条件资产定价模型与定价因子的研究

发布时间：2018-01-01 13:11

本文关键词：条件资产定价模型与定价因子的研究　出处：《浙江工商大学》2012年硕士论文　论文类型：学位论文

【摘要】：有效市场假说认为资产价格可以正确反映市场信息,基于市场价格的有效性,资产定价理论得以迅速发展。然而假设条件的完美也决定了资本资产定价模型解释市场金融异象的局限性,使得人们对其不断提出质疑。有效市场假说的支持者认为资产定价模型的失效并非因为资产组合的市场价格是无效的,而是因为无条件定价模型忽略了资产组合风险的动态变化,使得资产定价模型的研究逐渐从静态的无条件向时变的条件模型发展。本文将条件Fama-French三因子模型应用到中国股票市场,对中国股市分别进行了资本资产定价模型和Fama-French三因子模型的比对；无条件资产定价模型和条件资产定价模型的比对；条件模型中非参数估计方法和滚动窗口估计方法的比对。我们发现条件Fama-French三因子模型可以解释传统CAPM不能解释的规模效应和账面市值比效应。通过对25个资产组合的长期定价误差进行联合检验,我们检验了条件Fama-French三因子模型在中国股票市场上的适用性。通过对比条件和无条件资产模型的定价误差,我们发现条件Fama-French三因子模型的定价误差明显要小于无条件Fama-French三因子模型和资本资产定价模型,结果表明通过时变载荷捕捉了动态风险之后,Fama-French三因子模型加强了对股票横截面收益率差异的解释能力。同时我们分别讨论了三因子载荷长期和时变的特性,研究不同组合之间对风险敏感系数的差异,从而探讨不同组合风险敞口的时变特征。本文并未止步于风险因子和资产超额收益率的系统关系研究,我们进一步识别了市场因子、价值因子、规模因子的风险类型。通过条件Fama-MacBeth横截面检验方法我们对因子载荷的市场风险溢价分别进行了全时段检验、分时段检验、市场上下行期间检验。我们得到三因子模型中市场因子和价值因子作为定价因子拥有显著的市场溢价,定价因子相应的系统风险也决定着资产组合的价格。而价值因子仅由特质风险引起,市场不会一直对其风险进行补偿。
[Abstract]:The efficient market hypothesis that asset prices can correctly reflect the market information, effective market price based on the asset pricing theory developed rapidly. However, the perfect assumptions also determines the capital asset pricing model to explain the limitations of financial market anomalies, makes people to constantly questioned. Proponents of the efficient market hypothesis is not asset pricing failure the model of portfolio because the market price is invalid, but because of the dynamic changes of unconditional pricing model ignores the portfolio risk, the study of asset pricing models to gradually from the time-varying static conditions without model development.
In this paper, the application conditions of Fama-French three factor model to China stock market, stock market of China respectively compared with the capital asset pricing model and Fama-French three factor model; comparison of unconditional asset pricing model and conditional asset pricing model; conditional model in non parametric estimation method and rolling window estimation method are compared. We found Fama-French the three factor model can explain the size effect and book to market the traditional CAPM can not explain the effect. Joint inspection by long-term pricing errors for 25 asset portfolio, we tested the applicability of Fama-French three factor model in China stock market. Through the comparison of the pricing error of conditional and unconditional asset model, we find that pricing error Fama-French three factor model is significantly smaller than the unconditional Fama-French three factor model and capital The asset pricing model, the results show that the time-varying load to capture the dynamic risk after the Fama-French three factor model to strengthen the differences on the cross-section of stock returns. At the same time, we discuss the ability characteristics of three factor load long-term and time-varying, differences in risk sensitivity coefficient of different combinations, so as to explore different combinations exposure to time-varying characteristics.
This paper did not stop on the relationship between risk factor and system excess return rate of assets, we further identify the market factor, value factor, risk type scale factor. The whole time don't test by Fama-MacBeth cross section test method we the factor loading of the market risk premium, sub period inspection, inspection on the market downturn we get the market factor and value factor three factor model as the pricing factor has significant market risk premium pricing system, the corresponding factor also determines the portfolio price. But the value factor is only caused by idiosyncratic risk, the market does not always compensate for the risk.

【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F830.91

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