3 results result NOUN fbem-28644 94 4 of of ADP fbem-28644 94 5 some some DET fbem-28644 94 6 stocks stock NOUN fbem-28644 94 7 stock stock NOUN fbem-28644 94 8 code code PROPN fbem-28644 94 9 beta beta PROPN fbem-28644 94 10 coefficient𝛽𝑖 coefficient𝛽𝑖 PROPN fbem-28644 94 11 residual residual ADJ fbem-28644 94 12 standard standard ADJ fbem-28644 94 13 deviation𝑆𝑖 deviation𝑆𝑖 PROPN fbem-28644 94 14 gamma gamma NOUN fbem-28644 94 15 coefficient coefficient PROPN fbem-28644 94 16 t t PROPN fbem-28644 94 17 statistic statistic PROPN fbem-28644 94 18 for for ADP fbem-28644 94 19 gamma gamma NOUN fbem-28644 94 20 significance significance NOUN fbem-28644 94 21 level level NOUN fbem-28644 94 22 600000 600000 NUM fbem-28644 94 23 1.02 1.02 NUM fbem-28644 94 24 0.015 0.015 NUM fbem-28644 94 25 0.0012 0.0012 NUM fbem-28644 94 26 1.35 1.35 NUM fbem-28644 94 27 not not PART fbem-28644 94 28 significant significant ADJ fbem-28644 94 29 600004 600004 NUM fbem-28644 94 30 0.85 0.85 NUM fbem-28644 94 31 0.012 0.012 NUM fbem-28644 94 32 -0.0003 -0.0003 NOUN fbem-28644 94 33 -0.87 -0.87 NUM fbem-28644 94 34 not not PART fbem-28644 94 35 significant significant ADJ fbem-28644 94 36 600009 600009 NUM fbem-28644 94 37 1.10 1.10 NUM fbem-28644 94 38 0.018 0.018 NUM fbem-28644 94 39 0.0007 0.0007 NUM fbem-28644 94 40 0.98 0.98 NUM fbem-28644 94 41 not not PART fbem-28644 94 42 significant significant ADJ fbem-28644 94 43 600016 600016 NUM fbem-28644 94 44 0.75 0.75 NUM fbem-28644 94 45 0.013 0.013 NUM fbem-28644 94 46 -0.0005 -0.0005 NOUN fbem-28644 94 47 -0.92 -0.92 PUNCT fbem-28644 94 48 not not PART fbem-28644 94 49 significant significant ADJ fbem-28644 94 50 600028 600028 NUM fbem-28644 94 51 1.20 1.20 NUM fbem-28644 94 52 0.016 0.016 NUM fbem-28644 94 53 0.0008 0.0008 NUM fbem-28644 94 54 1.02 1.02 NUM fbem-28644 94 55 not not PART fbem-28644 94 56 significant significant ADJ fbem-28644 94 57 600030 600030 NUM fbem-28644 94 58 0.95 0.95 NUM fbem-28644 94 59 0.014 0.014 NUM fbem-28644 94 60 0.0004 0.0004 NUM fbem-28644 94 61 0.75 0.75 NUM fbem-28644 94 62 not not PART fbem-28644 94 63 significant significant ADJ fbem-28644 94 64 Ξ³ Ξ³ NOUN fbem-28644 94 65 coefficients coefficient NOUN fbem-28644 94 66 of of ADP fbem-28644 94 67 most most ADJ fbem-28644 94 68 stocks stock NOUN fbem-28644 94 69 are be AUX fbem-28644 94 70 not not PART fbem-28644 94 71 significant significant ADJ fbem-28644 94 72 , , PUNCT fbem-28644 94 73 and and CCONJ fbem-28644 94 74 the the DET fbem-28644 94 75 t t PROPN fbem-28644 94 76 statistics statistic NOUN fbem-28644 94 77 do do AUX fbem-28644 94 78 not not PART fbem-28644 94 79 reach reach VERB fbem-28644 94 80 the the DET fbem-28644 94 81 significance significance NOUN fbem-28644 94 82 level level NOUN fbem-28644 94 83 ( ( PUNCT fbem-28644 94 84 the the DET fbem-28644 94 85 commonly commonly ADV fbem-28644 94 86 used use VERB fbem-28644 94 87 significance significance NOUN fbem-28644 94 88 level level NOUN fbem-28644 94 89 is be AUX fbem-28644 94 90 5 5 NUM fbem-28644 94 91 % % NOUN fbem-28644 94 92 ) ) PUNCT fbem-28644 94 93 . . PUNCT fbem-28644 95 1 this this PRON fbem-28644 95 2 shows show VERB fbem-28644 95 3 that that SCONJ fbem-28644 95 4 nonsystematic nonsystematic ADJ fbem-28644 95 5 risk risk NOUN fbem-28644 95 6 ( ( PUNCT fbem-28644 95 7 i.e. i.e. X fbem-28644 95 8 , , PUNCT fbem-28644 95 9 residual residual ADJ fbem-28644 95 10 standard standard ADJ fbem-28644 95 11 deviation deviation NOUN fbem-28644 95 12 𝑆𝑖 𝑆𝑖 PROPN fbem-28644 95 13 ) ) PUNCT fbem-28644 95 14 has have VERB fbem-28644 95 15 no no DET fbem-28644 95 16 significant significant ADJ fbem-28644 95 17 impact impact NOUN fbem-28644 95 18 on on ADP fbem-28644 95 19 the the DET fbem-28644 95 20 excess excess ADJ fbem-28644 95 21 return return NOUN fbem-28644 95 22 of of ADP fbem-28644 95 23 stocks stock NOUN fbem-28644 95 24 . . PUNCT fbem-28644 96 1 this this DET fbem-28644 96 2 result result NOUN fbem-28644 96 3 supports support VERB fbem-28644 96 4 the the DET fbem-28644 96 5 assumption assumption NOUN fbem-28644 96 6 of of ADP fbem-28644 96 7 the the DET fbem-28644 96 8 capm capm PROPN fbem-28644 96 9 model model NOUN fbem-28644 96 10 , , PUNCT fbem-28644 96 11 that that ADV fbem-28644 96 12 is is ADV fbem-28644 96 13 , , PUNCT fbem-28644 96 14 nonsystematic nonsystematic ADJ fbem-28644 96 15 risk risk NOUN fbem-28644 96 16 will will AUX fbem-28644 96 17 not not PART fbem-28644 96 18 affect affect VERB fbem-28644 96 19 investors investor NOUN fbem-28644 96 20 ' ' PART fbem-28644 96 21 expected expect VERB fbem-28644 96 22 returns return NOUN fbem-28644 96 23 , , PUNCT fbem-28644 96 24 and and CCONJ fbem-28644 96 25 investors investor NOUN fbem-28644 96 26 are be AUX fbem-28644 96 27 rewarded reward VERB fbem-28644 96 28 only only ADV fbem-28644 96 29 for for ADP fbem-28644 96 30 taking take VERB fbem-28644 96 31 systematic systematic ADJ fbem-28644 96 32 risks risk NOUN fbem-28644 96 33 . . PUNCT fbem-28644 97 1 4.2.3 4.2.3 X fbem-28644 97 2 . . PUNCT fbem-28644 97 3 model model NOUN fbem-28644 97 4 robustness robustness NOUN fbem-28644 97 5 test test NOUN fbem-28644 97 6 in in ADP fbem-28644 97 7 order order NOUN fbem-28644 97 8 to to PART fbem-28644 97 9 further far ADV fbem-28644 97 10 verify verify VERB fbem-28644 97 11 the the DET fbem-28644 97 12 robustness robustness NOUN fbem-28644 97 13 of of ADP fbem-28644 97 14 the the DET fbem-28644 97 15 results result NOUN fbem-28644 97 16 , , PUNCT fbem-28644 97 17 we we PRON fbem-28644 97 18 conducted conduct VERB fbem-28644 97 19 the the DET fbem-28644 97 20 following follow VERB fbem-28644 97 21 two two NUM fbem-28644 97 22 analyses analysis NOUN fbem-28644 97 23 on on ADP fbem-28644 97 24 the the DET fbem-28644 97 25 sample sample NOUN fbem-28644 97 26 : : PUNCT fbem-28644 97 27 ( ( PUNCT fbem-28644 97 28 1 1 X fbem-28644 97 29 ) ) PUNCT fbem-28644 97 30 time time NOUN fbem-28644 97 31 segment segment NOUN fbem-28644 97 32 analysis analysis NOUN fbem-28644 97 33 : : PUNCT fbem-28644 97 34 we we PRON fbem-28644 97 35 divide divide VERB fbem-28644 97 36 the the DET fbem-28644 97 37 research research NOUN fbem-28644 97 38 period period NOUN fbem-28644 97 39 into into ADP fbem-28644 97 40 two two NUM fbem-28644 97 41 time time NOUN fbem-28644 97 42 periods period NOUN fbem-28644 97 43 , , PUNCT fbem-28644 97 44 from from ADP fbem-28644 97 45 august august PROPN fbem-28644 97 46 5 5 NUM fbem-28644 97 47 , , PUNCT fbem-28644 97 48 2016 2016 NUM fbem-28644 97 49 to to ADP fbem-28644 97 50 february february PROPN fbem-28644 97 51 2 2 NUM fbem-28644 97 52 , , PUNCT fbem-28644 97 53 2018 2018 NUM fbem-28644 97 54 ( ( PUNCT fbem-28644 97 55 relatively relatively ADV fbem-28644 97 56 stable stable ADJ fbem-28644 97 57 market market NOUN fbem-28644 97 58 ) ) PUNCT fbem-28644 97 59 and and CCONJ fbem-28644 97 60 from from ADP fbem-28644 97 61 february february PROPN fbem-28644 97 62 3 3 NUM fbem-28644 97 63 , , PUNCT fbem-28644 97 64 2018 2018 NUM fbem-28644 97 65 to to ADP fbem-28644 97 66 august august PROPN fbem-28644 97 67 4 4 NUM fbem-28644 97 68 , , PUNCT fbem-28644 97 69 2019 2019 NUM fbem-28644 97 70 ( ( PUNCT fbem-28644 97 71 large large ADJ fbem-28644 97 72 market market NOUN fbem-28644 97 73 volatility volatility NOUN fbem-28644 97 74 ) ) PUNCT fbem-28644 97 75 . . PUNCT fbem-28644 98 1 in in ADP fbem-28644 98 2 these these DET fbem-28644 98 3 two two NUM fbem-28644 98 4 periods period NOUN fbem-28644 98 5 , , PUNCT fbem-28644 98 6 we we PRON fbem-28644 98 7 calculate calculate VERB fbem-28644 98 8 the the DET fbem-28644 98 9 beta beta NOUN fbem-28644 98 10 value value NOUN fbem-28644 98 11 and and CCONJ fbem-28644 98 12 residual residual ADJ fbem-28644 98 13 standard standard ADJ fbem-28644 98 14 deviation deviation NOUN fbem-28644 98 15 of of ADP fbem-28644 98 16 each each DET fbem-28644 98 17 stock stock NOUN fbem-28644 98 18 and and CCONJ fbem-28644 98 19 conduct conduct VERB fbem-28644 98 20 regression regression NOUN fbem-28644 98 21 analysis analysis NOUN fbem-28644 98 22 . . PUNCT fbem-28644 99 1 the the DET fbem-28644 99 2 results result NOUN fbem-28644 99 3 show show VERB fbem-28644 99 4 that that SCONJ fbem-28644 99 5 in in ADP fbem-28644 99 6 both both DET fbem-28644 99 7 periods period NOUN fbem-28644 99 8 , , PUNCT fbem-28644 99 9 the the DET fbem-28644 99 10 Ξ³ Ξ³ PROPN fbem-28644 99 11 coefficient coefficient NOUN fbem-28644 99 12 is be AUX fbem-28644 99 13 still still ADV fbem-28644 99 14 not not PART fbem-28644 99 15 of of ADP fbem-28644 99 16 significance significance NOUN fbem-28644 99 17 , , PUNCT fbem-28644 99 18 indicating indicate VERB fbem-28644 99 19 that that SCONJ fbem-28644 99 20 the the DET fbem-28644 99 21 effect effect NOUN fbem-28644 99 22 of of ADP fbem-28644 99 23 non non ADJ fbem-28644 99 24 - - ADJ fbem-28644 99 25 systematic systematic ADJ fbem-28644 99 26 risk risk NOUN fbem-28644 99 27 on on ADP fbem-28644 99 28 stock stock NOUN fbem-28644 99 29 returns return NOUN fbem-28644 99 30 is be AUX fbem-28644 99 31 still still ADV fbem-28644 99 32 weak weak ADJ fbem-28644 99 33 in in ADP fbem-28644 99 34 different different ADJ fbem-28644 99 35 market market NOUN fbem-28644 99 36 environments environment NOUN fbem-28644 99 37 . . PUNCT fbem-28644 100 1 ( ( PUNCT fbem-28644 100 2 2 2 X fbem-28644 100 3 ) ) PUNCT fbem-28644 100 4 stock stock NOUN fbem-28644 100 5 portfolio portfolio NOUN fbem-28644 100 6 analysis analysis NOUN fbem-28644 100 7 : : PUNCT fbem-28644 100 8 we we PRON fbem-28644 100 9 divide divide VERB fbem-28644 100 10 stocks stock NOUN fbem-28644 100 11 into into ADP fbem-28644 100 12 high high ADJ fbem-28644 100 13 beta beta NOUN fbem-28644 100 14 group group NOUN fbem-28644 100 15 ( ( PUNCT fbem-28644 100 16 𝛽 𝛽 NOUN fbem-28644 100 17 > > X fbem-28644 100 18 1.0 1.0 NUM fbem-28644 100 19 ) ) PUNCT fbem-28644 100 20 , , PUNCT fbem-28644 100 21 medium medium ADJ fbem-28644 100 22 beta beta NOUN fbem-28644 100 23 group group NOUN fbem-28644 100 24 ( ( PUNCT fbem-28644 100 25 0.7 0.7 NUM fbem-28644 100 26 ≀ ≀ NUM fbem-28644 100 27 𝛽 𝛽 NOUN fbem-28644 100 28 ≀ ≀ ADV fbem-28644 100 29 1.0 1.0 NUM fbem-28644 100 30 ) ) PUNCT fbem-28644 100 31 and and CCONJ fbem-28644 100 32 low low ADJ fbem-28644 100 33 beta beta NOUN fbem-28644 100 34 group group NOUN fbem-28644 100 35 ( ( PUNCT fbem-28644 100 36 𝛽 𝛽 NOUN fbem-28644 100 37 < < X fbem-28644 100 38 0.7 0.7 NUM fbem-28644 100 39 ) ) PUNCT fbem-28644 100 40 according accord VERB fbem-28644 100 41 to to ADP fbem-28644 100 42 their their PRON fbem-28644 100 43 beta beta ADJ fbem-28644 100 44 values value NOUN fbem-28644 100 45 . . PUNCT fbem-28644 101 1 then then ADV fbem-28644 101 2 , , PUNCT fbem-28644 101 3 we we PRON fbem-28644 101 4 conduct conduct VERB fbem-28644 101 5 regression regression NOUN fbem-28644 101 6 analysis analysis NOUN fbem-28644 101 7 on on ADP fbem-28644 101 8 each each DET fbem-28644 101 9 stock stock NOUN fbem-28644 101 10 portfolio portfolio NOUN fbem-28644 101 11 the the DET fbem-28644 101 12 results result NOUN fbem-28644 101 13 show show VERB fbem-28644 101 14 that that SCONJ fbem-28644 101 15 the the DET fbem-28644 101 16 gamma gamma PROPN fbem-28644 101 17 coefficients coefficient NOUN fbem-28644 101 18 in in ADP fbem-28644 101 19 all all DET fbem-28644 101 20 portfolios portfolio NOUN fbem-28644 101 21 are be AUX fbem-28644 101 22 not not PART fbem-28644 101 23 significant significant ADJ fbem-28644 101 24 , , PUNCT fbem-28644 101 25 which which PRON fbem-28644 101 26 further further ADJ fbem-28644 101 27 verifies verifie NOUN fbem-28644 101 28 that that SCONJ fbem-28644 101 29 non non ADJ fbem-28644 101 30 - - ADJ fbem-28644 101 31 systematic systematic ADJ fbem-28644 101 32 risk risk NOUN fbem-28644 101 33 has have VERB fbem-28644 101 34 little little ADJ fbem-28644 101 35 impact impact NOUN fbem-28644 101 36 on on ADP fbem-28644 101 37 stock stock NOUN fbem-28644 101 38 returns return NOUN fbem-28644 101 39 . . PUNCT fbem-28644 102 1 the the DET fbem-28644 102 2 following follow VERB fbem-28644 102 3 table table NOUN fbem-28644 102 4 5 5 NUM fbem-28644 102 5 shows show VERB fbem-28644 102 6 the the DET fbem-28644 102 7 regression regression NOUN fbem-28644 102 8 results result NOUN fbem-28644 102 9 for for ADP fbem-28644 102 10 different different ADJ fbem-28644 102 11 beta beta ADJ fbem-28644 102 12 groups group NOUN fbem-28644 102 13 : : PUNCT fbem-28644 102 14 table table NOUN fbem-28644 102 15 5 5 NUM fbem-28644 102 16 . . PUNCT fbem-28644 103 1 the the DET fbem-28644 103 2 regression regression NOUN fbem-28644 103 3 results result VERB fbem-28644 103 4 for for ADP fbem-28644 103 5 different different ADJ fbem-28644 103 6 beta beta NOUN fbem-28644 103 7 groups group NOUN fbem-28644 103 8 group group NOUN fbem-28644 103 9 𝛽𝑖average 𝛽𝑖average NOUN fbem-28644 103 10 value value NOUN fbem-28644 103 11 gamma gamma NOUN fbem-28644 103 12 coefficient coefficient PROPN fbem-28644 103 13 t t PROPN fbem-28644 103 14 statistic statistic PROPN fbem-28644 103 15 for for ADP fbem-28644 103 16 gamma gamma NOUN fbem-28644 103 17 significance significance NOUN fbem-28644 103 18 level level NOUN fbem-28644 103 19 high high ADJ fbem-28644 103 20 beta beta NOUN fbem-28644 103 21 group group NOUN fbem-28644 103 22 1.20 1.20 NUM fbem-28644 103 23 0.0009 0.0009 NUM fbem-28644 103 24 1.15 1.15 NUM fbem-28644 103 25 not not PART fbem-28644 103 26 significant significant ADJ fbem-28644 103 27 medium medium ADJ fbem-28644 103 28 beta beta NOUN fbem-28644 103 29 group group NOUN fbem-28644 103 30 0.85 0.85 NUM fbem-28644 103 31 0.0003 0.0003 NUM fbem-28644 103 32 0.80 0.80 NUM fbem-28644 103 33 not not PART fbem-28644 103 34 significant significant ADJ fbem-28644 103 35 low low ADJ fbem-28644 103 36 beta beta NOUN fbem-28644 103 37 group group NOUN fbem-28644 103 38 0.55 0.55 NUM fbem-28644 103 39 -0.0002 -0.0002 NOUN fbem-28644 103 40 -0.60 -0.60 NUM fbem-28644 103 41 not not PART fbem-28644 103 42 significant significant ADJ fbem-28644 103 43 4.3 4.3 NUM fbem-28644 103 44 . . PUNCT fbem-28644 104 1 periodic periodic ADJ fbem-28644 104 2 analysis analysis NOUN fbem-28644 104 3 and and CCONJ fbem-28644 104 4 discussion discussion NOUN fbem-28644 104 5 in in ADP fbem-28644 104 6 order order NOUN fbem-28644 104 7 to to PART fbem-28644 104 8 examine examine VERB fbem-28644 104 9 the the DET fbem-28644 104 10 performance performance NOUN fbem-28644 104 11 of of ADP fbem-28644 104 12 capm capm PROPN fbem-28644 104 13 under under ADP fbem-28644 104 14 different different ADJ fbem-28644 104 15 market market NOUN fbem-28644 104 16 conditions condition NOUN fbem-28644 105 1 , , PUNCT fbem-28644 105 2 this this DET fbem-28644 105 3 paper paper NOUN fbem-28644 105 4 further far ADV fbem-28644 105 5 analyzes analyze VERB fbem-28644 105 6 the the DET fbem-28644 105 7 changes change NOUN fbem-28644 105 8 in in ADP fbem-28644 105 9 beta beta ADJ fbem-28644 105 10 values value NOUN fbem-28644 105 11 in in ADP fbem-28644 105 12 different different ADJ fbem-28644 105 13 time time NOUN fbem-28644 105 14 periods period NOUN fbem-28644 105 15 . . PUNCT fbem-28644 106 1 the the DET fbem-28644 106 2 study study NOUN fbem-28644 106 3 period period NOUN fbem-28644 106 4 was be AUX fbem-28644 106 5 divided divide VERB fbem-28644 106 6 into into ADP fbem-28644 106 7 two two NUM fbem-28644 106 8 main main ADJ fbem-28644 106 9 periods period NOUN fbem-28644 106 10 : : PUNCT fbem-28644 106 11 the the DET fbem-28644 106 12 market market NOUN fbem-28644 106 13 stability stability NOUN fbem-28644 106 14 period period NOUN fbem-28644 106 15 from from ADP fbem-28644 106 16 august august PROPN fbem-28644 106 17 2016 2016 NUM fbem-28644 106 18 to to ADP fbem-28644 106 19 february february PROPN fbem-28644 106 20 2018 2018 NUM fbem-28644 106 21 , , PUNCT fbem-28644 106 22 and and CCONJ fbem-28644 106 23 the the DET fbem-28644 106 24 market market NOUN fbem-28644 106 25 volatility volatility NOUN fbem-28644 106 26 period period NOUN fbem-28644 106 27 from from ADP fbem-28644 106 28 february february PROPN fbem-28644 106 29 2018 2018 NUM fbem-28644 106 30 to to ADP fbem-28644 106 31 august august PROPN fbem-28644 106 32 2019 2019 NUM fbem-28644 106 33 . . PUNCT fbem-28644 107 1 the the DET fbem-28644 107 2 results result NOUN fbem-28644 107 3 show show VERB fbem-28644 107 4 that that SCONJ fbem-28644 107 5 during during ADP fbem-28644 107 6 the the DET fbem-28644 107 7 market market NOUN fbem-28644 107 8 stability stability NOUN fbem-28644 107 9 period period NOUN fbem-28644 107 10 , , PUNCT fbem-28644 107 11 the the DET fbem-28644 107 12 capm capm PROPN fbem-28644 107 13 model model NOUN fbem-28644 107 14 has have VERB fbem-28644 107 15 a a DET fbem-28644 107 16 stronger strong ADJ fbem-28644 107 17 explanatory explanatory ADJ fbem-28644 107 18 power power NOUN fbem-28644 107 19 , , PUNCT fbem-28644 107 20 and and CCONJ fbem-28644 107 21 the the DET fbem-28644 107 22 linear linear ADJ fbem-28644 107 23 relationship relationship NOUN fbem-28644 107 24 between between ADP fbem-28644 107 25 beta beta NOUN fbem-28644 107 26 value value NOUN fbem-28644 107 27 and and CCONJ fbem-28644 107 28 stock stock NOUN fbem-28644 107 29 returns return NOUN fbem-28644 107 30 is be AUX fbem-28644 107 31 more more ADV fbem-28644 107 32 significant significant ADJ fbem-28644 107 33 . . PUNCT fbem-28644 108 1 in in ADP fbem-28644 108 2 periods period NOUN fbem-28644 108 3 of of ADP fbem-28644 108 4 greater great ADJ fbem-28644 108 5 market market NOUN fbem-28644 108 6 volatility volatility NOUN fbem-28644 108 7 , , PUNCT fbem-28644 108 8 the the DET fbem-28644 108 9 beta beta ADJ fbem-28644 108 10 value value NOUN fbem-28644 108 11 of of ADP fbem-28644 108 12 stocks stock NOUN fbem-28644 108 13 fluctuates fluctuate VERB fbem-28644 108 14 significantly significantly ADV fbem-28644 108 15 , , PUNCT fbem-28644 108 16 and and CCONJ fbem-28644 108 17 the the DET fbem-28644 108 18 fit fit NOUN fbem-28644 108 19 of of ADP fbem-28644 108 20 the the DET fbem-28644 108 21 capm capm PROPN fbem-28644 108 22 model model NOUN fbem-28644 108 23 decreases decrease VERB fbem-28644 108 24 , , PUNCT fbem-28644 108 25 which which PRON fbem-28644 108 26 indicates indicate VERB fbem-28644 108 27 that that SCONJ fbem-28644 108 28 market market NOUN fbem-28644 108 29 volatility volatility NOUN fbem-28644 108 30 exerts exert VERB fbem-28644 108 31 a a DET fbem-28644 108 32 significant significant ADJ fbem-28644 108 33 effect effect NOUN fbem-28644 108 34 on on ADP fbem-28644 108 35 the the DET fbem-28644 108 36 applicability applicability NOUN fbem-28644 108 37 of of ADP fbem-28644 108 38 capm capm PROPN fbem-28644 108 39 . . PUNCT fbem-28644 109 1 5 5 X fbem-28644 109 2 . . X fbem-28644 109 3 conclusion conclusion NOUN fbem-28644 109 4 to to PART fbem-28644 109 5 conclude conclude VERB fbem-28644 109 6 , , PUNCT fbem-28644 109 7 through through ADP fbem-28644 109 8 an an DET fbem-28644 109 9 empirical empirical ADJ fbem-28644 109 10 analysis analysis NOUN fbem-28644 109 11 of of ADP fbem-28644 109 12 shanghai shanghai PROPN fbem-28644 109 13 ashares ashare NOUN fbem-28644 109 14 from from ADP fbem-28644 109 15 2016 2016 NUM fbem-28644 109 16 to to ADP fbem-28644 109 17 2019 2019 NUM fbem-28644 109 18 , , PUNCT fbem-28644 109 19 this this DET fbem-28644 109 20 paper paper NOUN fbem-28644 109 21 verifies verify VERB fbem-28644 109 22 the the DET fbem-28644 109 23 applicability applicability NOUN fbem-28644 109 24 of of ADP fbem-28644 109 25 capm capm PROPN fbem-28644 109 26 in in ADP fbem-28644 109 27 china china PROPN fbem-28644 109 28 's 's PART fbem-28644 109 29 capital capital NOUN fbem-28644 109 30 market market NOUN fbem-28644 109 31 . . PUNCT fbem-28644 110 1 the the DET fbem-28644 110 2 results result NOUN fbem-28644 110 3 show show VERB fbem-28644 110 4 that that SCONJ fbem-28644 110 5 there there PRON fbem-28644 110 6 exists exist VERB fbem-28644 110 7 a a DET fbem-28644 110 8 positive positive ADJ fbem-28644 110 9 correlation correlation NOUN fbem-28644 110 10 between between ADP fbem-28644 110 11 systematic systematic ADJ fbem-28644 110 12 risk risk NOUN fbem-28644 110 13 ( ( PUNCT fbem-28644 110 14 beta beta NOUN fbem-28644 110 15 value value NOUN fbem-28644 110 16 ) ) PUNCT fbem-28644 110 17 and and CCONJ fbem-28644 110 18 stock stock NOUN fbem-28644 110 19 returns return NOUN fbem-28644 110 20 , , PUNCT fbem-28644 110 21 and and CCONJ fbem-28644 110 22 that that SCONJ fbem-28644 110 23 non non ADJ fbem-28644 110 24 - - ADJ fbem-28644 110 25 systematic systematic ADJ fbem-28644 110 26 risk risk NOUN fbem-28644 110 27 has have VERB fbem-28644 110 28 little little ADJ fbem-28644 110 29 impact impact NOUN fbem-28644 110 30 on on ADP fbem-28644 110 31 stock stock NOUN fbem-28644 110 32 returns return NOUN fbem-28644 110 33 , , PUNCT fbem-28644 110 34 which which PRON fbem-28644 110 35 supports support VERB fbem-28644 110 36 the the DET fbem-28644 110 37 basic basic ADJ fbem-28644 110 38 assumptions assumption NOUN fbem-28644 110 39 of of ADP fbem-28644 110 40 capm capm PROPN fbem-28644 110 41 . . PUNCT fbem-28644 111 1 however however ADV fbem-28644 111 2 , , PUNCT fbem-28644 111 3 the the DET fbem-28644 111 4 applicability applicability NOUN fbem-28644 111 5 of of ADP fbem-28644 111 6 capm capm PROPN fbem-28644 111 7 decreases decrease VERB fbem-28644 111 8 when when SCONJ fbem-28644 111 9 the the DET fbem-28644 111 10 market market NOUN fbem-28644 111 11 is be AUX fbem-28644 111 12 volatile volatile ADJ fbem-28644 111 13 or or CCONJ fbem-28644 111 14 subject subject ADJ fbem-28644 111 15 to to ADP fbem-28644 111 16 policy policy NOUN fbem-28644 111 17 intervention intervention NOUN fbem-28644 111 18 , , PUNCT fbem-28644 111 19 especially especially ADV fbem-28644 111 20 in in ADP fbem-28644 111 21 high high ADJ fbem-28644 111 22 - - PUNCT fbem-28644 111 23 volatility volatility NOUN fbem-28644 111 24 market market NOUN fbem-28644 111 25 periods period NOUN fbem-28644 111 26 , , PUNCT fbem-28644 111 27 when when SCONJ fbem-28644 111 28 the the DET fbem-28644 111 29 explanatory explanatory ADJ fbem-28644 111 30 power power NOUN fbem-28644 111 31 of of ADP fbem-28644 111 32 capm capm PROPN fbem-28644 111 33 is be AUX fbem-28644 111 34 significantly significantly ADV fbem-28644 111 35 weakened weaken VERB fbem-28644 111 36 . . PUNCT fbem-28644 112 1 the the DET fbem-28644 112 2 particularity particularity NOUN fbem-28644 112 3 of of ADP fbem-28644 112 4 china china PROPN fbem-28644 112 5 's 's PART fbem-28644 112 6 capital capital NOUN fbem-28644 112 7 market market NOUN fbem-28644 112 8 , , PUNCT fbem-28644 112 9 such such ADJ fbem-28644 112 10 as as ADP fbem-28644 112 11 frequent frequent ADJ fbem-28644 112 12 government government NOUN fbem-28644 112 13 policy policy NOUN fbem-28644 112 14 intervention intervention NOUN fbem-28644 112 15 and and CCONJ fbem-28644 112 16 the the DET fbem-28644 112 17 investor investor NOUN fbem-28644 112 18 structure structure NOUN fbem-28644 112 19 dominated dominate VERB fbem-28644 112 20 by by ADP fbem-28644 112 21 retail retail ADJ fbem-28644 112 22 investors investor NOUN fbem-28644 112 23 , , PUNCT fbem-28644 112 24 may may AUX fbem-28644 112 25 be be AUX fbem-28644 112 26 one one NUM fbem-28644 112 27 of of ADP fbem-28644 112 28 the the DET fbem-28644 112 29 reasons reason NOUN fbem-28644 112 30 why why SCONJ fbem-28644 112 31 the the DET fbem-28644 112 32 capm capm PROPN fbem-28644 112 33 model model NOUN fbem-28644 112 34 has have AUX fbem-28644 112 35 limited limit VERB fbem-28644 112 36 applicability applicability NOUN fbem-28644 112 37 in in ADP fbem-28644 112 38 the the DET fbem-28644 112 39 chinese chinese ADJ fbem-28644 112 40 market market NOUN fbem-28644 112 41 . . PUNCT fbem-28644 113 1 in in ADP fbem-28644 113 2 addition addition NOUN fbem-28644 113 3 , , PUNCT fbem-28644 113 4 irrational irrational ADJ fbem-28644 113 5 market market NOUN fbem-28644 113 6 behavior behavior NOUN fbem-28644 113 7 and and CCONJ fbem-28644 113 8 speculative speculative ADJ fbem-28644 113 9 activities activity NOUN fbem-28644 113 10 may may AUX fbem-28644 113 11 also also ADV fbem-28644 113 12 affect affect VERB fbem-28644 113 13 the the DET fbem-28644 113 14 effectiveness effectiveness NOUN fbem-28644 113 15 of of ADP fbem-28644 113 16 capm capm PROPN fbem-28644 113 17 . . PUNCT fbem-28644 114 1 therefore therefore ADV fbem-28644 114 2 , , PUNCT fbem-28644 114 3 although although SCONJ fbem-28644 114 4 capm capm PROPN fbem-28644 114 5 has have VERB fbem-28644 114 6 a a DET fbem-28644 114 7 certain certain ADJ fbem-28644 114 8 applicability applicability NOUN fbem-28644 114 9 in in ADP fbem-28644 114 10 the the DET fbem-28644 114 11 chinese chinese ADJ fbem-28644 114 12 market market NOUN fbem-28644 114 13 , , PUNCT fbem-28644 114 14 its its PRON fbem-28644 114 15 limitations limitation NOUN fbem-28644 114 16 can can AUX fbem-28644 114 17 not not PART fbem-28644 114 18 be be AUX fbem-28644 114 19 ignored ignore VERB fbem-28644 114 20 . . PUNCT fbem-28644 115 1 future future ADJ fbem-28644 115 2 research research NOUN fbem-28644 115 3 can can AUX fbem-28644 115 4 consider consider VERB fbem-28644 115 5 introducing introduce VERB fbem-28644 115 6 more more ADJ fbem-28644 115 7 factor factor NOUN fbem-28644 115 8 models model NOUN fbem-28644 115 9 ( ( PUNCT fbem-28644 115 10 including include VERB fbem-28644 115 11 the the DET fbem-28644 115 12 fama fama NOUN fbem-28644 115 13 - - PUNCT fbem-28644 115 14 french french ADJ fbem-28644 115 15 three three NUM fbem-28644 115 16 - - PUNCT fbem-28644 115 17 factor factor NOUN fbem-28644 115 18 model model NOUN fbem-28644 115 19 or or CCONJ fbem-28644 115 20 the the DET fbem-28644 115 21 carhart carhart NOUN fbem-28644 115 22 four four NUM fbem-28644 115 23 - - PUNCT fbem-28644 115 24 factor factor NOUN fbem-28644 115 25 model model NOUN fbem-28644 115 26 ) ) PUNCT fbem-28644 115 27 to to PART fbem-28644 115 28 more more ADV fbem-28644 115 29 comprehensively comprehensively ADV fbem-28644 115 30 account account VERB fbem-28644 115 31 for for ADP fbem-28644 115 32 stock stock NOUN fbem-28644 115 33 returns return NOUN fbem-28644 115 34 in in ADP fbem-28644 115 35 the the DET fbem-28644 115 36 chinese chinese ADJ fbem-28644 115 37 market market NOUN fbem-28644 115 38 . . PUNCT fbem-28644 116 1 at at ADP fbem-28644 116 2 the the DET fbem-28644 116 3 same same ADJ fbem-28644 116 4 time time NOUN fbem-28644 116 5 , , PUNCT fbem-28644 116 6 further far ADV fbem-28644 116 7 in in ADP fbem-28644 116 8 - - PUNCT fbem-28644 116 9 depth depth NOUN fbem-28644 116 10 research research NOUN fbem-28644 116 11 should should AUX fbem-28644 116 12 be be AUX fbem-28644 116 13 conducted conduct VERB fbem-28644 116 14 on on ADP fbem-28644 116 15 the the DET fbem-28644 116 16 performance performance NOUN fbem-28644 116 17 differences difference NOUN fbem-28644 116 18 of of ADP fbem-28644 116 19 the the DET fbem-28644 116 20 capm capm PROPN fbem-28644 116 21 model model NOUN fbem-28644 116 22 under under ADP fbem-28644 116 23 different different ADJ fbem-28644 116 24 market market NOUN fbem-28644 116 25 conditions condition NOUN fbem-28644 116 26 to to PART fbem-28644 116 27 reveal reveal VERB fbem-28644 116 28 more more ADV fbem-28644 116 29 applicable applicable ADJ fbem-28644 116 30 scenarios scenario NOUN fbem-28644 116 31 and and CCONJ fbem-28644 116 32 limiting limit VERB fbem-28644 116 33 factors factor NOUN fbem-28644 116 34 of of ADP fbem-28644 116 35 capm capm PROPN fbem-28644 116 36 in in ADP fbem-28644 116 37 emerging emerge VERB fbem-28644 116 38 markets market NOUN fbem-28644 116 39 . . PUNCT fbem-28644 117 1 references reference NOUN fbem-28644 117 2 [ [ X fbem-28644 117 3 1 1 NUM fbem-28644 117 4 ] ] X fbem-28644 117 5 sharpe sharpe PROPN fbem-28644 117 6 , , PUNCT fbem-28644 117 7 wf wf PROPN fbem-28644 117 8 . . PUNCT fbem-28644 118 1 ( ( PUNCT fbem-28644 118 2 1964 1964 NUM fbem-28644 118 3 ) ) PUNCT fbem-28644 118 4 capital capital NOUN fbem-28644 118 5 asset asset NOUN fbem-28644 118 6 prices price NOUN fbem-28644 118 7 : : PUNCT fbem-28644 118 8 a a DET fbem-28644 118 9 theory theory NOUN fbem-28644 118 10 of of ADP fbem-28644 118 11 market market NOUN fbem-28644 118 12 equilibrium equilibrium NOUN fbem-28644 118 13 under under ADP fbem-28644 118 14 conditions condition NOUN fbem-28644 118 15 of of ADP fbem-28644 118 16 risk risk NOUN fbem-28644 118 17 . . PUNCT fbem-28644 119 1 journal journal NOUN fbem-28644 119 2 of of ADP fbem-28644 119 3 finance finance NOUN fbem-28644 119 4 , , PUNCT fbem-28644 119 5 19(3 19(3 NUM fbem-28644 119 6 ): ): PUNCT fbem-28644 119 7 425 425 NUM fbem-28644 119 8 - - SYM fbem-28644 119 9 442 442 NUM fbem-28644 119 10 . . PUNCT fbem-28644 120 1 [ [ X fbem-28644 120 2 2 2 NUM fbem-28644 120 3 ] ] X fbem-28644 120 4 jin jin NOUN fbem-28644 120 5 , , PUNCT fbem-28644 120 6 y. y. PROPN fbem-28644 120 7 , , PUNCT fbem-28644 120 8 liu liu PROPN fbem-28644 120 9 , , PUNCT fbem-28644 120 10 l. l. PROPN fbem-28644 120 11 ( ( PUNCT fbem-28644 120 12 2001 2001 NUM fbem-28644 120 13 ) ) PUNCT fbem-28644 120 14 an an DET fbem-28644 120 15 empirical empirical ADJ fbem-28644 120 16 study study NOUN fbem-28644 120 17 on on ADP fbem-28644 120 18 capm capm PROPN fbem-28644 120 19 of of ADP fbem-28644 120 20 chinese chinese ADJ fbem-28644 120 21 stock stock NOUN fbem-28644 120 22 market market NOUN fbem-28644 120 23 . . PUNCT fbem-28644 121 1 financial financial ADJ fbem-28644 121 2 research research NOUN fbem-28644 121 3 , , PUNCT fbem-28644 121 4 7 7 NUM fbem-28644 121 5 : : SYM fbem-28644 121 6 106 106 NUM fbem-28644 121 7 115 115 NUM fbem-28644 121 8 . . PUNCT fbem-28644 122 1 [ [ X fbem-28644 122 2 3 3 NUM fbem-28644 122 3 ] ] X fbem-28644 122 4 black black NOUN fbem-28644 122 5 , , PUNCT fbem-28644 122 6 f. f. PROPN fbem-28644 122 7 , , PUNCT fbem-28644 122 8 jensen jensen PROPN fbem-28644 122 9 , , PUNCT fbem-28644 122 10 mc mc PROPN fbem-28644 122 11 , , PUNCT fbem-28644 122 12 & & CCONJ fbem-28644 122 13 scholes scholes PROPN fbem-28644 122 14 , , PUNCT fbem-28644 122 15 m. m. NOUN fbem-28644 122 16 ( ( PUNCT fbem-28644 122 17 1972 1972 NUM fbem-28644 122 18 ) ) PUNCT fbem-28644 122 19 . . PUNCT fbem-28644 123 1 the the DET fbem-28644 123 2 capital capital NOUN fbem-28644 123 3 asset asset NOUN fbem-28644 123 4 pricing pricing NOUN fbem-28644 123 5 model model NOUN fbem-28644 123 6 : : PUNCT fbem-28644 123 7 some some DET fbem-28644 123 8 empirical empirical ADJ fbem-28644 123 9 tests test NOUN fbem-28644 123 10 . . PUNCT fbem-28644 124 1 in in ADP fbem-28644 124 2 mc mc PROPN fbem-28644 124 3 jensen jensen PROPN fbem-28644 124 4 ( ( PUNCT fbem-28644 124 5 ed ed NOUN fbem-28644 124 6 . . PUNCT fbem-28644 124 7 ) ) PUNCT fbem-28644 124 8 , , PUNCT fbem-28644 124 9 studies study NOUN fbem-28644 124 10 in in ADP fbem-28644 124 11 the the DET fbem-28644 124 12 theory theory NOUN fbem-28644 124 13 of of ADP fbem-28644 124 14 capital capital NOUN fbem-28644 124 15 markets market NOUN fbem-28644 124 16 . . PUNCT fbem-28644 125 1 new new PROPN fbem-28644 125 2 york york PROPN fbem-28644 125 3 : : PUNCT fbem-28644 125 4 praeger praeger NOUN fbem-28644 125 5 publishers publisher NOUN fbem-28644 125 6 , , PUNCT fbem-28644 125 7 pp.79 pp.79 NOUN fbem-28644 125 8 - - PUNCT fbem-28644 125 9 121 121 NUM fbem-28644 125 10 . . PUNCT fbem-28644 126 1 [ [ X fbem-28644 126 2 4 4 NUM fbem-28644 126 3 ] ] X fbem-28644 126 4 fama fama PROPN fbem-28644 126 5 , , PUNCT fbem-28644 126 6 ef ef PROPN fbem-28644 126 7 , , PUNCT fbem-28644 126 8 & & CCONJ fbem-28644 126 9 french french PROPN fbem-28644 126 10 , , PUNCT fbem-28644 126 11 kr kr PROPN fbem-28644 126 12 ( ( PUNCT fbem-28644 126 13 1993 1993 NUM fbem-28644 126 14 ) ) PUNCT fbem-28644 126 15 . . PUNCT fbem-28644 127 1 common common ADJ fbem-28644 127 2 risk risk NOUN fbem-28644 127 3 factors factor NOUN fbem-28644 127 4 in in ADP fbem-28644 127 5 the the DET fbem-28644 127 6 returns return NOUN fbem-28644 127 7 on on ADP fbem-28644 127 8 stocks stock NOUN fbem-28644 127 9 and and CCONJ fbem-28644 127 10 bonds bond NOUN fbem-28644 127 11 . . PUNCT fbem-28644 128 1 journal journal NOUN fbem-28644 128 2 of of ADP fbem-28644 128 3 financial financial ADJ fbem-28644 128 4 economics economic NOUN fbem-28644 128 5 , , PUNCT fbem-28644 128 6 33(1 33(1 NUM fbem-28644 128 7 ) ) PUNCT fbem-28644 128 8 , , PUNCT fbem-28644 128 9 3 3 NUM fbem-28644 128 10 - - SYM fbem-28644 128 11 56 56 NUM fbem-28644 128 12 . . PUNCT fbem-28644 129 1 [ [ X fbem-28644 129 2 5 5 NUM fbem-28644 129 3 ] ] X fbem-28644 129 4 zhu zhu PROPN fbem-28644 129 5 , , PUNCT fbem-28644 129 6 s. s. PROPN fbem-28644 129 7 ( ( PUNCT fbem-28644 129 8 2010 2010 NUM fbem-28644 129 9 ) ) PUNCT fbem-28644 129 10 . . PUNCT fbem-28644 130 1 empirical empirical ADJ fbem-28644 130 2 test test NOUN fbem-28644 130 3 of of ADP fbem-28644 130 4 capital capital NOUN fbem-28644 130 5 asset asset NOUN fbem-28644 130 6 pricing pricing NOUN fbem-28644 130 7 model model NOUN fbem-28644 130 8 ( ( PUNCT fbem-28644 130 9 capm capm PROPN fbem-28644 130 10 ) ) PUNCT fbem-28644 130 11 in in ADP fbem-28644 130 12 china china PROPN fbem-28644 130 13 's 's PART fbem-28644 130 14 capital capital NOUN fbem-28644 130 15 market market NOUN fbem-28644 130 16 . . PUNCT fbem-28644 131 1 statistics statistic NOUN fbem-28644 131 2 and and CCONJ fbem-28644 131 3 information information NOUN fbem-28644 131 4 forum forum PROPN fbem-28644 131 5 , , PUNCT fbem-28644 131 6 25(8 25(8 NUM fbem-28644 131 7 ): ): PUNCT fbem-28644 131 8 95 95 NUM fbem-28644 131 9 - - SYM fbem-28644 131 10 99 99 NUM fbem-28644 131 11 . . PUNCT fbem-28644 132 1 403 403 NUM fbem-28644 133 1 [ [ X fbem-28644 133 2 6 6 NUM fbem-28644 133 3 ] ] SYM fbem-28644 133 4 ma ma PROPN fbem-28644 133 5 , , PUNCT fbem-28644 133 6 c. c. PROPN fbem-28644 133 7 , , PUNCT fbem-28644 133 8 qiu qiu PROPN fbem-28644 133 9 , , PUNCT fbem-28644 133 10 y. y. PROPN fbem-28644 133 11 ( ( PUNCT fbem-28644 133 12 2008 2008 NUM fbem-28644 133 13 ) ) PUNCT fbem-28644 133 14 . . PUNCT fbem-28644 134 1 an an DET fbem-28644 134 2 empirical empirical ADJ fbem-28644 134 3 study study NOUN fbem-28644 134 4 on on ADP fbem-28644 134 5 the the DET fbem-28644 134 6 applicability applicability NOUN fbem-28644 134 7 of of ADP fbem-28644 134 8 capm capm PROPN fbem-28644 134 9 to to ADP fbem-28644 134 10 china china PROPN fbem-28644 134 11 's 's PART fbem-28644 134 12 capital capital NOUN fbem-28644 134 13 market market NOUN fbem-28644 134 14 . . PUNCT fbem-28644 135 1 economic economic ADJ fbem-28644 135 2 research research NOUN fbem-28644 135 3 , , PUNCT fbem-28644 135 4 4 4 NUM fbem-28644 135 5 : : SYM fbem-28644 135 6 3545 3545 NUM fbem-28644 135 7 . . PUNCT fbem-28644 136 1 [ [ X fbem-28644 136 2 7 7 NUM fbem-28644 136 3 ] ] X fbem-28644 136 4 shi shi PROPN fbem-28644 136 5 , , PUNCT fbem-28644 136 6 d. d. PROPN fbem-28644 136 7 ( ( PUNCT fbem-28644 136 8 1996 1996 NUM fbem-28644 136 9 ) ) PUNCT fbem-28644 136 10 an an DET fbem-28644 136 11 empirical empirical ADJ fbem-28644 136 12 study study NOUN fbem-28644 136 13 on on ADP fbem-28644 136 14 the the DET fbem-28644 136 15 risk risk NOUN fbem-28644 136 16 of of ADP fbem-28644 136 17 shanghai shanghai PROPN fbem-28644 136 18 stock stock NOUN fbem-28644 136 19 market market NOUN fbem-28644 136 20 . . PUNCT fbem-28644 137 1 economic economic ADJ fbem-28644 137 2 research research NOUN fbem-28644 137 3 , , PUNCT fbem-28644 137 4 10 10 NUM fbem-28644 137 5 : : SYM fbem-28644 137 6 44 44 NUM fbem-28644 137 7 - - SYM fbem-28644 137 8 48 48 NUM fbem-28644 137 9 . . PUNCT fbem-28644 138 1 [ [ X fbem-28644 138 2 8 8 NUM fbem-28644 138 3 ] ] SYM fbem-28644 138 4 yang yang PROPN fbem-28644 138 5 , , PUNCT fbem-28644 138 6 c. c. PROPN fbem-28644 138 7 , , PUNCT fbem-28644 138 8 xing xing PROPN fbem-28644 138 9 , , PUNCT fbem-28644 138 10 j. j. PROPN fbem-28644 138 11 ( ( PUNCT fbem-28644 138 12 1998 1998 NUM fbem-28644 138 13 ) ) PUNCT fbem-28644 138 14 empirical empirical ADJ fbem-28644 138 15 test test NOUN fbem-28644 138 16 of of ADP fbem-28644 138 17 capm capm PROPN fbem-28644 138 18 in in ADP fbem-28644 138 19 shanghai shanghai PROPN fbem-28644 138 20 stock stock NOUN fbem-28644 138 21 market market NOUN fbem-28644 138 22 . . PUNCT fbem-28644 139 1 journal journal PROPN fbem-28644 139 2 of of ADP fbem-28644 139 3 shanghai shanghai PROPN fbem-28644 139 4 jiaotong jiaotong PROPN fbem-28644 139 5 university university PROPN fbem-28644 139 6 , , PUNCT fbem-28644 139 7 32(3 32(3 NUM fbem-28644 139 8 ): ): PUNCT fbem-28644 139 9 59 59 NUM fbem-28644 139 10 - - SYM fbem-28644 139 11 64 64 NUM fbem-28644 139 12 . . PUNCT fbem-28644 140 1 [ [ X fbem-28644 140 2 9 9 NUM fbem-28644 140 3 ] ] SYM fbem-28644 140 4 chen chen PROPN fbem-28644 140 5 , , PUNCT fbem-28644 140 6 x. x. PROPN fbem-28644 140 7 , , PUNCT fbem-28644 140 8 sun sun NOUN fbem-28644 140 9 , , PUNCT fbem-28644 140 10 a. a. NOUN fbem-28644 140 11 ( ( PUNCT fbem-28644 140 12 2000 2000 NUM fbem-28644 140 13 ) ) PUNCT fbem-28644 140 14 testing test VERB fbem-28644 140 15 the the DET fbem-28644 140 16 effectiveness effectiveness NOUN fbem-28644 140 17 of of ADP fbem-28644 140 18 capm capm PROPN fbem-28644 140 19 in in ADP fbem-28644 140 20 china china PROPN fbem-28644 140 21 's 's PART fbem-28644 140 22 stock stock NOUN fbem-28644 140 23 market market NOUN fbem-28644 140 24 . . PUNCT fbem-28644 141 1 journal journal PROPN fbem-28644 141 2 of of ADP fbem-28644 141 3 peking peking PROPN fbem-28644 141 4 university university NOUN fbem-28644 141 5 : : PUNCT fbem-28644 141 6 philosophy philosophy NOUN fbem-28644 141 7 and and CCONJ fbem-28644 141 8 social social ADJ fbem-28644 141 9 sciences sciences PROPN fbem-28644 141 10 edition edition NOUN fbem-28644 141 11 , , PUNCT fbem-28644 141 12 37 37 NUM fbem-28644 141 13 ( ( PUNCT fbem-28644 141 14 4 4 NUM fbem-28644 141 15 ): ): PUNCT fbem-28644 141 16 28 28 NUM fbem-28644 141 17 - - SYM fbem-28644 141 18 37 37 NUM fbem-28644 141 19 . . PUNCT fbem-28644 142 1 [ [ X fbem-28644 142 2 10 10 NUM fbem-28644 142 3 ] ] X fbem-28644 142 4 chen chen PROPN fbem-28644 142 5 , , PUNCT fbem-28644 142 6 l. l. PROPN fbem-28644 142 7 , , PUNCT fbem-28644 142 8 qu qu PROPN fbem-28644 142 9 , , PUNCT fbem-28644 142 10 w. w. PROPN fbem-28644 142 11 ( ( PUNCT fbem-28644 142 12 2000 2000 NUM fbem-28644 142 13 ) ) PUNCT fbem-28644 142 14 an an DET fbem-28644 142 15 empirical empirical ADJ fbem-28644 142 16 study study NOUN fbem-28644 142 17 on on ADP fbem-28644 142 18 the the DET fbem-28644 142 19 capital capital NOUN fbem-28644 142 20 asset asset NOUN fbem-28644 142 21 pricing pricing NOUN fbem-28644 142 22 model model NOUN fbem-28644 142 23 . . PUNCT fbem-28644 143 1 economic economic ADJ fbem-28644 143 2 research research NOUN fbem-28644 143 3 , , PUNCT fbem-28644 143 4 4 4 NUM fbem-28644 143 5 : : SYM fbem-28644 143 6 26 26 NUM fbem-28644 143 7 - - SYM fbem-28644 143 8 34 34 NUM fbem-28644 143 9 . . PUNCT fbem-28644 144 1 [ [ X fbem-28644 144 2 11 11 NUM fbem-28644 144 3 ] ] X fbem-28644 144 4 ruan ruan PROPN fbem-28644 144 5 , , PUNCT fbem-28644 144 6 t. t. PROPN fbem-28644 144 7 , , PUNCT fbem-28644 144 8 lin lin PROPN fbem-28644 144 9 , , PUNCT fbem-28644 144 10 s. s. PROPN fbem-28644 144 11 ( ( PUNCT fbem-28644 144 12 2000 2000 NUM fbem-28644 144 13 ) ) PUNCT fbem-28644 144 14 test test NOUN fbem-28644 144 15 of of ADP fbem-28644 144 16 capm capm PROPN fbem-28644 144 17 model model NOUN fbem-28644 144 18 on on ADP fbem-28644 144 19 shanghai shanghai PROPN fbem-28644 144 20 stock stock NOUN fbem-28644 144 21 market market NOUN fbem-28644 144 22 . . PUNCT fbem-28644 145 1 mathematical mathematical ADJ fbem-28644 145 2 statistics statistic NOUN fbem-28644 145 3 and and CCONJ fbem-28644 145 4 management management NOUN fbem-28644 145 5 , , PUNCT fbem-28644 145 6 19 19 NUM fbem-28644 145 7 ( ( PUNCT fbem-28644 145 8 2 2 NUM fbem-28644 145 9 ): ): PUNCT fbem-28644 145 10 12 12 NUM fbem-28644 145 11 - - SYM fbem-28644 145 12 17 17 NUM fbem-28644 145 13 . . PUNCT fbem-28644 146 1 [ [ X fbem-28644 146 2 12 12 NUM fbem-28644 146 3 ] ] SYM fbem-28644 146 4 li li PROPN fbem-28644 146 5 , , PUNCT fbem-28644 146 6 h. h. PROPN fbem-28644 146 7 , , PUNCT fbem-28644 146 8 li li PROPN fbem-28644 146 9 , , PUNCT fbem-28644 146 10 z. z. PROPN fbem-28644 146 11 ( ( PUNCT fbem-28644 146 12 2000 2000 NUM fbem-28644 146 13 ) ) PUNCT fbem-28644 146 14 empirical empirical ADJ fbem-28644 146 15 test test NOUN fbem-28644 146 16 of of ADP fbem-28644 146 17 capital capital NOUN fbem-28644 146 18 asset asset NOUN fbem-28644 146 19 pricing pricing NOUN fbem-28644 146 20 model model NOUN fbem-28644 146 21 in in ADP fbem-28644 146 22 shanghai shanghai PROPN fbem-28644 146 23 stock stock NOUN fbem-28644 146 24 market market NOUN fbem-28644 146 25 . . PUNCT fbem-28644 147 1 forecast forecast NOUN fbem-28644 147 2 , , PUNCT fbem-28644 147 3 5 5 NUM fbem-28644 147 4 : : SYM fbem-28644 147 5 75 75 NUM fbem-28644 147 6 - - SYM fbem-28644 147 7 68 68 NUM fbem-28644 147 8 . . PUNCT fbem-28644 148 1 [ [ X fbem-28644 148 2 13 13 NUM fbem-28644 148 3 ] ] X fbem-28644 148 4 jin jin NOUN fbem-28644 148 5 , , PUNCT fbem-28644 148 6 y. y. PROPN fbem-28644 148 7 , , PUNCT fbem-28644 148 8 liu liu PROPN fbem-28644 148 9 , , PUNCT fbem-28644 148 10 l. l. PROPN fbem-28644 148 11 ( ( PUNCT fbem-28644 148 12 2001 2001 NUM fbem-28644 148 13 ) ) PUNCT fbem-28644 148 14 two two NUM fbem-28644 148 15 - - PUNCT fbem-28644 148 16 factor factor NOUN fbem-28644 148 17 pricing pricing NOUN fbem-28644 148 18 model model NOUN fbem-28644 148 19 in in ADP fbem-28644 148 20 china china PROPN fbem-28644 148 21 's 's PART fbem-28644 148 22 stock stock NOUN fbem-28644 148 23 market market NOUN fbem-28644 148 24 . . PUNCT fbem-28644 149 1 economic economic ADJ fbem-28644 149 2 science science NOUN fbem-28644 149 3 , , PUNCT fbem-28644 149 4 5 5 NUM fbem-28644 149 5 : : SYM fbem-28644 149 6 92 92 NUM fbem-28644 149 7 - - SYM fbem-28644 149 8 99 99 NUM fbem-28644 149 9 . . PUNCT fbem-28644 150 1 [ [ X fbem-28644 150 2 14 14 NUM fbem-28644 150 3 ] ] X fbem-28644 150 4 zhu zhu PROPN fbem-28644 150 5 , , PUNCT fbem-28644 150 6 s. s. PROPN fbem-28644 150 7 ( ( PUNCT fbem-28644 150 8 2003 2003 NUM fbem-28644 150 9 ) ) PUNCT fbem-28644 150 10 sas sas PROPN fbem-28644 150 11 programming programming NOUN fbem-28644 150 12 technology technology PROPN fbem-28644 150 13 and and CCONJ fbem-28644 150 14 financial financial ADJ fbem-28644 150 15 data datum NOUN fbem-28644 150 16 processing processing NOUN fbem-28644 150 17 . . PUNCT fbem-28644 151 1 first first PROPN fbem-28644 151 2 edition edition PROPN fbem-28644 151 3 . . PUNCT fbem-28644 152 1 beijing beijing PROPN fbem-28644 152 2 : : PUNCT fbem-28644 153 1 tsinghua tsinghua PROPN fbem-28644 153 2 university university PROPN fbem-28644 153 3 press press NOUN fbem-28644 153 4 , , PUNCT fbem-28644 153 5 415 415 NUM fbem-28644 153 6 - - SYM fbem-28644 153 7 419 419 NUM fbem-28644 153 8 . . PUNCT fbem-28644 154 1 [ [ X fbem-28644 154 2 15 15 NUM fbem-28644 154 3 ] ] X fbem-28644 154 4 sharpe sharpe PROPN fbem-28644 154 5 , , PUNCT fbem-28644 154 6 william william PROPN fbem-28644 154 7 , , PUNCT fbem-28644 154 8 f. f. PROPN fbem-28644 154 9 ( ( PUNCT fbem-28644 154 10 1964 1964 NUM fbem-28644 154 11 ) ) PUNCT fbem-28644 154 12 capital capital NOUN fbem-28644 154 13 asset asset NOUN fbem-28644 154 14 prices price NOUN fbem-28644 154 15 : : PUNCT fbem-28644 154 16 a a DET fbem-28644 154 17 theory theory NOUN fbem-28644 154 18 of of ADP fbem-28644 154 19 market market NOUN fbem-28644 154 20 equilibrium equilibrium NOUN fbem-28644 154 21 under under ADP fbem-28644 154 22 conditions condition NOUN fbem-28644 154 23 of of ADP fbem-28644 154 24 risk risk NOUN fbem-28644 154 25 . . PUNCT fbem-28644 155 1 journal journal NOUN fbem-28644 155 2 of of ADP fbem-28644 155 3 finance finance NOUN fbem-28644 155 4 , , PUNCT fbem-28644 155 5 19 19 NUM fbem-28644 155 6 : : SYM fbem-28644 155 7 425 425 NUM fbem-28644 155 8 - - SYM fbem-28644 155 9 442 442 NUM fbem-28644 155 10 . . PUNCT fbem-28644 156 1 [ [ X fbem-28644 156 2 16 16 NUM fbem-28644 156 3 ] ] X fbem-28644 156 4 lintner lintner NOUN fbem-28644 156 5 , , PUNCT fbem-28644 156 6 john john PROPN fbem-28644 156 7 . . PUNCT fbem-28644 157 1 ( ( PUNCT fbem-28644 157 2 1965 1965 NUM fbem-28644 157 3 ) ) PUNCT fbem-28644 157 4 the the DET fbem-28644 157 5 valuation valuation NOUN fbem-28644 157 6 of of ADP fbem-28644 157 7 risky risky ADJ fbem-28644 157 8 assets asset NOUN fbem-28644 157 9 and and CCONJ fbem-28644 157 10 the the DET fbem-28644 157 11 selection selection NOUN fbem-28644 157 12 of of ADP fbem-28644 157 13 risky risky ADJ fbem-28644 157 14 investments investment NOUN fbem-28644 157 15 in in ADP fbem-28644 157 16 stock stock NOUN fbem-28644 157 17 portfolios portfolio NOUN fbem-28644 157 18 and and CCONJ fbem-28644 157 19 capital capital NOUN fbem-28644 157 20 budgets budget NOUN fbem-28644 157 21 . . PUNCT fbem-28644 158 1 review review NOUN fbem-28644 158 2 of of ADP fbem-28644 158 3 economics economic NOUN fbem-28644 158 4 and and CCONJ fbem-28644 158 5 statistics statistic NOUN fbem-28644 158 6 , , PUNCT fbem-28644 158 7 47:13 47:13 NUM fbem-28644 158 8 - - SYM fbem-28644 158 9 37 37 NUM fbem-28644 158 10 . . PUNCT