Empirical study of investment performance on listed banks from Shanghai Stock Exchange based on one-quarter holding period

Knowing whether Pricing is appropriate is meaningful and helpful for professionals to allocate assets across the securities or portfolios efficiently and effectively, to determine what and when to invest in. We use the CAPM model to calculate alphas of the sample bank stocks, and in terms of the alphas to determine whether investment performances of the banks or the banking are better than that of the market portfolio. The paper has the following findings. Although the performance of individual stock is different from that of the market portfolio, no evidence proves that investment performance of the banking is inconsistent to that of market portfolio. And the performance of the low-beta stock is significantly not as good as that of the high-beta stock. At the same time, the paper also finds that the market is rational mean-beta optimizer on the basis of the quarterly holding period.