中国股票市场异常收益的影响因素研究

发布时间：2018-01-03 04:00

本文关键词：中国股票市场异常收益的影响因素研究　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：学术界对股票异常收益的研究主要集中在对规模效应和价值效应的存在性和影响机理两方面，本文利用三因素模型分离股票异常收益，并从五个角度研究除规模因素和价值因素外其他异常因子对股票异常收益的影响效果。本文选取上海证券交易所和深圳证券交易所股票，利用三因素模型进行实证研究。首先，本文利用三因素模型分离各股2001年01月至2011年12月各月的股票期望正常收益，再与实际收益相减后得到异常收益。其次，从五个角度选取异常因子，并依据各异常因子对各规模股票的异常收益进行分解，研究不同水平的异常因子对股票异常收益产生何种影响，，并运用截面回归分析法对这一结果进行对比分析，再对两种方法结论的细微差异进行合理解释。研究结果表明，在不同规模股票组合中，动量、股票发行量、每股营运资本这三个异常因子对股票异常收益的影响显著并稳定，表现为分解分析法下不同规模股票套利组合的t统计量值显著和截面回归分析法下的系数显著；资产成长性对股票异常收益的影响不稳定，对微型股、小型股票异常收益的影响显著，而对大型股票异常收益的影响不显著；盈利性对股票异常收益的影响也不稳定，对微型股、小型股票异常收益的影响不显著，而对大型股票异常收益的影响显著。最后，分析各异常因子对不同规模股票异常收益的影响效果是否相同，通过对异常收益和异常因子内部变化的深入分析以及利用Wlicoxon秩和检验两种方法进行研究和对比，发现只有动量这一异常因子对股票异常收益的影响存在不同规模间的差异，而其他异常因子不存在规模差异。
[Abstract]:Study on abnormal returns in academic circles mainly focus on two aspects of existence and influence mechanism of size effect and value effect, this paper uses the three factor model to calculate the abnormal stock return, and from the perspective of five in addition to scale factors and value factors other abnormal factors impact on stock abnormal return effect.
This paper selects the Shanghai stock exchange and Shenzhen stock exchange, an empirical study using the three factor model. Firstly, this paper uses the three factor model of separation of shares in 2001 01 each month from January to December 2011 the expected stock returns to normal, and the actual income subtracted to obtain abnormal returns. Secondly, select the abnormal factors from five angles, and on the basis of abnormal return of each factor to the scale of stock abnormal decomposition, abnormal factors in different levels on the impact of the abnormal stock return, and the use of cross section regression analysis on the comparative analysis of the results, and subtle differences in conclusions of the two methods were explained. The results show that the momentum in different scale stock in the combination, stock issuance, working capital per share impact the three abnormal factors on abnormal returns significantly and stable performance for decomposition analysis The different scale of stock arbitrage t statistic value and significant combination of cross-section regression coefficient method under the influence of asset growth significantly; the abnormal stock return is not stable, the micro effects of small stocks, the abnormal stock return significantly, but had no significant effects on large abnormal returns; influence of profit on stock abnormal return is not stability of micro shares, small stock abnormal return is not significant, but the impact of large stock abnormal returns significantly. Finally, the analysis of the effect of abnormal factors on different size of abnormal stock returns are the same, are investigated and compared through analyzing the changes of abnormal returns and abnormal internal factors and the use of Wlicoxon rank two test methods, differences exist between the influence of scale only the momentum anomaly factor on abnormal returns, and other abnormal factors There is a scale difference.

【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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