基于流动性的资本资产定价模型研究

发布时间：2018-01-03 01:11

本文关键词：基于流动性的资本资产定价模型研究　出处：《哈尔滨理工大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着资本市场的发展，股票收益率问题越来越受到金融领域、财务领域乃至普通大众的关注。在面临各种投资决策时，需要对不同投资方案的资产进行收益的评估，因此资产定价理论在此过程中有着极强的实践作用。然而传统的定价模型由于忽略了流动性因素，在解释并非完美的现实股票市场时遇到了困难。将流动性纳入到资产定价模型，成为了国内外学者研究的热点。由于流动性被认为是股票定价的重要因素之一，本文在沪深股市的背景下，研究构建了基于流动性的资本资产定价模型。文章首先回顾了国内外关于流动性与资产定价模型相关的研究现状；介绍了流动性相关定义和维度特征，研究了流动性的不同类型的度量方法；分析了经典的资本资产定价模型、套利定价理论以及F/F三因素资产定价模型的特征及假设。然后通过分析沪深股市的定价机制和流动性特征，从股市整体和个股两方面分析流动性对股票定价的影响。由此建立了基于流动性的资本资产定价模型，这是本研究的重点。在主要研究部分，首先是明确模型建立前提和原则，通过前面对定价模型假设的分析确定将F/F三因素资产定价模型作为所构建模型的基础模型；通过对沪深股市流动性特征分析，用比较分析的方法构建能适用于沪深股市背景下的流动性度量指标，从而建立了LAFF四因素资本资产定价模型。论文最后通过采用沪市A股的数据对LAFF四因素模型进行实证研究，得出结论是股票收益率同时受市场、公司规模、账面市值比、流动性因素的共同作用，所构建的模型对于股票资产定价具有解释效果。
[Abstract]:With the development of the capital market, the issue of stock yield is paid more and more attention by the financial field, the financial field and even the general public. Asset pricing theory plays a very important role in this process. However, the traditional pricing model ignores liquidity factors. It is difficult to explain the imperfect real stock market. It has become a hot topic for scholars at home and abroad to incorporate liquidity into the asset pricing model. Because liquidity is regarded as one of the important factors of stock pricing, this paper is based on the background of Shanghai and Shenzhen stock markets. The capital asset pricing model based on liquidity is constructed. Firstly, the research status of liquidity and asset pricing model at home and abroad is reviewed. This paper introduces the definition and dimension characteristics of liquidity, and studies the different types of measurement methods of liquidity. This paper analyzes the characteristics and assumptions of classical capital asset pricing model, arbitrage pricing theory and F- / F three-factor asset pricing model, and then analyzes the pricing mechanism and liquidity characteristics of Shanghai and Shenzhen stock markets. This paper analyzes the influence of liquidity on stock pricing from the stock market as a whole and individual stock. A capital asset pricing model based on liquidity is established, which is the focus of this study. Firstly, the premise and principle of establishing the model are clear. Through the analysis of the hypothesis of the pricing model, the three-factor asset pricing model of F / F is taken as the basic model of the model. Through the analysis of the liquidity characteristics of Shanghai and Shenzhen stock markets, this paper uses the method of comparative analysis to construct a liquidity measurement index that can be applied to the background of Shanghai and Shenzhen stock markets. In the end, the paper makes an empirical study on the LAFF four-factor model by using the A-share data of Shanghai Stock Exchange, and draws the conclusion that the stock return rate is subject to the market at the same time. The combined effect of company size, book to market value ratio, liquidity factors and the model can explain the pricing of stock assets.
【学位授予单位】：哈尔滨理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91;F224

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