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中文摘要：
传统资本资产定价模型（CAPM）假定收益率为正态分布，同时认为反映市场风险系数的β是不变的，这与现实存在较大出入，实际上资产收益率的结构存在动态不断转换特性，从动态的角度提出了基于马尔科夫转换下的资本资产定价模型，与经典资本资产定价模型估计结果比较表明，本模型具有更好的效果并刻画了变化过程。
英文摘要：
The normal distribution is assumed in traditional Capital Assert Price Model（CPM）and the β which reflects the market risk coefficient is fixed. This assumption has a greatly contradiction with real practice. In practice, the structure of return rate has the portfolio of dynamic shift from one state into another. The Capital Assert Price Model based on Markov switching is proposed from the view of dynamics. The result shows that this model is more effect compared with the traditional CAPM and the shift process.
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