机构投资者建仓行为对CAPM模型α系数估算影响的研究

发布时间：2018-02-13 02:14

本文关键词： α系数建仓机构投资者 CAPM模型交易成本流动性　出处：《天津商业大学》2013年硕士论文　论文类型：学位论文

【摘要】：CAPM模型是现代财务、金融理论的基础，该模型的关键指标α系数被称为证券的特征收益率或超额收益率，在学术研究和证券实务领域都具有广泛的应用，α系数在实证研究中具有时变、均值回归的特征。估算CAPM模型关键指标的方法是证券特征线法，α系数就是该回归线的截矩。而随着经济的发展，以各类投资基金为代表的机构投资者已成为证券市场的主要参与者，它们的交易行为对证券市场产生了非常重要的影响。机构投资者在交易过程中经常会采用建仓行为，这种交易行为对证券市场的影响已成为财务金融界学术研究的热点。本文将探讨机构投资者建仓行为对CAPM模型的关键指标α系数估算产生的影响并衡量其影响方向和程度。机构投资者建仓是指机构投资者在交易时为了不将股票价格推高而逐步的增持股票，它们把大的交易头寸拆散，进行分批交易，而这种分批交易往往采用中等头寸，这是因为其在建仓过程中涉及到两种交易成本的均衡。一般来说，机构投资者在股票交易过程中会产生两种此消彼长的交易成本。一种是以交易佣金为主的显性成本，它与交易头寸的大小负相关。另一种是股票交易引起的价格冲击而产生的隐性成本，它与交易头寸的大小正相关。本文通过借鉴财务管理中的存货经济批量模型，构建机构投资者建仓的交易成本模型，数学求导得出了使机构投资者交易总成本最小的头寸即中等头寸，证明了机构投资者建仓行为是合理的。既然建仓行为是合理的，机构投资者逐步增持或减持股票会使得机构投资者的市场力量得到逐步释放，将会显著地改变证券特征线的形状，从而可能会改变α系数的数值。那么本文提出假设：机构投资者的建仓行为能够影响证券特征线的回归截距即α系数且其建仓程度与α系数成正比。然后本文对提出的假设进行了实证检验；并且通过实证研究发现由于机构投资者建仓行为广泛存在，它能够影响证券特征线的回归截矩（α系数），且机构投资者建仓程度与α系数成正比。本文共分为七章进行阐述：第一章是绪论，第二章是文献回顾，第三章是机构投资者建仓行为，第四章是CAPM模型与α系数理论，第五章是建仓行为对α系数估算影响的实证研究，第六章是实证研究结果，，第七章是研究结论与分析。
[Abstract]:CAPM model is the foundation of modern financial, financial theory, key indicators of alpha coefficients of the model is called the Yield Securities characteristics or excess rate of return, it is widely used in both academic research and practice field of securities, the alpha coefficient with time variable in the empirical study, the characteristics of mean regression method to estimate the key index of CAPM. The model is the security characteristic line method, the alpha coefficient is the intercept of the regression line. With the development of economy, all kinds of investment funds have become the main participants in the securities market, their trading behavior has a very important influence on the securities market. Institutional investors in the transaction process is often adopted the influence of Jiancang behavior, trading behavior of the securities market has become the hotspot of the financial sector in academic research. This paper will discuss the key positions behavior of institutional investors on CAPM model index Effect of alpha coefficient estimate and measure the impact of direction and extent. Institutional investors Jiancang refers to institutional investors in the transaction in order not to push up the share price gradually the holdings of the stock, they have large trading positions apart, batch transactions, and this batch transaction to the medium position. This is because it involves two kinds of transaction costs in the process of equilibrium positions. In general, the transaction cost of institutional investors will produce two kinds of changes in the stock trading process. One is the trading commissions as the dominant cost, and the size of trading positions it negative correlation. Another is the hidden cost of stock trading caused by price impact and it is positively related with the size of trading positions. The inventory EOQ model in financial management, transaction costs of establishing institutional investors Jiancang model, mathematical derivation The position of total transaction costs of institutional investors is the smallest medium position, proved the Jiancang behavior of institutional investors is reasonable. Since Jiancang behavior is reasonable, institutional investors gradually overweight or underweight stocks will make the institutional investors market forces are gradually released, will significantly change the security characteristic line shape, thus numerical may change the alpha coefficient. So this paper put forward a hypothesis: intercept Jiancang behavior of institutional investors can affect the securitycharacteristic line is the alpha coefficient and its coefficient is proportional to the degree and position. Then this paper conducts an empirical test on the hypothesis; and because the Jiancang behavior of institutional investors exist widely found through empirical research, cross-sectional regression the moment it can affect the security characteristic line (alpha), and institutional investors Jiancang degree and the alpha coefficient is proportional to. This paper is divided into seven chapters. This thesis: the first chapter is the introduction, the second chapter is the literature review, the third chapter is the Jiancang behavior of institutional investors, the fourth chapter is the CAPM model and the alpha coefficient theory, the fifth chapter is the empirical research of Jiancang behavior on the alpha coefficient estimation, the sixth chapter is the empirical research results, the seventh chapter is the conclusion of the study and analysis.

【学位授予单位】：天津商业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42;F224

【参考文献】