资本资产定价模型及其扩展范式在我国地产股的适用性分析

发布时间：2018-04-26 00:27

本文选题：FF三因素模型 + 四因素资本资产定价模型　；参考：《南京大学》2013年硕士论文

【摘要】：作为中国股市的三驾马车之一,地产股是我国股票市场的一个重要角色,地产股的特殊性还在于它受政策调控的影响极为显著,故本文将研究视角放在了这样一个特殊行业,从实证角度具体探析资本资产定价模型及其扩展范式对我国地产股股票收益率的解释能力。将地产股2010年1月——2012年12月的周收益率数据划分为六组投资组合,分别依据经典的CAPM模型、Fama-French三因素模型、Carhart四因素模型和新构建的流动性四因素模型对地产股数据进行实证分析。为研究流动性在股票定价中的作用,本文创造性的使用换手率指标构造流动性因子,再结合Carhart四因素模型的设计思路,构建了基于流动性的四因素模型。通过比较检验结果和回归系数,检验资本资产定价模型及其扩展范式在我国地产股中的适用性,并具体分析我国地产股股票收益中的规模效应、价值效应、动量效应和流动性效应。实证结果表明,经典CAPM模型对地产股收益率的解释力较弱,引入规模因子SMB和价值因子HML的FF三因素模型的解释力明显提高,Carhart四因素模型的动量因子MD1和MD2没有提升模型的解释力,可以认为Carhart四因素模型不适用于我国地产股,而基于流动性的四因素模型有效提高了模型的解释力,流动性因子TR较为显著,表明基于流动性的四因素模型基本适用于我国地产股。基于流动性的四因子模型的检验结果表明,规模因子SMB对大规模公司组合的影响力度较大,价值因子HML和流动性因子TR对地产股六个组合的影响力度无显著差异。不同于在整个市场面实证研究得出的“小规模效应”,我国地产股存在“大规模效应”,这种效应的产生源于房地产行业独特的经营模式和较为紧张的融资现状。最后从现实角度提出了影响模型解释力的其他因素。
[Abstract]:As one of the troika of Chinese stock market, real estate stock is an important role in the stock market of our country. The particularity of real estate stock is that it is greatly influenced by the policy regulation, so this paper puts the research perspective on such a special industry. From the perspective of empirical analysis, the paper analyzes the ability of capital asset pricing model and its extended paradigm to explain the stock returns of real estate stocks in China. The weekly yield data for real estate stocks from January 2010 to December 2012 are divided into six portfolios. This paper analyzes the real estate stock data based on the classical CAPM model and the new liquidity four-factor model. In order to study the role of liquidity in stock pricing, this paper creatively uses turnover rate index to construct liquidity factor, and then combines the design idea of Carhart four-factor model, constructs a four-factor model based on liquidity. By comparing the results and the regression coefficient, the paper tests the applicability of the capital asset pricing model and its extended paradigm in China's real estate stock market, and analyzes the scale effect and the value effect in the real estate stock returns in China. Momentum effect and fluidity effect. The empirical results show that the classical CAPM model has a weak explanatory power to the real estate stock yield. The explanatory power of FF three-factor model with the introduction of scale factor SMB and value factor HML can obviously improve the explanatory power of the momentum factor MD1 and MD2 of Carhart four-factor model. It can be concluded that the Carhart four-factor model is not suitable for real estate stocks in China. The four-factor model based on liquidity can effectively improve the explanatory power of the model, and the liquidity factor tr is significant, which indicates that the four-factor model based on liquidity is basically suitable for real estate stocks in China. The test results of four-factor model based on liquidity show that the scale factor SMB has a great influence on large-scale company portfolio, while the value factor HML and liquidity factor tr have no significant difference on the impact of six real estate stock combinations. Different from the "small scale effect" obtained from the empirical research on the whole market, there exists a "large-scale effect" in the real estate stock market in China, which originates from the unique management mode and the relatively tight financing situation of the real estate industry. Finally, some other factors affecting the explanatory power of the model are put forward from the practical point of view.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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