The paper has transverse check to CAPM by using data from Shenzhen 's securities studies relations between stock group and single stock and system risk and analyzes single stock risk construction .

采用深圳证券市场交易数据对资本资产定价模型进行了 横 截面 检验，研究了股票组合和单支股票收益率与系统风险的关系，并分析了个股风险构成。